Prof. Dr. Ulrich Horst

Contact

Facility

Faculty of Mathematics and Natural Sciences

Department of Mathematics

Applied Mathematical Finance

Email

horst? Please insert an @ at this point ?mathematik.hu-berlin? Please insert a period at this pointde

Telephone

030 2093-45452

Postal address

Unter den Linden 6, 10117 Berlin

Registered office

Johann von Neumann-Haus, Institutsgeb?ude, Rudower Chaussee 25, 12489 Berlin

Room

1.202

Research projects

Project
DFG Collaborative Research Centre01/2025 - 12/2028
CRC/TRR 190/3: Optimal dynamic contracting, enforcement and ambiguity (SP B02)
Project management: Prof. Dr. Ulrich Horst, Prof. Dr. Roland Strausz
Project
DFG Research Training Group10/2024 - 03/2029
IGRK 2544/2: Stochastic Analysis
Project management: Prof. Dr. Ulrich Horst
Project
DFG Collaborative Research Centre10/2024 - 06/2028
CRC/TRR 388/1: "Microstructural foundations of rough volatility models" (SP B02)
Project management: Prof. Dr. Ulrich Horst, Dr. Christian Bayer, Prof. Dr. D?rte Kreher
Project
DFG Collaborative Research Centre10/2024 - 06/2028
CRC/TRR 388: Mean field games, rough analysis and optimal trading (SP B04)
Project management: Prof. Dr. Ulrich Horst, Prof. Dr. Peter Friz
Project
DFG Collaborative Research Centre10/2024 - 06/2028
CRC/TRR 388/1: Rough analysis in stochastic control (SP B05)
Project management: Prof. Dr. Ulrich Horst, Prof. Dr. Peter Bank
Project
DAAD10/2022 - 03/2026
Sachmittel- u. Betreuungskostenzuschuss Forschungsstipendium Takashi Sato
Project management: Prof. Dr. Ulrich Horst
Project
DFG Collaborative Research Centre01/2021 - 12/2024
CRC/TRR 190/2: Optimal dynamic contracting, enforcement and ambiguity (SP B02)
Project management: Prof. Dr. Ulrich Horst, Prof. Dr. Roland Strausz
Project
DFG Research Training Group04/2020 - 09/2024
IRTG 2544/1: Stochastic Analysis in Interaction
Project management: Prof. Dr. Ulrich Horst, Prof. Dr. Markus Rei?, Prof. Dr. Dirk Becherer, Prof. Dr. D?rte Kreher
Project
DFG other programmes05/2019 - 07/2019
XXVIII. European Workshop on Economic Theory
Project management: Michael Zierhut PhD
Project
Alexander von Humboldt Foundation: Research subsidy10/2018 - 09/2020
Humboldt Reseachr Fellowship for Postdoctoral Researchers
Project management: Prof. Dr. Ulrich Horst
Project
02/2018 - 01/2020
Optimierung in Finanzm?rkten
Project management: Prof. Dr. Ulrich Horst
Project
DFG Collaborative Research Centre01/2017 - 12/2020
CRC/TRR 190/1: Optimal Dynamic Contracting (SP B02)
Project management: Prof. Dr. Roland Strausz, Prof. Dr. Ulrich Horst
Project
Business enterprises / commercial economy06/2015 - 08/2015
Sponsoring 11. Doktorandentreffen Stochastik 2015 Berlin
Project management: Prof. Dr. Ulrich Horst
Project
DFG other programmes04/2012 - 05/2014
FZ: Optimal Order Placement (E12)
Project management: Prof. Dr. Ulrich Horst
Project
Business enterprises / commercial economy04/2012 - 03/2014
Optimierung in Finanzm?rkten
Project management: Prof. Dr. Ulrich Horst
Project
05/2009 - 05/2012
High-Frequency Market Monitoring and Forecasting
Project management: Prof. Dr. Ulrich Horst
Project
Alexander von Humboldt Foundation04/2009 - 12/2012
AvH - Horst
Project management: Prof. Dr. Ulrich Horst
Project
03/2009 - 02/2011
Measuring Portfolio Performance
Project management: Prof. Dr. Ulrich Horst
Project
DFG Collaborative Research Centre01/2009 - 12/2016
CRC 649/2: Securitization and Equilibrium Risk Transfer (TP A 11)
Project management: Prof. Dr. Ulrich Horst
Project
12/2008 - 05/2012
Hidden liquidity and optimal portfolio liquidation
Project management: Prof. Dr. Ulrich Horst
Project
07/2008 - 02/2012
Absicherung von Korrelationsrisiken
Project management: Prof. Dr. Ulrich Horst
Project
06/2008 - 12/2009
Estimating and Predicting realized (Co-Variations of Asset Return)
Project management: Prof. Dr. Ulrich Horst
Project
03/2008 - 02/2010
Filtertechniken, Bayesianische Modellermittlung und optimale Prognosekombination
Project management: Prof. Dr. Ulrich Horst
Project
02/2008 - 01/2012
Mathematische Modelle für elektronische Orderbücher
Project management: Prof. Dr. Ulrich Horst
Project
02/2008 - 11/2010
Derivate in Limit Order M?rkten
Project management: Prof. Dr. Ulrich Horst
Project
02/2008 - 06/2011
Finanzmarktprognosen auf Basis zeitinhomogener Prozesse
Project management: Prof. Dr. Ulrich Horst
Project
02/2008 - 06/2011
Econometric Analysis of Multi-Venue Trading
Project management: Prof. Dr. Ulrich Horst
Project
12/2007 - 11/2011
Limit Order Markets: Multiple Venues and Hidden Orders
Project management: Prof. Dr. Ulrich Horst
Project
11/2007 - 10/2009
Gleichgewichtsmodelle für illiquide Finanzm?rkte
Project management: Prof. Dr. Ulrich Horst

