The paper A mean-field game of optimal portfolio liquidation by Guanxing Fu, Paulwin Graewe, Ulrich Horst & Alexandre Popier has been accepted for publication in Mathematics of Operations Research.
The course on stochastic analysis will be offered online (inverted-classroom format). The game-theory course will be offered as a 4h course starting end of May. Please visit the course webpages for further information.
The paper Mean-field leader-follower games with terminal state constraint has been accepted for publication in SIAM J. Control and Optimization.
The paper Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint has been accepted for publication in Applied Mathematics and Optimization.
Jana Bielagk won the Faculty Teaching Award! Congratulations.
The paper Portfolio liquidation under transient price impact - theoretical solution and implementation with 100 NASDAQ stocks by Ying Chen, Ulrich Horst and Hoang Hai Tran is now available for download.
The paper The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics by Ulrich Horst and Wei Xu is now available for download.
The paper Robust Contracting in General Contract Spaces by J. Backhoff-Veraguas, P. Beissner and U. Horst is now available for download.
Dr. Sima Mehri joint us as a postdoctoral student from Technical University Berlin effective October 1st. Welcome!
The paper Portfolio liquidation under factor uncertainty by Ulrich Horst, Xiaonyu Xia and Chao Zhou is now available on arXiv.
The paper Functional Limit Theorems for Marked Hawkes Point Measures by Ulrich Horst and Wei Xu is now available on arXiv.
The course content relevant for the first exam date comprises everything up to and including the definition of solutions to SPDEs.
Very Well Done! The viewing is scheduled for April 9th, at 9:30 am in RUD 25, room 2.232
The paper Multidimensional optimal trade execution under stochastic resilience by U. Horst and X. Xia has been accepted for publication in Finance & Stochastics.
Here are the grades of the FiMa exam of April 1st.
Here are the grades of the financial math exam. An exam viewing will be scheduled for early April.
Here are of the grades of the game theory exam. The viewing of the exam is scheduled for Tue, Feb 19 at 14:oo in RUD 25, Room 1.232 (Dr. Klishchuk).
The paper A scaling limit for limit order books driven by Hawkes processes by Ulrich Horst and Wei Xu has been accepted for publication by SIAM J. Financial Mathematics.
The paper A diffusion approximation for limit order book models by U. Horst and D. Kreher has bene accepted for publication in Stochastic Processes and Their Applications.
The DFG has approved a joint proposal by Ulrich Horst and Michael Ziergut (HU, Econ) to host the XXVIII. European Workshop on Economic Theory at HUB in 2019.
Ulrich Horst presented the paper Mean-field leader-follower games with state constraints at Princeton University and Columbia University.
Die Klausureinsicht Analysis II* findet statt am 18.10. von 13:30 bis 14:30 Uhr in RUD 25, 1.214.
Hier finden Sie die Ergebnisse der Klausur Analysis II*.
Die Klausureinsicht findet am Donnerstag, den 18.10.2018, 13:30-14:00 in Raum 1.214 (RUD25) statt.
Hier finden Sie die Klausurergebnisse Stochastik I vom 09.10.2018.
The paper Trading under market impact - crossing networks interacting with dealer markets by Jana Bielagk, Ulrich Horst and Santiago Moreno-Bromberg has been accepted for publication in Journal of Economic Dynamics and Control.
A warm welcome to Bogdan Klishchuk who joined us from the Australian National University!
Hinweise zur Klausur Analysis II* am 24. Juli. Es sind keine Hilfsmittel zugelassen. Ein Taschenrechner ist nicht notwendig. Es gibt 9 Aufgaben; es werden insgesamt 30 Punkte vergeben. Ausgangspunkt für die Bewertung sind 26 Punkte; insbesondere gilt die Klausur als bestanden, wenn 13 Punkte erreicht wurden.
The teaching evaluation of the real analysis course is now available. Thanks to those who participated!
Einblicke in die fachliche und technologische Beratungspraxis: Montag, 25 Juni im Adina Apartment Hotel Berlin; Checkpoint Charlie; Krausenstraße 35 – 36; 10117 Berlin. Jetzt bewerben! Mehr Informationen hier.
Our application for a Joint Projects Grant in the Profile Partnership between Humboldt-Universität zu Berlin and the National University of Singapore was selected for funding. The lead Principal Investigators are Ulrich Horst and Dörte Kreher at HU and Ying Chen and Chao Zhou at NUS.