Ulrich Horst

Short CV: 

• 05/1997: Diploma in Mathematical Economics from Bielefeld University
• 11/2000: PhD in Mathematics from Humboldt-University Berlin
• 04/2001 - 07/2001: Visiting research fellow Bendheim Center for Finance; Princeton University
• 09/2001 - 08/2002: Visiting research Fellow; Bendheim Center for Finance; Princeton University
• 09/2002 - 12/2004: Research associate; DFG-Research Center MATHEON
• 09/2003 - 10/2003: Visiting Assistant Professor; Department of Operations Research and Financial Engineering; Princeton University
• 04/2004 - 06/2004: Visiting research fellow; Institute for Mathematics and Its Applications; University of Minnesota
• 01/2005 - 06/2007: Assistant Professor; Department of Mathematics; University of British Columbia Vancouver
• 11/2006 - 12/2006: Visiting Professor; Institute of Mathematical Economics; Bielefeld University
• 03/2009 - 04/2009: Visiting Professor; Center for Mathematical Modelling; Universidad de Chile
• 07/2007 - 06/2011: Deutsche Bank Professor of Applied Mathematical Finance; Humboldt-University Berlin
• 07/2007 - 06/2011: Scientific Director, Deutsche Bank Quantitative Products Laboratory
• 10/2012 - 11/2012: Professeur Invite, Universite Paris Dauphine
• 03/2013 - 04/2013: Visiting Professor, Center for Mathematical Modelling; Universidad de Chile
• 07/2013 - 08/2013: Visiting Researcher; Hausdorff Institute for Mathematics, Bonn
• 11/2013: Professeur Invite, Universite Paris Dauphine
• 09/2014: Professeur Invite, Universite Paris Dauphine
• 10/2014: Visiting Researcher, Newton Institute for the Mathematical Sciences, Cambridge University
• 03/2015 - 07/2015: Fellow, Center for Interdisciplinary Research (ZIF)
• 03/2016: Visiting Professor, Risk Management Institute, National University of Singapore
• 02/2017: Visiting Professor, Risk Management Institute, National University of Singapore 
• 05/2017: Offered Chair of Economic Theory, Bielefeld University; declined
• 03/2018: Guest Professor, Risk Management Institute, National University of Singapore 
• 10/2012 - 09/2018: Head/Deputy Head, Department of Mathematics; Humboldt-University Berlin 
• 07/2011- present: Full Professor; Humboldt-University Berlin

Editorial responsabilities:

• Editor in Chief Mathematics and Financial Economics (2015 - present)
• Acting Editor in Chief Mathematics and Financial Economics (2014)
• Co-Editor Mathematics and Financial Economics (2011 - 2013)
• Associate Editor Mathematics and Financial Economics (2009 - 2011)
• Associate Editor Journal of Economic Dynamics and Control (2011 - 2016)
• Associate Editor Journal of Financial Engineering (2014 - present)
• Associate Editor Market Microstructure and Liquidity (2014 - present)
• Associate Editor SIAM Journal on Financial Mathematics (2011 - 2016)

Major research interests: 

• Stochastic control theory 
• Stochastic and mean-field games
• Scaling limits for stochastic processes 
• Optimal trading in illiquid markets
• Principal-agent games/contract theory

Publications:

• Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies, Finance and Stochastics, to appear (U. Horst & E. Kivman)
• A maximum principle approach to a deterministic mean field game of control with absorption SIAM J. Control and Optimization, 60(5), 3173-3190 (2022) (P. Graewe, U. Horst & R. Sircar)
• The microstructure of stochastic volatility models with self-exciting jump dynamics The Annals of Applied Probability, 32 (6), 4568-4610 (2022) (Ulrich Horst & Wei Xu)
• Portfolio liquidation games with self exciting order flow Mathematical Finance, 30, 4, 1020-1065 (2022) (G. Fu, U.Horst, X. Xia)
• Robust contracting in general contract spaces, Economic Theory, 73, 917–945 (2022) (J. Backhoff-Veraguas, P. Beissner & U. Horst)
• Portfolio liquidation under factor uncertainty The Annals of Applied Probability, 32(1), 80-123 (2022) (Ulrich Horst, Xiaonyu Xia & Chao Zhou)
• Functionall limit theorems for marked Hawkes point measures, Stochastic Processes and Their Applications, 134, 94-131 (2021) (Ulrich Horst & Wei Xu)
• A mean-field game of optimal portfolio liquidation, Mathematics of Operations Research, 46(4):1250-1281 (2021)  (Guanxing Fu, Paulwin Graewe, Ulrich Horst & Alexandre Popier)
• Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint, Applied Mathematics and Optimization, 84(1), 1159-1184 (2021) (Ulrich Horst & Xiaonyu Xia)
• Order exposure and liquidity coordination. Does hidden liquidity harm price efficiency?, Market Microstructure and Liquidity, 5 (1), 2050002 (2020) (Gökhan Cebiroglu, Nikolaus Hautsch & Ulrich Horst)
• Mean-field leader-follower games with terminal state constraint, SIAM J. Control and Optimization, 58(4), 2078-2113 (2020) (Guanxing Fu & Ulrich Horst)
• Multidimensional optimal trade execution under stochastic resilience, Finance & Stochastics, 23(4), 889-923 (2019) (Ulrich Horst & Xiaonyu Xia)
• A scaling limit for limit order books driven by Hawkes processes, SIAM J. Financial Mathematics, 10(2), 350-393 (2019) (Ulrich Horst & Wei Xu)
• A diffusion approximation for limit order book models, Stochastic Processes and Their Applications, 129, 4431-4479 (2019) (Ulrich Horst & Dörte Kreher)
• Trading under market impact - crossing networks interacting with dealer markets, Journal of Economic Dynamics and Control, 100, 131-151 (2019) (Jana Bielagk, Ulrich Horst & Santiago Moreno-Bromberg)
• Second order approximations for limit order books, Finance & Stochastics, 22(4), 827-877 (2018) (Ulrich Horst & Dörte Kreher)
• Sender-receiver games with cooperation, Journal of Mathematical Economics, 76, 52-61 (2018) (Francoise Forges & Ulrich Horst)
• Smooth solutions to portfolio liquidation problems under price sensitive market impact, Stochastic Processes and Their Applications, 128 (3), 979-1006 (2018) (Paulwin Graewe, Ulrich Horst & Eric Sere)
• Mean-field games with singular controls; SIAM J. Control and Optimization, 55(6), 3833-3868 (2017) (Guanxing Fu & Ulrich Horst)
• Optimal trade execution with instantaneous price impact and stochastic resilience; SIAM J. Control and Optimization, 55(6), 3707–3725 (2017) (Paulwin Graewe & Ulrich Horst)
• A law of large numbers for limit order books; Mathematics of Operations Research, 42(4), 1280-1312 (2017) (Ulrich Horst & Michael Paulsen)
• A functional limit theorem for limit order books with state dependent price dynamics; The Annals of Applied Probability, 27(5), 2753-2806 (2017) (Christian Bayer, Ulrich Horst & Jinniao Qiu)
• Maximum Principle for Quasi-linear Reflected Backward SPDEs, J. Mathematical Analysis and Applications, 456, 307-336 (2017) (Guanxing Fu, Ulrich Horst & Jinniao Qui)
• A weak law of large numbers for a limit order book model with fully state dependent order dynamics SIAM J. Financial Mathematics, 8, 314-343 (2017) (Ulrich Horst & Dörte Kreher)
• Conditioal analysis and a Principal-Agent problem SIAM J. Financial Mathematics, 7, 477-507 (2016) (Julio Backhoff & Ulrich Horst)
• A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition; SIAM J. Control and Optimization, 54(2), 946-963 (2016) (Ulrich Horst, Jinniao Qiu & Qi Zhang)
• Equilibrium in incomplete markets under translation invariant preferences Mathematics of Operations Research, 41(1), 174-195 (2016) (Patrick Cheridito, Ulrich Horst, Michael Kupper & Traian Pirvu)
• Feasibility and individual rationality in two-person Bayesian games International Journal of Game Theory, 45(1), 11-36 (2016) (Francoise Forges, Ulrich Horst & Antoine Salomon)
