Paul Hager

I am a postdoctoral researcher at the Humboldt University of Berlin in the team of Ulrich Horst in the Applied Financial Mathematics & Applied Stochastic Analysis research group.

Previously, I was a scientific assistant in a Math+ Project at TU Berlin and a Ph.D. student under the supervision of Peter K. Friz and Christian Bayer.

In the summer semester 23, I am teaching the course Mathematical Finance II.

Short CV

since October 2021 Postdoctoral Researcher at Humboldt Universität zu Berlin
September 2021 Dr. rer. nat., Technische Universität Berlin
April 2019 - September 2021 Scientific Assistant at Technische Universität Berlin
March 2019 Master of Science, Technische Universität Berlin

You can find my detailed CV here: PDF.​​​​​​

Research Interest

  • Rough path signatures and their applications in machine learning, stochastic control, mean-field games, and calibration problems in mathematical finance.
  • Rough fractional processes, log-correlated fields, Gaussian multiplicative chaos, and their applications to volatility modeling.

Preprints

  • G. Fu, P. Hager, U. Horst Mean-Field Liquidation Games with Market Drop-out, 10 March 2023, arxiv, (accepted at Mathematical Finance)

Publications

  • C. Bayer, P. Hager, S. Riedel, J. Schoenmakers, Optimal stopping with signatures, Annals of Applied Probability 33 (1) 238–273 February 2023, (journal, arxiv)
  • C. Bayer, D. Belomestny, P. Hager, P. Pigato, J. Schoenmakers, V. Spokoiny, Reinforced optimal control, Communications in Mathematical Sciences, 20(7) 1927-1949 (2022),(journalarxiv)
  • P. K. Friz, P. P. Hager, N. Tapia, Unified Signature Cumulants and Generalized Magnus Expansions, Forum of Mathematics, Sigma, 10, E42. (2022), (journal, arxiv)
  •  P. Hager, E. Neuman, The multiplicative chaos of H = 0 fractional Brownian fields., Annals of Applied Probability, 32 (3) 2139 - 2179 June 2022, (journal, arxiv)
  • C. Bayer, D. Belomestny, P. Hager, P. Pigato, J. Schoenmakers, Randomized optimal stopping algorithms and their convergence analysis, SIAM Journal on Financial Mathematics, 12(3), 1201–1225 (2021), (journalarxiv)

Selected Talks

Contact

Paul Hager
Humboldt University Berlin
Department of Mathematics
Unter den Linden 6
10099 Berlin

Office: 
Rudower Chaussee 25
Haus 1; Suite 105
12486 Berlin

Phone:
+49 (0) 30 2093 45403

Email address: 
paul.hager[at]hu-berlin.de
hagerpa[at]gmail.de