Research

Dynamic Modeling of Limit Order Books


Macroscopic description of trading and price formation in electronic financial markets

Stochastic Moving Boundary Problems


Stochastic perturbations of semi-linear two-phase systems with Stefan-type boundary interaction

Stochastic Analysis in Infinite Dimensions


(Numerical) analysis of stochastic processes in infinite dimensions. In particular, stochastic evolution equations on interpolation spaces.


Research Articles


Recent working paper


  • Stochastic PDE models of limit order book dynamics.
  • with Rama Cont and Martin Keller-Ressel
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Preprints and Publications


Theses


  • Semilinear Stochastic Moving Boundary Problems
  • Doctoral thesis, TU Dresden, 2016
  • A slightly updated version is available here.
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  • An SPDE Model for the Limit Order Book
  • Master thesis, TU Berlin, 2013
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  • Valuation of Barrier Options in Levy Models
  • in German, original title: Bewertung von Barriereoptionen in Levy-Modellen
  • Bachelor thesis, TU Berlin, 2012