• Optimal order display in limit order markets with liquidity competition Journal of Economic Dynamics and Control, 58, 81-100 (2015) (Gökhan Cebiroglu & Ulrich Horst)
• A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions; SIAM J. Control and Optimization, 53 (2), 690-711 (2015) (Paulwin Graewe, Ulrich Horst & Jinniao Qiu)
• When to Cross the Spread:Trading in Two-Side Limit Order Books; SIAM J. Financial Mathematics, 5 (1), 278-315 (2014) (Ulrich Horst & Felix Naujokat) 
• Forward-backward systems for expected utility maximization; Stochastic Processes and Their Applications, 124, 1813-1848 (2014)  (Ulrich Horst, Ying Hu, Peter Imkeller, Anthony Reveillac, Jianing Zhang)
• Matheon - Mathematics for Key Technologies , EMS Series in Industrial and Applied Mathematics, 1:233-242. European Mathematical Society, 2014. (C. Tischendorf, V. Mehrmann and K. Schmidt. Electronics. In P. Deuflhard, M. Grötschel, D. Hömberg, U. Horst, J. Kramer, V. Mehrmann, K. Polthier, F. Schmidt, C. Schütte, M. Skutella, J. Sprekels, editors) 
• Continuous equilibrium in affine and information-based capital asset pricing models; Annals of Finance, , 9(4), 725-755 (2013) (with Michael Kupper, Andrea Macrina, Christoph Mainberger)
• Efficiency and Equilibria in Games of Optimal Derivative Design; Mathematics and Financial Economics, 5 (4), 269-297 (2011) (with Santiago Moreno-Bromberg)
• On derivatives with illiquid underlying and market manipulation; Quantitative Finance, 11(7), 1051-1066 (2011) (with Felix Naujokat)
• On securitization, market completion and equilibrium risk transfer; Mathematics and Financial Economics, 2 (4), 211-252 (2010)  (with Traian Pirvu and Goncalo Dos Reis)
• Dynamic systems of social interactions; Journal of Economic Behavior and Organization, 73, 158-170 (2010)
• A limit theorem for systems of social interactions; Journal of Mathematical Economics, 45, 609-623 (2009) (with Jose Scheinkman)
• Risk minimization and optimal derivative design in a Principal Agent game; Mathematics and Financial Economics, 2, 1-27, 2008 (with Santiago Moreno-Bromberg)
• Queuing, social interactions and the microstructure of financial markets; Macroeconomic Dynamics, 12, 211-233, 2008 (with Christian Rothe)
• On non-ergodic asset prices; Economic Theory, 34, 207-234, 2008 (with Jan Wenzelburger)
• On the spanning property of risk bonds priced by equilibrium; Mathematics of Operations Research, 32(4), 784-807, 2007 (with Matthias Mueller)
• Queuing theoretic approaches to financial price fluctuations; Handbook of Financial Engineering (ed. J. Birge and V. Linetsky), 2007 (with E. Bayraktar and R. Sircar)
• Ergodicity and non-ergodicity in economics; The New Palgrave Dictionary of Economics, 2nd Edition (ed. L. Blume, S. Durlauf), 2007
• Stochastic Cascades, Credit Contagion, and Large Portfolio Losses; Journal of Economic Behavior and Organization, 63, 25-54 (2007) (Internet Supplement)
• A limit theorem for financial markets with inert investors; Mathematics of Operations Research, 31, 789-810, 2006 (with E. Bayraktar and R. Sircar)
• Equilibria in Systems of Social Interactions; Journal of Economic Theory, 130, 44-77, 2006 (with Jose Scheinkman)
• Rational Expectations equilibria of economies with local interactions; Journal of Economic Theory, 127, 74-116, 2006 (with Alberto Bisin and Onür Özgür)
• A simple model of trading climate risk; Vierteljahrshefte zur Wirtschafts- forschung 74 (02), 175-195, 2005 (with Sabastien Chaumont, Peter Imkeller and Matthias Mueller)
• Equilibria in Financial Markets with Heterogeneous Agents: A probabilistic Perspective; Journal of Mathematical Economics 41 (1-2), 123-155, 2005 (with Hans Föllmer and Alan Kirman)
• Financial price fluctuations in a stock market model with many interacting agents; Economic Theory 25 (4), 917-932, 2005
• Stationary equilibria in discounted stochastic games with weakly interacting players; Games and Economic Behavior 52, 83-108, 2005
• Stability of linear stochastic difference equations in strategically controlled random environments; Adv. Appl. Prob., 35, 961-981, 2004
• Asymptotics of locally interacting Markov chains with global signals; Adv. Appl. Prob., 34, 1-25, 2002
• Convergence of locally and globally interacting Markov chains; Stoch. Proc. Appl., 96 (1), 99-121, 2001 (with Hans Föllmer)
• The stochastic equation Y(t+1) = A(t) Y(t) + B(t) with non-stationary coefficients; J. Appl. Prob., 38, 80-95, 2001 
• Asymptotics of locally and globally interacting Markov chains arising in microstructure models of financial markets ; Shaker-Verlag, Aachen, 2000

