Peter Kratz, Dr.

Short CV: 

• since 12/2011 Postdoc at Aix-Marseille University, Marseille (France)
• 07/2011 - 12/2011 Postdoc at the Institute for Mathematics of Humboldt-University Berlin
• 07/2011 Doctor in mathematics (Dr. rer. nat.) at Humboldt-University Berlin
• 12/2007 - 07/2011 Doctoral student and scientific employee at the Institute for Mathematics of Humboldt-University Berlin
• 07/2007 Diploma in mathematics with minor English philology at Albert-Ludwigs-University Freiburg

Major Research Interests: 

• Mathematical finance
• Stochastic control
• Stochastic modeling
• Stochastic models in epidemiology

Publications: 

• Optimal liquidation in dark pools in discrete and continuous time, PhD thesis, Humboldt-Universität zu Berlin 2011
• Portfolio liquidation in dark pools in continuous time, Mathematical Finance (early view online), 2013 (49 pages with Torsten Schöneborn)
• Hedging forward positions: basis risk versus liquidity costs, SIAM Journal of Financial Mathematics, 4(1), 668-696, 2013 (29 pages with Stefan Ankirchner and Thomas Kruse)
• An explicit solution of a non-linear-quadratic constrained stochastic control problem with jumps: optimal liquidation in dark pools with adverse selection, accepted for publication in Mathematics of Operations Research, 2014 (28 pages)
• Numerical methods in the context of compartmental models in epidemiology}, submitted, 2013 (21 pages with Etienne Pardoux and Brice Samegni Kepgnou)
• Optimal liquidation in dark pools, submiited, 2014 (37 pages with Torsten Schöneborn)
• Optimal liquidation and adverse selection in dark pools, submitted, 2014 (21 pages with Torsten Schöneborn)

Selected Presentations: 

• 12/2013 Goethe-University Frankfurt (seminar presentation)
• 08/2013 CEMRACS Marseille, France (conference presentation)
• 11/2012 Bachelier seminar Paris, France (seminar presentation)
• 11/2012 Stochastic days Mainz (conference presentation)
• 07/2010 Rheinische Friedrich-Wilhelms-Universität Bonn (seminar presentation)
• 03/2010 Stochastic days Leipzig, conference presentation (conference presentation)
• 10/2009 Princeton-Humboldt Conference, Princeton, USA (conference presentation)
• 10/2009 DGF Frankfurt (conference presentation)
• 08/2009 EFA Bergen, Norway (conference presentation)