Short CV:
- since 08/2017 Juniorprofessorin für Angewandte Stochastische Analysis (HU Berlin)
- 2014-2017 Postdoc at Humboldt-Universität zu Berlin and SFB 649 Economic Risk
- 2014 Dr. sc. nat. in Mathematics (Universität Zürich)
- 2009 Diplom in Mathematics (Humboldt-Universität zu Berlin)
- 2009 B. Sc. in Economics (Humboldt-Universität zu Berlin)
Projects:
- MATH+ Project AA4-4 "Stochastic modeling of intraday electricity markets" (with Markus Reiß). Research assistant (PhD student): Cassandra Milbradt.
- MATH+ Project AA4-9 "Volatile Electricity Markets and Battery Storage: A Model-Based Approach for Optimal Control" (with Christian Bayer and Manuel Landstorfer). Research assistant (PhD student): Wilfried Kenmoe Nzali.
Preprints:
- Non-negative martingale solutions to the stochastic porous medium equation with sticky behavior (with B. Hambly and K. Starovoitovs), arXiv e-print 2411.05924, 2024.
- Second-order approximation of limit order books in a single-scale regime (with U. Horst and K. Starovoitovs), arXiv e-print 2308.00805, 2023.
- A cross-border market model with limited transmission capacities (with C. Milbradt), arXiv e-print 2207.01939, 2022.
- Red noise in continuous-time stochastic modelling (with A. Morr and N. Boers), arXiv e-print 2212.03566, 2022.
Publications:
- Jump diffusion approximation for the price dynamics of a fully state dependent
limit order book model (with C. Milbradt), SIAM J. Financial Mathematics, 14(1):1-51, 2023. - Bubbles in discrete time models (with M. Herdegen), Finance and Stochastics, 26:899–925, 2022.
- A diffusion approximation for limit order book models (with U. Horst), Stoch. Proc. Appl. 129(11): 4431-4479, 2019.
- Second order approximations for limit order books (with U. Horst), Finance and Stochastics, 22(4):827–877, 2018.
- A weak law of large numbers for a limit order book model with fully state dependent order dynamics (with U. Horst), SIAM J. Financial Mathematics 8:314-343, 2017.
- Change of measure up to a random time: Details, Stoch. Proc. Appl., 127(5):1565-1598, 2017.
- A new kind of augmentation of filtrations suitable for a change of probability measure by a strict local martingale (with A. Nikeghbali), Stat. Prob. Letters, 104:94-101, 2015.
- Strict local martingales and bubbles (with C. Kardaras and A. Nikeghbali), Ann. Appl. Probab., 25(4):1827-1867, 2015.
Co-Organized Workshops & Conferences:
- 7th Berlin Workshop on Mathematical Finance for Young Researchers, Berlin, September 4-6, 2024
- Workshop Junior Female Researchers in Probability, Berlin, October 5-7, 2022
- Workshop Junior Female Researchers in Probability, Berlin / online, October 4-6, 2021
- 3rd Berlin-Princeton-Singapore Workshop on Quantitative Finance, Berlin, April 19-22, 2017
- 5th Berlin Workshop on Mathematical Finance for Young Researchers, Berlin, June 1-4, 2016
- Workshop in Mathematics in Finance, Universität Zürich, September 18, 2013
Teaching:
- SoSe 2024: VL Stochastische Finanzmathematik II
- WiSe 2023/24: VL Methoden der Statistik
- SoSe 2023: VL+UE Stochastische Finanzmathematik II
- WiSe 2022/23: VL Stochastische Finanzmathematik I
- SoSe 2022: SE Stochastik
- WiSe 2020/21: VL Stochastische Finanzmathematik I
- WiSe 2018/19: VL+UE Stochastik II
- SoSe 2018: VL Stochastik I
- WiSe 2017/18: VL Stochastik (Kombibachelor)
- SoSe 2017: VL+UE Stochastische Finanzmathematik II
- WiSe 2016/17: VL+UE Random Graphs
- WiSe 2015/16: VL+UE Stochastische Finanzmathematik I
- SoSe 2015: UE Stochastische Analysis
- WiSe 2014/15: UE Stochastik (Kombibachelor)
- WiSe 2014/15: SE Stochastische Analysis von Finanzblasen
- SoSe 2014: UE Analysis II
Contact
Post:
Humboldt-Universität zu Berlin
Institut für Mathematik
Unter den Linden 6
10099 Berlin
Office:
Rudower Chaussee 25, 12489 Berlin
Room 1.203
Phone:
+49 30 2093 45455
Fax:
+49 30 2093 5848
Email:
LastName[at]math.hu-berlin.de