Selected organized workshops & conferences: 

• Many player games and applications (08/22); Berlin
• Fourth Berlin-Princeton-Singapore Workshop on Quantitative Finance (03/2019); Singapore
• European Workshop on Economic Theory (06/2019); Berlin
• Mathematics of Behavioral Economics and Knightian Uncertainty in FinancialMarkets, ZiF, Bielefeld (05/2018)
• Third Berlin-Princeton-Singapore Workshop on Quantitative Finance (04/2017); Berlin
• Second Berlin-Princeton-Singapore Workshop on Quantitative Finance (07/2016); Princeton
• 5th Berlin Workshop Mathematical Finance for Young Researchers, Berlin (06/2016)
• Mathematics and Financial Economics, ZiF, Bielefeld (05/2015)
• First Berlin-Princeton-Singapore Workshop on Quantitative Finance (03/2015); Singapore
• New Direction in Mathematicsl Finance and Economics (06/2014); BIRS, Alberta, Canada
• Humboldt Distinguished Lecture Series in Applied Mathematics by P. Glasserman (05/2014)
• First Berlin-Singapore Workshop on Quantitative Finance and Financial Risk (05/2014); Berlin
• Humboldt Distinguished Lecture Series in Applied Mathematics by X.Y. Zhou (04/2013)
• Workshop Mathematics Energy Finance and Natural Resource Management; Santiago de Chile (03/2013) 
• 4th Berlin Workshop Mathematical Finance for Young Researchers, Berlin (10/2012)
• 3rd Berlin Lecture in Finance by P. Embrechts (04/2012)
• Humboldt Distinguished Lecture Series in Applied Mathematics by P. Embrechts (04/2012)
• 2nd Berlin Lecture in Finance by H.H. Kotz (05/2011)
• Humboldt Distinguished Lecture Series in Applied Mathematics by I. Ekeland (04/2011)
• Workshop on Advanced Mathematical Methods for Finance, Berlin (09/2010)
• Humboldt Distinguished Lecture Series in Applied Mathematics by D. Duffie (06/2010)
• Berlin Lecture in Finance by M. Brunnermeier (05/2010)
• Lecture Series“Mathematical Economics” by Roger B. Wets (05/2010)
• Workshop Pricing and Hedging of Environmental and Energy-related Financial Derivatives, National University of Singapore (12/2009)
• 2nd Princeton-Humboldt Conference: Perceiving and Measuring Financial Risk, Princeton (10/2009)
• Humboldt DistinguishedLecture Series in Applied Mathematics by R.T Rockafellar (01/2009)
• 3rd Berlin Workshop on Mathematical Finance for Young Researchers, Berlin(10/2008)
• Summer School Perceiving, Measuring and Managing Risk: Illiquidity, Long-term Risk and Natural Resources; UBC Vancouver (07/2008).
• Humboldt-Princeton Conference: Semi-parametrics Meets Mathematical Finance, Humboldt University Berlin (10/2007)
• Summer School Mathematical modelling of climate and energy risk; Banff International Reserach Station (05/2007).
• Workshop Mathematical modelling of climate and energy risk; Banff International Reserach Station (05/2007).
• Workshop Securitization of Weather and Climate Risk; Humboldt University Berlin (08/2006)
• Summer School Frontiers in Mathematics and Economics; UBC Vancouver (07/2006).
• 2nd Berlin Workshop on Mathematical Finance for Young Researchers - Modelling, Measuring and Managing Financial Risk; Humboldt University Berlin (01/2004).