About Us

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,

  • scaling limits for stochastic processes and their applications to financial mathematics and mathematical biology
  • theory of backward stochastic (partial) differential equations with singular terminal values
  • stochastic control theory, especially singular optimal control problems arising in models of portfolio liquidation
  • game theory, especially mean-field games and dynamic contract theory 

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 TRCRC 190 Rationality and competition: the economic performance of individuals and firms (Project B02, Dynamic optimal contracting), the IRTG 2544 Stochastic Analysis in Interaction, 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 and the Risk Management Institute at the National University of Singapore. 

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.