Dörte Kreher

Short CV:

• since 08/2017 Juniorprofessorin für Angewandte Stochastische Analysis (HU Berlin)
• 2014-2017 Postdoc at Humboldt-Universität zu Berlin and SFB 649 Economic Risk
• 2014 Dr. sc. nat. in Mathematics (Universität Zürich)
• 2009 Diplom in Mathematics  (Humboldt-Universität zu Berlin)
• 2009 B. Sc. in Economics (Humboldt-Universität zu Berlin)

Projects:

• MATH+ Project AA4-4 "Stochastic modeling of intraday electricity markets" (with Markus Reiß). Research assistant (PhD student): Cassandra Milbradt.
• MATH+ Project AA4-9 "Volatile Electricity Markets and Battery Storage: A Model-Based Approach for Optimal Control" (with Christian Bayer and Manuel Landstorfer). Research assistant (PhD student): Wilfried Kenmoe Nzali.

Preprints:

• Second-order approximation of limit order books in a single-scale regime (with U. Horst and K. Starovoitovs), arXiv e-print 2308.00805, 2023. 
• A cross-border market model with limited transmission capacities (with C. Milbradt), arXiv e-print 2207.01939, 2022. 
• Red noise in continuous-time stochastic modelling (with A. Morr and N. Boers), arXiv e-print 2212.03566, 2022. 

Publications:

• Jump diffusion approximation for the price dynamics of a fully state dependent
  limit order book model (with C. Milbradt), SIAM J. Financial Mathematics, 14(1):1-51, 2023.
• Bubbles in discrete time models (with M. Herdegen), Finance and Stochastics, 26:899–925, 2022.
• A diffusion approximation for limit order book models (with U. Horst), Stoch. Proc. Appl. 129(11): 4431-4479, 2019.
• Second order approximations for limit order books (with U. Horst), Finance and Stochastics, 22(4):827–877, 2018.
• A weak law of large numbers for a limit order book model with fully state dependent order dynamics (with U. Horst), SIAM J. Financial Mathematics 8:314-343, 2017.
• Change of measure up to a random time: Details, Stoch. Proc. Appl., 127(5):1565-1598, 2017.
• A new kind of augmentation of filtrations suitable for a change of probability measure by a strict local martingale (with A. Nikeghbali), Stat. Prob. Letters, 104:94-101, 2015. 
• Strict local martingales and bubbles (with C. Kardaras and A. Nikeghbali), Ann. Appl. Probab., 25(4):1827-1867, 2015.

Organized Workshops & Conferences:

• Co-organization of the 7th Berlin Workshop on Mathematical Finance for Young Researchers, Berlin, September 4-6, 2024
• Co-organization of the Workshop Junior Female Researchers in Probability, Berlin, October 5-7, 2022
• Co-organization of the Workshop Junior Female Researchers in Probability, Berlin / online, October 4-6, 2021
• Co-organization of the 3rd Berlin-Princeton-Singapore Workshop on Quantitative Finance, Berlin, April 19-22, 2017
• Co-organization of the 5th Berlin Workshop on Mathematical Finance for Young Researchers, Berlin, June 1-4, 2016
• Co-organization of the Workshop in Mathematics in Finance, Universität Zürich, September 18, 2013 

Teaching:

• WiSe 2023/24: VL Methoden der Statistik
• SoSe 2023: VL+UE Stochastische Finanzmathematik II
• WiSe 2022/23: VL Stochastische Finanzmathematik I
• SoSe 2022: SE Stochastik
• WiSe 2020/21: VL Stochastische Finanzmathematik I
• WiSe 2018/19: VL+UE Stochastik II
• SoSe 2018: VL Stochastik I
• WiSe 2017/18: VL Stochastik (Kombibachelor)
• SoSe 2017: VL+UE Stochastische Finanzmathematik II
• WiSe 2016/17: VL+UE Random Graphs
• WiSe 2015/16: VL+UE Stochastische Finanzmathematik I
• SoSe 2015: UE Stochastische Analysis
• WiSe 2014/15: UE Stochastik (Kombibachelor)
• WiSe 2014/15: SE Stochastische Analysis von Finanzblasen
• SoSe 2014: UE Analysis II