Paul Hager

I am a postdoctoral researcher at the Humboldt University of Berlin in the team of Ulrich Horst in the Applied Financial Mathematics & Applied Stochastic Analysis research group.

Previously, I was a scientific assistant in a Math+ Project at TU Berlin and a PhD student under the supervision of Peter K. Friz and Christian Bayer.

Short CV

You can find my detailed CV here: PDF.​​​​​​

Research Interest

• Signatures and their applications in stochastic optimization and machine learning.
• Fractional Brownian motion, log-correlated fields, Gaussian multiplicative chaos and their applications to volatility modelling.

​Preprents

• C. Bayer, P. Hager, S. Riedel, J. Schoenmakers, Optimal stopping with signatures, 03 May 2021, arxiv
• P. K. Friz, P. Hager, N. Tapia, Unified Signature Cumulants and Generalized Magnus Expansions, 8 Feb 2021, arxiv
• C. Bayer, D. Belomestny, P. Hager, P. Pigato, J. Schoenmakers, V. Spokoiny, Reinforced optimal control, 24 Nov 2020, arxiv
• P. Hager, E. Neuman, The Multiplicative Chaos of H=0 Fractional Brownian Fields, 4 Aug 2020, arxiv (accepted at the Annals of Applied Probability)

Publications

• C. Bayer, D. Belomestny, P. Hager, P. Pigato, J. Schoenmakers, Randomized optimal stopping algorithms and their convergence analysis, SIAM Journal on Financial Mathematics, 12(3), 1201–1225 (2021), (journal, arxiv)