My research interests cover a broad range of topics in the analysis of high dimensional (stochastic) systems arising in applications such as quantitative finance. My main research projects covered the following three pillars:

Dynamics of electronic markets

Modeling and understanding of trading and price formation in electronic limit order book driven 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
  • Python package available at:
  • Github: lobpy
  • Package API

Preprints and Publications


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