Effective October 1st, 2024 Paul is an Assistant Professor at the University of Vienna.
I am a postdoctoral researcher at the Humboldt University of Berlin in the team of Ulrich Horst in the Applied Financial Mathematics & Applied Stochastic Analysis research group.
Previously, I was a scientific assistant in a Math+ Project at TU Berlin and a Ph.D. student under the supervision of Peter K. Friz and Christian Bayer.
In the summer semester 23, I am teaching the course Mathematical Finance II.
Short CV
| October 2021 - February 2024 | Postdoctoral Researcher at Humboldt Universität zu Berlin |
| September 2021 | Dr. rer. nat., Technische Universität Berlin |
| April 2019 - September 2021 | Scientific Assistant at Technische Universität Berlin |
| March 2019 | Master of Science, Technische Universität Berlin |
You can find my detailed CV here: PDF.
Research Interest
- Rough path signatures and their applications in machine learning, stochastic control, mean-field games, and calibration problems in mathematical finance.
- Rough fractional processes, log-correlated fields, Gaussian multiplicative chaos, and their applications to volatility modeling.
Preprints
- G. Fu, P. Hager, U. Horst Mean-Field Liquidation Games with Market Drop-out, 10 March 2023, arxiv, (accepted at Mathematical Finance)
Publications
- C. Bayer, P. Hager, S. Riedel, J. Schoenmakers, Optimal stopping with signatures, Annals of Applied Probability 33 (1) 238–273 February 2023, (journal, arxiv)
- C. Bayer, D. Belomestny, P. Hager, P. Pigato, J. Schoenmakers, V. Spokoiny, Reinforced optimal control, Communications in Mathematical Sciences, 20(7) 1927-1949 (2022),(journal, arxiv)
- P. K. Friz, P. P. Hager, N. Tapia, Unified Signature Cumulants and Generalized Magnus Expansions, Forum of Mathematics, Sigma, 10, E42. (2022), (journal, arxiv)
- P. Hager, E. Neuman, The multiplicative chaos of H = 0 fractional Brownian fields., Annals of Applied Probability, 32 (3) 2139 - 2179 June 2022, (journal, arxiv)
- C. Bayer, D. Belomestny, P. Hager, P. Pigato, J. Schoenmakers, Randomized optimal stopping algorithms and their convergence analysis, SIAM Journal on Financial Mathematics, 12(3), 1201–1225 (2021), (journal, arxiv)
Selected Talks
- Mini-Course on Machine Learning Methods in Finance @ KAUST
- Unified Signature Cumulants and Generalized Magnus Expansions, 24 Feb 2021, Cumulants in Stochastic Analysis, (slides), (video)
Paul Hager
Humboldt University Berlin
Department of Mathematics
Unter den Linden 6
10099 Berlin
Office:
Rudower Chaussee 25
Haus 1; Suite 105
12486 Berlin
Phone:
+49 (0) 30 2093 45403
Email address:
paul.hager[at]hu-berlin.de
hagerpa[at]gmail.de