Prof. Dr. Ulrich Horst

Contact

professor

Research projects

CRC/TRR 190/3: Optimal dynamic contracting, enforcement and ambiguity (SP B02)

IGRK 2544/2: Stochastic Analysis

CRC/TRR 388/1: "Microstructural foundations of rough volatility models" (SP B02)

CRC/TRR 388: Mean field games, rough analysis and optimal trading (SP B04)

CRC/TRR 388/1: Rough analysis in stochastic control (SP B05)

Sachmittel- u. Betreuungskostenzuschuss Forschungsstipendium Takashi Sato

CRC/TRR 190/2: Optimal dynamic contracting, enforcement and ambiguity (SP B02)

IRTG 2544/1: Stochastic Analysis in Interaction

XXVIII. European Workshop on Economic Theory

Humboldt Reseachr Fellowship for Postdoctoral Researchers

Optimierung in Finanzm?rkten

CRC/TRR 190/1: Optimal Dynamic Contracting (SP B02)

Sponsoring 11. Doktorandentreffen Stochastik 2015 Berlin

FZ: Optimal Order Placement (E12)

Optimierung in Finanzm?rkten

High-Frequency Market Monitoring and Forecasting

AvH - Horst

Measuring Portfolio Performance

CRC 649/2: Securitization and Equilibrium Risk Transfer (TP A 11)

Hidden liquidity and optimal portfolio liquidation

Absicherung von Korrelationsrisiken

Estimating and Predicting realized (Co-Variations of Asset Return)

Filtertechniken, Bayesianische Modellermittlung und optimale Prognosekombination

Mathematische Modelle für elektronische Orderbücher

Derivate in Limit Order M?rkten

Finanzmarktprognosen auf Basis zeitinhomogener Prozesse

Econometric Analysis of Multi-Venue Trading

Limit Order Markets: Multiple Venues and Hidden Orders

Gleichgewichtsmodelle für illiquide Finanzm?rkte