Humboldt-Universität zu Berlin - Faculty of Mathematics and Natural Sciences - RTG1845


Stochastic finance


Understanding the probabilistic structure of financial markets is key for developing efficient and reliable risk management tools. During the last two decades the field of stochastic finance has developed into one of the most vibrant and competitive areas in probability theory. Our research topics include equilibrium in incomplete markets, stochastic target problems, trading in illiquid markets, and volatility risk and affine models. The following faculty members propose specific research projects in this area: P. Bank, D. Becherer, P. Friz, U. Horst, P. Imkeller, A. Papapantoleon.

Main research fields


  • BSDE in finance: optimization and equilibrium
  • Market frictions: illiquidity and information
  • Volatility and affine processes