Short CV: 

  • 05/1997: Diploma in Mathematical Economics from Bielefeld University
  • 11/2000: PhD in Mathematics from Humboldt-University Berlin
  • 04/2001 - 07/2001: Visiting research fellow Bendheim Center for Finance; Princeton University
  • 09/2001 - 08/2002: Visiting research Fellow; Bendheim Center for Finance; Princeton University
  • 09/2002 - 12/2004: Research associate; DFG-Research Center MATHEON
  • 09/2003 - 10/2003: Visiting Assistant Professor; Department of Operations Research and Financial Engineering; Princeton University
  • 04/2004 - 06/2004: Visiting research fellow; Institute for Mathematics and Its Applications; University of Minnesota
  • 01/2005 - 06/2007: Assistant Professor; Department of Mathematics; University of British Columbia Vancouver
  • 11/2006 - 12/2006: Visiting Professor; Institute of Mathematical Economics; Bielefeld University
  • 03/2009 - 04/2009: Visiting Professor; Center for Mathematical Modelling; Universidad de Chile
  • 07/2007 - 06/2011: Deutsche Bank Professor of Applied Mathematical Finance; Humboldt-University Berlin
  • 07/2007 - 06/2011: Scientific Director, Deutsche Bank Quantitative Products Laboratory
  • 10/2012 - 11/2012: Visiting Professor, Universite Paris Dauphine
  • 03/2013 - 04/2013: Visiting Professor, Center for Mathematical Modelling; Universidad de Chile
  • 11/2013: Visiting Professor, Universite Paris Dauphine
  • 09/2014: Visiting Professor, Universite Paris Dauphine
  • 10/2014: Visiting Professor, Newton Institute for the Mathematical Sciences, Cambridge University
  • 03/2015 - 07/2015: Fellow, Center for Interdisciplinary Research (ZIF)
  • 03/2016: Visiting Professor, Risk Management Institute, National University of Singapore
  • 02/2017: Visiting Professor, Risk Management Institute, National University of Singapore 
  • 05/2017: Offered Chair of Economic Theory, Bielefeld University; declined
  • 03/2018: Guest Professor, Risk Management Institute, National University of Singapore 
  • 10/2012 - 09/2018: Head/Deputy Head, Department of Mathematics; Humboldt-University Berlin 
  • 07/2011- present: Full Professor; Humboldt-University Berlin

Editorial responsabilities:

  • Editor in Chief Mathematics and Financial Economics (2015 - present)
  • Acting Editor in Chief Mathematics and Financial Economics (2014)
  • Co-Editor Mathematics and Financial Economics (2011 - 2013)
  • Associate Editor Mathematics and Financial Economics (2009 - 2011)
  • Associate Editor Journal of Economic Dynamics and Control (2011 - 2016)
  • Associate Editor Journal of Financial Engineering (2014 - present)
  • Associate Editor Market Microstructure and Liquidity (2014 - present)
  • Associate Editor SIAM Journal on Financial Mathematics (2011 - 2016)

Major research interests: 

  • Stochastic control theory 
  • Mean-field games
  • Stochastic process limits
  • Limit order book modelling
  • Optimal trading in illiquid markets
  • Principal-agent games/contract theory

Publications:

Selected organized workshops & conferences: 

  • Mathematics of Behavioral Economics and Knightian Uncertainty in FinancialMarkets, ZiF, Bielefeld (05/2018)
  • Third Berlin-Princeton-Singapore Workshop on Quantitative Finance (04/2017); Berlin
  • Second Berlin-Princeton-Singapore Workshop on Quantitative Finance (07/2016); Princeton
  • 5th Berlin Workshop Mathematical Finance for Young Researchers, Berlin (06/2016)
  • Mathematics and Financial Economics, ZiF, Bielefeld (05/2015)
  • First Berlin-Princeton-Singapore Workshop on Quantitative Finance (03/2015); Singapore
  • New Direction in Mathematicsl Finance and Economics (06/2014); BIRS, Alberta, Canada
  • Humboldt Distinguished Lecture Series in Applied Mathematics by P. Glasserman (05/2014)
  • First Berlin-Singapore Workshop on Quantitative Finance and Financial Risk (05/2014); Berlin
  • Humboldt Distinguished Lecture Series in Applied Mathematics by X.Y. Zhou (04/2013)
  • Workshop Mathematics Energy Finance and Natural Resource Management; Santiago de Chile (03/2013) 
  • 4th Berlin Workshop Mathematical Finance for Young Researchers, Berlin (10/2012)
  • 3rd Berlin Lecture in Finance by P. Embrechts (04/2012)
  • Humboldt Distinguished Lecture Series in Applied Mathematics by P. Embrechts (04/2012)
  • 2nd Berlin Lecture in Finance by H.H. Kotz (05/2011)
  • Humboldt Distinguished Lecture Series in Applied Mathematics by I. Ekeland (04/2011)
  • Workshop on Advanced Mathematical Methods for Finance, Berlin (09/2010)
  • Humboldt Distinguished Lecture Series in Applied Mathematics by D. Duffie (06/2010)
  • Berlin Lecture in Finance by M. Brunnermeier (05/2010)
  • Lecture Series“Mathematical Economics” by Roger B. Wets (05/2010)
  • Workshop Pricing and Hedging of Environmental and Energy-related Financial Derivatives, National University of Singapore (12/2009)
  • 2nd Princeton-Humboldt Conference: Perceiving and Measuring Financial Risk, Princeton (10/2009)
  • Humboldt DistinguishedLecture Series in Applied Mathematics by R.T Rockafellar (01/2009)
  • 3rd Berlin Workshop on Mathematical Finance for Young Researchers, Berlin(10/2008)
  • Summer School Perceiving, Measuring and Managing Risk: Illiquidity, Long-term Risk and Natural Resources; UBC Vancouver (07/2008).
  • Humboldt-Princeton Conference: Semi-parametrics Meets Mathematical Finance, Humboldt University Berlin (10/2007)
  • Summer School Mathematical modelling of climate and energy risk; Banff International Reserach Station (05/2007).
  • Workshop Mathematical modelling of climate and energy risk; Banff International Reserach Station (05/2007).
  • Workshop Securitization of Weather and Climate Risk; Humboldt University Berlin (08/2006)
  • Summer School Frontiers in Mathematics and Economics; UBC Vancouver (07/2006).
  • 2nd Berlin Workshop on Mathematical Finance for Young Researchers - Modelling, Measuring and Managing Financial Risk; Humboldt University Berlin (01/2004).
Contact

Ulrich Horst
Humboldt University Berlin
Department of Mathematics

Unter den Linden 6
10099 Berlin

Office: 
Rudower Chaussee 25
Haus 1; Suite 202
12486 Berlin

Phone:
+49 (0) 30 2093 2341

Fax:
+49 (0) 30 2093 5848

email address: 
LastName[at]math.hu-berlin.de