After graduating with a PhD in Mathematics from Humboldt-Universität zu Berlin in 2000, Ulrich Horst spent several years teaching in Germany and North America. Before he returned to Berlin in the summer of 2007 he was an Assistant Professor at the department of mathematics at the University of British Columbia in Vancouver. Ulrich Horst held visiting positions at various institutions including the Departments Economics and of Operations Research and Financial Enginnering at Princeton University, the Institute for Mathematical Economics at Bielefeld University, the Center for Mathematical Modelling at the Universidad de Chile and at CEREMADE, Universite Paris Dauphine. From March - July /2015 he was a Fellow at the Center for Interdisciplinary Research (ZIF) in Bielefeld.

Ulrich Horst was Deutsche Bank Professor of Applied Mathematical Finance at Humboldt-Universität and the Scientific Director of the Deutsche Bank sponsored Quantitative Products Laboratory. From 07/2012 - 05/2014 he served on the board of the DFG Research Center Mathematics for Key Technologies. During this time he was also scientist in charge of its Application Area E. He is principal investigator of Project A11 of the SFB 649 "Economic Risk"and a board member of the IRTG 1846 "Stochastic Analysis with applications to Biology, Finance and Physics" and a member of the School of Business and Economics at Humboldt University. Since 04/13 he is Head of the Mathematics Department.

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: Visiting Professor, Universite Paris Dauphine
- 10/2012 - 03/2013: Deputy Head, Department of Mathematics
- 03/2013 - 04/2013: Visiting Professor, Center for Mathematical Modelling; Universidad de Chile
- 11/2013 : Visiting Professor, Universite Paris Dauphine
- 09/2014 : Visiting Professor, Universite Paris Dauphine
- 03/2015 - 07/2015: Fellow, Center for Interdisciplinary Research (ZIF)
- 07/2011- present: Full Professor; Humboldt-University Berlin
- 04/2013 - present: Head, Department of Mathematics; 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 - present)
- Associate Editor SIAM Journal on Financial Mathematics (2010 - present)
- Associate Editor Journal of Financial Engineering (2014 - present)
- Associate Editor Market Microstructure and Liquidity (2014 - present)

Major Research Interests:

- Backward (partial) stochastic differential equations
- Stochastic control theory
- Limit order book modelling
- Optimal trading in illiquid markets
- Dynamic Principal-agent games

Publications:

**Optimal order display in limit order markets with liquidity competition**Journal of Economic Dynamics and Control, to apear (Gökhan Cebiroglu & Ulrich Horst)**Equilibrium in incomplete markets under translation invariant preferences**Mathematics of Operations Research, to apear (Patrick Cheridito, Ulrich Horst, Michael Kupper & Traian Pirvu)**A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions;**SIAM J. Control and Optimization, to appear (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) -
**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**; to appear in Journal of Mathematical Economics (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 gents**; 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

Organized Workshops & Conferences:

- 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).

Ulrich Horst

Humboldt University Berlin

Department of Mathematics

Unter den Linden 6

10099 Berlin

**Office: **Rudower Chaussee 25

Haus 1; Suite 202

12486 Berlin

**Phone**: +49 (0) 30 2093 2341**Fax:** +49 (0) 30 2093 5848

Phone:

+49 30 2093 2341

e-Mail Adress:

LastName[at]math.hu-berlin.de

- Ergebnissliste 2. Klausur
- Ulrich Horst now Editor-in-Chief of MAFE
- Berlin-Princeton-Singapore Workshop on Quantitative Finance
- Renewable Energy and Mathematical Economics for the Environment

**d-fine**, the consultancy specializing in the financial sector, sponsors a PhD fellowship "Optimization in Financial Markets". The fellowship has been awarded to Paulwin Graewe.