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. He held visiting positions at several universities including the Departments Economics and of Operations Research and Financial Enginnering at Princeton University, the Institute for Mathematical Economics at Bielefeld University and the Center for Mathematical Modelling at the Universidad de Chile. 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 was appointed Deutsche Bank Professor of Applied Mathematical Finance at Humboldt-Universität in the summer of 2007 when he also took over as one of the Scientific Director of the Deutsche Bank sponsored Quantitative Products Laboratory. His research interests cover an array of topics in mathematical economics and applied probability including microstructure models for financial price fluctuations, equilibrium theory in incomplete markets, liquidity risk and non-linear pricing, and stochastic games.
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 Researcher; 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, Quantitative Products Laboratory
- 07/2011- present: Full Professor; Humboldt-University Berlin
Editorial Responsabilities:
- Co-Editor Mathematics and Financial Economics (2011 - present)
- Associate Editor Journal of Economic Dynamics and Control (2011 - present)
- Associate Editor SIAM Journal on Financial Mathematics (2010 - present)
Publications:
- 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
Selected Presentations:
- Otto A. Hack `03 Finance Seminar; Princeton University (2001)
- Blaise Pascal International Conference on Financial Modelling ; Paris (2003)
- 2nd World Congress of the Game Theory Society; Marseille (2004)
- 3rd World Congress of the Bachelier Finance Society; Chicago (2004)
- 59th European Meeting of the Econometric Society; Madrid (2004)
- 4th World Congress of the Bachelier Finance Society; Tokyo(2006)
- Yale University; Department of Economics (2006)
- Imperial College London; Department of Mathematics (2006)
- Cornell University; Department of Operations Research (2007)
- ETH Zurich; Department of Mathematics (2007)
- 5th World Congress of the Bachelier Finance Society; London (2008)
- Fields Institute, Quantitative Finance Seminar (2009)
- Energy Finance 2010 / INREC 2010 Conference (2010)
- London School of Economics; Department of Mathematics (2011)
- 4th International Conference on Mathematical Finance; Berg-en-Dal Camp, South Africa (2011)
Organized Workshops & Conferences:
- 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)
- 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 (July 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 (May 2007).
- Workshop Mathematical modelling of climate and energy risk; Banff International Reserach Station (May 2007).
- Workshop Securitization of Weather and Climate Risk; Humboldt-University (August 2006)
- Summer School Frontiers in Mathematics and Economics; UBC Vancouver (July 2006).
- Berlin Workshop on Mathematical Finance for Young Researchers - Modelling, Measuring and Managing Financial Risk; Humboldt-University (January 2004).
Prof. Dr. Ulrich Horst
Humboldt University Berlin
Department of Mathematics
Unter den Linden 6
10099 Berlin
Phone:
+49 30 2093 2341
e-Mail Adress:
LastName[at]math.hu-berlin.de
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News
- Coming up: 4th Humboldt Distinguished Lecture Series in Applied Mathematics by Paul Embrechts
- Oliver Janke joins the Chair as a research assistant effective April 1st. Welcome!
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 Gräwe.
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