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Ulrich Horst

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: 

 

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

d-fine fellowship

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.