Office: |
Rudower Chaussee 25, Room 1.227 |

e-mail: |
bilarev «at» math.hu-berlin.de |

Postal address: |
Humboldt-Universität zu Berlin Institut für Mathematik Unter den Linden 6 D-10099 Berlin |

- Stochastic processes I: discrete time / Stochastik II tutorial (WS 2017/2018)
- Stochatik I tutorial (SS 2017)
- Stochastic processes I: discrete time / Stochastik II tutorial (WS 2015/2016)

- Illiquidity in financial markets, market impact models
- Stochastic control problems, optimal trade execution
- Singular stochastic control problems, free-boundary problems
- Complex dynamics, Newton's method for complex polynomials

**'Superhedging with transient impact for non-covered and covered options'**(with D. Becherer), in preparation (2017)**'Stability for gains from large investors' strategies in M**(with D. Becherer and P. Frentrup), available on arXiv:1701.02167_{1}/J_{1}topologies'**'Optimal Liquidation under Stochastic Liquidity'**(with D. Becherer and P. Frentrup), available on arXiv: 1603.06498**'Optimal Asset Liquidation with Multiplicative Transient Price Impact'**(with D. Becherer and P. Frentrup), to appear in*Appl Math Optim*(2017), [doi, arXiv]

An interactive comparison of Limit Order Book models, used for Figure 5, written by Peter Frentrup**'On the speed of convergence of Newton's method for complex polynomials'**(with M. Aspenberg and D. Schleicher),*Math. Comp. 85 (2016), 693-705,*[arXiv version]

- 'On a Singular Control Problem with a Finite-Fuel Constraint and Oblique Reflection', Master's Thesis (supervisor: Prof. D. Becherer), Humboldt-Universität zu Berlin, 2013. (This thesis has won a GAUSS-Nachwuchspreis 2014)
- 'Newton's Method - Effcient Root-finding Algorithm for Polynomials', Bachelor's Thesis in Mathematics (supervisor: Prof. D. Schleicher), Jacobs University Bremen, 2011.
- 'Modeling Observation Distributions of Real-valued Stochastic Processes via Observable Operator Models', Bachelor's Thesis in Computer Science (supervisor: Prof. H. Jaeger), Jacobs University Bremen, 2011.