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Short CV:
- since 2019 Deloitte Consulting GmbH
- 01/2017–12/2018 Postdoc position at Humboldt-Universität zu Berlin
- 04/2017 Dr. rer. nat. in Mathematics, Humboldt-Universität zu Berlin
- 10/2014–09/2018 Member of the Department Board
- 10/2012–03/2014 Lecturer at HTW Berlin
- 04/2012–03/2015 d-fine PhD Fellow "Optimization in Financial Markets"
- 10/2011–12/2016 Member of the CRC 649 Economic Risk
- 07/2011 Diplom in Mathematics at FU Berlin
- 09/2007 Vordiplom in Mathematics at Heidelberg University
Major Research Interests:
- stochastic control
- backward equations with singular terminal condition
- optimal order execution (liquidation)
Publications:
- P. Graewe, U. Horst and R. Sircar, A Maximum Principle approach to a deterministic Mean Field Game of Control with Absorption, SIAM J. Control Optim. 60 (2022) 3173-3190
- P. Graewe and A. Popier, Asymptotic approach for backward stochastic differential equation with singular terminal condition, Stoch. Process. Appl. 133 (2021) 247-277
- G. Fu, P. Graewe, U. Horst and A. Popier, A Mean Field Game of Optimal Portfolio Liquidation, Math. Oper. Res. 46 (2021) 1250-1281
- P. Graewe, U. Horst and E. Séré, Smooth solutions to portfolio liquidation problems under price-sensitive market impact, Stoch. Process. Appl. 128 (2018) 979-1006
- P. Graewe and U. Horst, Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience, SIAM J. Control Optim. 55 (2017) 3707-3725
- P. Graewe, U. Horst and J. Qiu, A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions, SIAM J. Control Optim. 53 (2015) 690-711
- P. Graewe, Optimal liquidation problems and HJB equations with singular terminal condition, PhD thesis, Humboldt-Universität zu Berlin, 2017
Selected Presentations:
- Séminaire probabilités et statistiques, University of Le Mans, June 5, 2018
- 4th Young Researchers Meeting on BSDEs, Nonlinear Expectations and Mathematical Finance, Shanghai, April 23–27, 2018
- Financial Mathematics Seminar, Department of Operations Research and Financial Engineering, Princeton University, October 18, 2017
- Berlin-Princeton-Singapore Workshop on Quantitative Finance, Singapore, June 29–July 1, 2015
- 10. Doktorandentreffen Stochastik 2014, Halle (Saale), August 6–8
- ASC-IMS 2014 Sydney, July 7–10: Invited Session on "Applications of stochastic control to high frequency financial markets"
- BFS 8th World Congress 2014 Brussels, June 2–6: Contributed talk to section "Trading and trading strategies"
- First Berlin-Singapore Workshop on Quantitative Finance and Financial Risk, Berlin, May 21–24, 2014
- ICMS Workshop on "New Trends in Computational Finance and Related Topics", Edinburgh, April 24–25, 2014
- 11th GPSD 2014 Ulm, March 4–7: Contributed talk to section "Stochastic Optimization and Operations Research"
- HIM Workshop "Stochastic Optimization – Models and Algorithms", Bonn, May 27–29, 2013
Organized Workshops & Conferences:
