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Preprints

Please contact us if you encounter any problems downloading our preprints.

  • A maximum principle approach to deterministic mean field games of control with absorption (P. Graewe, U. Horst & R. Sircar)
  • Small impact analysis in stochastically illiquid markets (U. Horst, E. Kivman)
  • Portfolio liquidation games with self exciting order flow (G. Fu, U.Horst, X. Xia)
  • Portfolio liquidation under transient price impact - theoretical solution and implementation with 100 NASDAQ stocks (Y. Chen, U. Horst & H.H. Tran)
  • The microstructure of stochastic volatility models with self-exciting jump dynamics (U. Horst & W. Xu)

 

News

14.04.2021
New paper available
11.03.2021
New paper available
26.01.2021
New publication
More News

Upcoming Events

Mathematical Finance Seminar

Date:
22.04.2021
Time:
17:oo
Johannes Muhle-Karbe (Imperial College London)
Hedging with market and limit orders
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Mathematical Finance Seminar

Date:
29.04.2021
Time:
17:oo
Jodi Dianetti (U. Bielefeld)
Submodular mean field games: Existence and approximation of solutions
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Mathematical Finance Seminar

Date:
06.05.2021
Time:
17:oo
Antoine Jacquier (Imperial)
tba
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More upcoming events

Humboldt-Universität zu Berlin - Department of Mathematics - Applied Financial Mathematics - Unter den Linden 6 - 10099 Berlin - Germany

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