Over the last decade mathematical finance has become a vibrant field of academic research and an indispensable tool for the financial and insurance industry. Financial mathematics has long been a key research area at our university. Our department offers an array of undergraduate and graduate courses on mathematical finance, probability theory and mathematical statistics, and a variety of research opportunities for students at all levels.
Current research activities at this chair range from theoretical questions in stochastic analysis, probability theory, stochastic control and economic theory to more quantitative methods for analyzing equilibrium trading strategies in illiquid financial markets, optimal exploitation strategies of natural resources and optimal contracting under uncertainty. A particular focus is on novel stochastic forward-backward systems arising in mean-field control problems and mean-field games and on scaling limits for stochastic processes arising in limit order book models and microstructure models of financial markets.
To learn more about our research and teaching activities we invite you to delve into the following pages.
Click here to learn more about our teaching activities and core courses for students majoring in mathematical finance.
The Berlin-Oxford International Research Training Group “Stochastic Analysis in Interaction” offers 8 PhD positions (75% TVL E 13) for 3 years starting April 1st, 2023, or soon thereafter. Funded by the Deutsche Forschungsgemeinschaft (DFG), the IRTG is a joint research initiative of the stochastic analysis group of FU, HU, TU and WIAS Berlin with its counterpart at the University of Oxford. The advertised positions will be based in Berlin and will offer ample opportunities to interact also with members of the Oxford team. Successful candidates will have a MSc degree (or equivalent) in Mathematics (or a closely related field), strong knowledge of stochastic analysis, and feel eager to engage in the exchange of ideas with the teams in both Berlin and Oxford. Deadline for applications is December 9, 2022. Complete applications can be send by email to Ulrich Horst.