We carry out interdisciplinary research at the interface of mathematical finance, probability and economic theory.
Our current research focusses on, but is not limited to,
- sclaing limits for mathematical models of limit order books
- singular optimal control problems arising in models of portfolio liquidation
- PDEs, BSDEs and BSPDEs with singular terminal values
- dynamic equilibrium pricing and utility optimization in incomplete markets
- principal agent games with application to optimal portfolio delegation and cooperation in Baysian games
We offer a lively program of courses for undergraduates and graduate students, seminars, workshops and summer schools. The chair enjoys strong connections with several research centers in Berlin including the SFB 649 Economic Risk (Project A11, Securitization and Equilibrium Risk Transfer), the DFG Research Center Matheon (Project E2, Securitization: assessment of external risk factors; Project E11, Optimal order placement in illiquid markets), the Berlin Mathematical School, leading national and international research centers such as the Department of Operations Research and Financial Engineering at Princeton University, the Pacific Institute for the Mathematical Sciences at UBC Vancouver, the Center for Mathematical Modelling at the Universidad de Chile, the Center for Quantitative Finance at the National University of Singapore, and CEREMADE (Paris Dauphine). We also cooperate with selected industry partners such as d-fine, the consultancy specializing in the financial sector.
During the last five years we have organized and co-organized more than 20 scientific events including:
- Workshop on New Directions in Mathematical Finance and Economics (July 2014, Banff, Alberta, Canada)
- First Berlin-Singapore Conference on Quantitative Finance (May 2014, Berlin)
- Workshop Mathematics Energy Finance and Natural Resource Management, Santiago de Chile (March 2013, Santiago de Chile)
- 4th Berlin Workshop Mathematical Finance for Young Researchers, Berlin (May 2012)
- Workshop Pricing and Hedging of Environmental and Energy-related Financial Derivatives (July 2009, National University of Singapore)
We also established the "Humboldt Distinguished Lecture Series in Applied Mthematics" and the "Berlin Finance Lecture". Each week, we host, in collaboration with other Berlin chairs and institutions, a number of seminars featuring talks by leaders in mathematical and quantitative finance from Berlin and around the world. Here is a link to the calendar of events.