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  • Applied Financial Mathematics | Applied Financial Mathematics
    levels Current research activities at this chair range from theoretical questions in probability theory and optimization arising in modern models of financial markets to quantitative methods for analyzing optimal trading strategies in dark markets To learn more about our research and teaching activities we invite you to delve into the following pages Auf Grund eines technischen Problems kann die Ergebnisliste zur Stochastic Klausur leider nicht hochgeladen werden Die Ergebnisse werden ab Freitag in Bereich der Stochastik Haus 1 2 Etage durch Aushang bekannt gegeben Klausureinsicht Mi 20 04 15 16 Uhr RUD 25 1 214 Minicourse The Skorokhod embedding problem old and new Asymptotic Lower Bounds for Optimal Tracking a Linear Programming Approach 5th Berlin Workshop on Mathematical Finance for Young Researchers Crossroads Workshop on Stochastic Analysis and Related Fields Teaching Click here to learn more about our teaching activities and core courses for students majoring in mathematical finance Read more Research Find out about the many possibilities of carrying out research in probability and mathematical finance in Berlin Read more Team Our team comprises more than 10 students at all levels Find out more their reserach activities Read more Postdoctoral Opportunity We invite application for two postdoctoral fellowships in Applied Probability and Mathematical Economics The starting date is flexible the initial appointment will be for 2 years with the possibility of renewal for another year We are particularly interested in candidates with demonstrated strong research potential who work in the intersection of probability or PDE theory and financial mathematics or mathematical economics A PhD in Mathematics or Business Mathematics is required Please send your application including cover letter CV list of publications and statement of research interests to Prof Dr Ulrich Horst Humboldt University Berlin Department of Mathematics Unter den Linden 6 10099 Berlin Applications by email to bergmann

    Original URL path: http://horst.qfl-berlin.de/ (2016-04-24)
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  • Applied Financial Mathematics | Applied Financial Mathematics
    levels Current research activities at this chair range from theoretical questions in probability theory and optimization arising in modern models of financial markets to quantitative methods for analyzing optimal trading strategies in dark markets To learn more about our research and teaching activities we invite you to delve into the following pages Auf Grund eines technischen Problems kann die Ergebnisliste zur Stochastic Klausur leider nicht hochgeladen werden Die Ergebnisse werden ab Freitag in Bereich der Stochastik Haus 1 2 Etage durch Aushang bekannt gegeben Klausureinsicht Mi 20 04 15 16 Uhr RUD 25 1 214 Minicourse The Skorokhod embedding problem old and new Asymptotic Lower Bounds for Optimal Tracking a Linear Programming Approach 5th Berlin Workshop on Mathematical Finance for Young Researchers Crossroads Workshop on Stochastic Analysis and Related Fields Teaching Click here to learn more about our teaching activities and core courses for students majoring in mathematical finance Read more Research Find out about the many possibilities of carrying out research in probability and mathematical finance in Berlin Read more Team Our team comprises more than 10 students at all levels Find out more their reserach activities Read more Postdoctoral Opportunity We invite application for two postdoctoral fellowships in Applied Probability and Mathematical Economics The starting date is flexible the initial appointment will be for 2 years with the possibility of renewal for another year We are particularly interested in candidates with demonstrated strong research potential who work in the intersection of probability or PDE theory and financial mathematics or mathematical economics A PhD in Mathematics or Business Mathematics is required Please send your application including cover letter CV list of publications and statement of research interests to Prof Dr Ulrich Horst Humboldt University Berlin Department of Mathematics Unter den Linden 6 10099 Berlin Applications by email to bergmann

    Original URL path: http://horst.qfl-berlin.de/index.php (2016-04-24)
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  • Sitemap | Applied Financial Mathematics
    Ulrich Horst Postdocs PhD Students Graduate Students Administrative Staff Alumni Events Lecture Series Summer Schools Workshops and Conferences Research Seminars Teaching Continuous Time Finance Berufsbezogenes Fachseminar Stochastik Research Publications Preprints Reserach Network Berlin Mathematical School Stochastics in Berlin MATHEON Contact News Computer klüger als der Mensch Das vergessene Werkzeug der Ökonomie Research Projects funded under HU s strategic partnership programs with Princeton University and NUS Young researcher worksho p d

    Original URL path: http://horst.qfl-berlin.de/menutree/menu-hauptmen-- (2016-04-24)
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  • Imprint | Applied Financial Mathematics
    math hu berlin de Ulrich Horst Scientific Director Quantitative Products Laboratory Global Markets Equity Deutsche Bank AG Alexanderstraße 5 10178 Berlin Germany 49 30 3407 5500 Direct 49 30 3407 1763 Fax FirstName LastName at db com Internet www dbquant com Internet www qplab com Some Pictures are from Aboutpixel de News Computer klüger als der Mensch Das vergessene Werkzeug der Ökonomie Research Projects funded under HU s strategic partnership

    Original URL path: http://horst.qfl-berlin.de/imprint (2016-04-24)
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  • User account | Applied Financial Mathematics
    User account Log in Request new password Username Enter your Applied Financial Mathematics username Password Enter the password that accompanies your username News Computer klüger als der Mensch Das vergessene Werkzeug der Ökonomie Research Projects funded under HU s strategic partnership programs with Princeton University and NUS Young researcher worksho p d fine job opportunities d fine continuously offers job opportunities for students and university graduates both internships and permanent

