About the Chair

We carry out interdisciplinary research at the interface of mathematical finance, probability and economic theory. Currently, our research focusses on, but is not limited to equilibrium pricing in incomplete markets under complete and incomplete information, mathematical models of electronic order books, optimal placement of hidden liquidity and principal agent games.

We offer a lively program of courses for undergraduates and graduate students, seminars, workshops and summer schools. The chair enjoys strong connections with several research centers in Berlin including the SFB 649 Economic Risk (Project A11, Securitization and Equilibrium Risk Transfer), the DFG Research Center Matheon (Project E2, Securitization: assessment of external risk factors) and leading national and international research centers including the Department of Operations Research and Financial Engineering at Princeton University, the Pacific Institute for the Mathematical Sciences at UBC Vancouver, and the Center for Mathematical Modelling at the Universidad de Chile.

Each week, we host, in collaboration with other Berlin chairs and institutions, a number of seminars featuring talks by leaders in mathematical and quantitative finance from Berlin and around the world. Here is a link to the calendar of events.