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. 

Here are the teaching evaluations for the math finance and the SPDE course. 

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

564547 1,7
564425 1,3
564428 2,3
558608 1,7
599678 2,0
564641 1,0

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. 

578339 3,7
592424 5
586924 5
601770 2
576424  
554474  
576409 1
570197  
583147 5

Thursday, April 4, 14:oo; Room 1.228 (G. Fu)

The grades of the Stochastik II exam can be found here

The grades of the Stochastik II exam can be found here

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). 

Here are teaching evaluations for the financial mathematics and game theory course.

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. 

Some game theory exercises can be found here.

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!  

Hier finden Sie die Klausurergebnisse Stochastik I.

Hier finden Sie die Klausurergebnisse Analysis II*

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!

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. 

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.

Wei Xu was rewarded a fellowship of the AvH Foundation. Congratulations!