Ulrich Horst

Affiliation:
Humboldt-Universität zu Berlin
Department of Mathematics

Research Interests:
Applied Mathematical Finance
Dark Markets and Hidden Liquidity
Optimal Order Placement

Brief CV:

  • 07/2000: PhD in Mathematics (Humboldt University)
  • 08/2001-12/2004: Postdoctoral positions at Princeton University and Humboldt University
  • 01/2005-06/2007: Assistant Professor; Department of Mathematics, University of British Columbia Vancouver
  • 07/2007-06/2011: Deutsche Bank Professor of Applied Mathematical Finance; Humboldt University
  • 07/2011-present: Full Professor; Department of Mathematics, Humboldt University

 

Selected Publications:

  • Hidden liquidity and its market impact; Preprint (with G. Cebiroglu)
  • Optimal display of iceberg orders; Preprint (with G. Cebiroglu)
  • When to cross the spread: curve following with singular control; Prepring (with F. Naujokat)
  • On derivatives with illiquid underlying and market manipulation; Quantitative Finance 11(7), 1051-1066 (with F. Naujokat)

 

Editorial Activities:

  • Co-Editor, Mathematics and Financial Economics
  • Associate Editor, SIAM Journal of Financial Mathematics
  • Associate Editor, Journal of Economic Dynamics and Control

 

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