Our team currently comprises two professors and more than 10 students (master, PhD, postdoc). Their current research focusses on
- stochastic control theory, especially singular optimal control problems arising in models of portfolio liquidation
- game theory, especially mean-field games and mean-field type control problems and their applications finance
- scaling limits for stochastic processes and their applications to financial mathematics and mathematical biology
- financial bubbles
We have published an array of research papers in leading international journals in recent years. Here are some representative publications and preprints. A complete list of current preprints can be found here.
- The microstructure of stochastic volatility models with self-exciting jump dynamics (U. Horst & W. Xu)
- Robust contracting in general contract spaces, Economic Theory, (2021) to appear (J. Backhoff-Veraguas, P. Beissner & U. Horst)
- Portfolio liquidation under factor uncertainty, The Annals of Applied Probability (2021), to appear (Ulrich Horst, Xiaonyu Xia & Chao Zhou)
- A mean-field game of optimal portfolio liquidation, Mathematics of Operations Research, to appear (Guanxing Fu, Paulwin Graewe, Ulrich Horst & Alexandre Popier)
- Mean-field leader-follower games with terminal state constraint, SIAM J. Control and Optimization, to appear (Guanxing Fu & Ulrich Horst)
- Multidimensional optimal trade execution under stochastic resilience, Finance & Stochastics, 23(4), 889-923 (2019) (Ulrich Horst & Xiaonyu Xia)
- A diffusion approximation for limit order book models, Stochastic Processes and Their Applications, 129, 4431-4479 (2019) (Ulrich Horst & Dörte Kreher)
- Second order approximations for limit order books, Finance & Stochastics, 22(4), 827-877 (2018) (Ulrich Horst & Dörte Kreher)
We are always looking for motivated master and PhD students. PhD fellowships are offered on a continuous basis; contact us if you are interested in joining our team.