We carry out interdisciplinary research at the interface of mathematical finance, probability theory and game theory. Our current research focusses is on stochastic control theory, mean-field games and mean-field control problems, scaling limits for stochastic processes and optimal dynamic contracting.
More than 10 students have graduated with a PhD in mathematics from this chair; about 15 postdocs carried out their innovative research at our chair in the last 12 years. Many of our former students and postdocs now hold professor positions in Australia, Canada, Hong Kong and the Netherlands.
The chair is actively involved in the TRCRC 190 Rationality and competition: the economic performance of individuals and firms, the IRTG 2544 Stochastic Analysis in Interaction, the Berlin Mathematical School and enjoys excellent connections to leading international mathematics and operations research departments including 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 Modeling at the Universidad de Chile and the Risk Management Institute at the National University of Singapore.
Our current research is supported through the profile partnership programs of the Humboldt University and Princeton University and the National University of Singapore. We have also successfully applied for several CRC and Matheon projects, several BMS fellowships, two AvH postdoctoral fellowships and an array of industry-funded projects.
We offer a lively program of courses for undergraduates and graduate students, seminars, workshops and summer schools. During the last years we have organized and co-organized more than 20 scientific events including:
- Fourth Berlin-Princeton-Singapore Workshop on Quantitative Finance (03/2019); Singapore
- European Workshop on Economic Theory (06/2019); Berlin
- Mathematics of Behavioral Economics and Knightian Uncertainty in FinancialMarkets, ZiF, Bielefeld (05/2018)
- Third Berlin-Princeton-Singapore Workshop on Quantitative Finance (04/2017); Berlin
- 5th Berlin Workshop Mathematical Finance for Young Researchers, Berlin (06/2016)
- Mathematics and Financial Economics, ZiF, Bielefeld (05/2015)
- New Direction in Mathematicsl Finance and Economics (06/2014); BIRS, Alberta, Canada
- Humboldt Distinguished Lecture Series in Applied Mathematics by P. Glasserman (05/2014)
- Humboldt Distinguished Lecture Series in Applied Mathematics by X.Y. Zhou (04/2013)
- Workshop Mathematics Energy Finance and Natural Resource Management, Santiago de Chile (March 2013, Santiago de Chile)
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. Feel free to contact us if you intend to do a bachelor, master or PhD thesis with us.