    Original URL path: http://horst.qfl-berlin.de/user (2016-04-24)
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  • About the Chair | Applied Financial Mathematics
    singular terminal values dynamic equilibrium pricing and utility optimization in incomplete markets principal agent games with application to optimal portfolio delegation and cooperation in Baysian games We offer a lively program of courses for undergraduates and graduate students seminars workshops and summer schools The chair enjoys strong connections with several research centers in Berlin including the SFB 649 Economic Risk Project A11 Securitization and Equilibrium Risk Transfer the DFG Research Center Matheon Project E2 Securitization assessment of external risk factors Project E11 Optimal order placement in illiquid markets the Berlin Mathematical School leading national and international research centers such as the Department of Operations Research and Financial Engineering at Princeton University the Pacific Institute for the Mathematical Sciences at UBC Vancouver the Center for Mathematical Modelling at the Universidad de Chile the Center for Quantitative Finance at the National University of Singapore and CEREMADE Paris Dauphine We also cooperate with selected industry partners such as d fine the consultancy specializing in the financial sector During the last five years we have organized and co organized more than 20 scientific events including Workshop on New Directions in Mathematical Finance and Economics July 2014 Banff Alberta Canada First Berlin Singapore Conference on Quantitative Finance May 2014 Berlin Workshop Mathematics Energy Finance and Natural Resource Management Santiago de Chile March 2013 Santiago de Chile 4th Berlin Workshop Mathematical Finance for Young Researchers Berlin May 2012 Workshop Pricing and Hedging of Environmental and Energy related Financial Derivatives July 2009 National University of Singapore We also established the Humboldt Distinguished Lecture Series in Applied Mthematics and the Berlin Finance Lecture Each week we host in collaboration with other Berlin chairs and institutions a number of seminars featuring talks by leaders in mathematical and quantitative finance from Berlin and around the world Here is a link

    Original URL path: http://horst.qfl-berlin.de/about-chair (2016-04-24)
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  • Applied Financial Mathematics
    Read more Fabian Bendig Graduate Student Read more Guanxing Fu PhD Student Read more Jana Bielagk PhD Student Read more Johannes Klütz Graduate Student Read more Oliver Janke PhD Student Read more Paulwin Graewe PhD Student Read more Sabine Bergmann Administrative Staff Read more News Computer klüger als der Mensch Das vergessene Werkzeug der Ökonomie Research Projects funded under HU s strategic partnership programs with Princeton University and NUS Young

    Original URL path: http://horst.qfl-berlin.de/team (2016-04-24)
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  • Ulrich Horst | Applied Financial Mathematics
    Optimization 54 2 946 963 2016 Ulrich Horst Jinniao Qiu Qi Zhang Equilibrium in incomplete markets under translation invariant preferences Mathematics of Operations Research 41 1 174 195 2016 Patrick Cheridito Ulrich Horst Michael Kupper Traian Pirvu Feasibility and individual rationality in two person Bayesian games International Journal of Game Theory 45 1 11 36 2016 Francoise Forges Ulrich Horst Antoine Salomon Optimal order display in limit order markets with liquidity competition Journal of Economic Dynamics and Control 58 81 100 2015 Gökhan Cebiroglu Ulrich Horst A Non Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions SIAM J Control and Optimization to appear Paulwin Graewe Ulrich Horst Jinniao Qiu When to Cross the Spread Trading in Two Side Limit Order Books SIAM J Financial Mathematics 5 1 278 315 2014 Ulrich Horst Felix Naujokat Forward backward systems for expected utility maximization Stochastic Processes and Their Applications 124 1813 1848 2014 Ulrich Horst Ying Hu Peter Imkeller Anthony Reveillac Jianing Zhang Continuous equilibrium in affine and information based capital asset pricing models Annals of Finance 9 4 725 755 2013 with Michael Kupper Andrea Macrina Christoph Mainberger Efficiency and Equilibria in Games of Optimal Derivative Design Mathematics and Financial Economics 5 4 269 297 2011 with Santiago Moreno Bromberg On derivatives with illiquid underlying and market manipulation Quantitative Finance 11 7 1051 1066 2011 with Felix Naujokat On securitization market completion and equilibrium risk transfer Mathematics and Financial Economics 2 4 211 252 2010 with Traian Pirvu and Goncalo Dos Reis Dynamic systems of social interactions Journal of Economic Behavior and Organization 73 158 170 2010 A limit theorem for systems of social interactions to appear in Journal of Mathematical Economics with Jose Scheinkman Risk minimization and optimal derivative design in a Principal Agent game Mathematics and Financial Economics 2 1 27 2008 with Santiago Moreno Bromberg Queuing social interactions and the microstructure of financial markets Macroeconomic Dynamics 12 211 233 2008 with Christian Rothe On non ergodic asset prices Economic Theory 34 207 234 2008 with Jan Wenzelburger On the spanning property of risk bonds priced by equilibrium Mathematics of Operations Research 32 4 784 807 2007 with Matthias Mueller Queuing theoretic approaches to financial price fluctuations Handbook of Financial Engineering ed J Birge and V Linetsky 2007 with E Bayraktar and R Sircar Ergodicity and non ergodicity in economics The New Palgrave Dictionary of Economics 2nd Edition ed L Blume S Durlauf 2007 Stochastic Cascades Credit Contagion and Large Portfolio Losses Journal of Economic Behavior and Organization 63 25 54 2007 Internet Supplement A limit theorem for financial markets with inert investors Mathematics of Operations Research 31 789 810 2006 with E Bayraktar and R Sircar Equilibria in Systems of Social Interactions Journal of Economic Theory 130 44 77 2006 with Jose Scheinkman Rational Expectations equilibria of economies with local interactions Journal of Economic Theory 127 74 116 2006 with Alberto Bisin and Onür Özgür A simple model of trading climate risk Vierteljahrshefte zur Wirtschafts forschung 74

    Original URL path: http://horst.qfl-berlin.de/ulrich-horst (2016-04-24)
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