Dr. Peter Frentrup
Contact
Office:
Rudower Chaussee 25
, room 1.227
e-mail:
frentrup «at» math.hu-berlin.de
Postal address:
Humboldt-Universität zu Berlin
Institut für Mathematik
Unter den Linden 6
D-10099 Berlin
Teaching
Stochastik II
tutorial (winter semester 2019/2020)
Stochastik I
tutorial (summer semester 2019)
Stochastische Analysis
tutorial (summer semester 2019)
Analysis III
tutorial (winter semester 2018/2019)
Stochastik I
tutorial (summer semester 2018)
Stochastik-Praktikum
(winter semester 2017/2018)
Stochastik I
tutorial (summer semester 2017)
Lineare Algebra I für InformatikerInnen
tutorial (winter semester 2016/2017)
Analysis II
tutorial (summer semester 2016)
Analysis III
tutorial (winter semester 2015/2016)
Mathematik für InformatikerInnen (Analysis I)
tutorial (summer semester 2015)
Analysis III
tutorial (winter semester 2014/2015)
Stochastik I
tutorial (summer semester 2014)
Research
Optimal Trading with Multiplicative Transient Price Impact for Non-Stochastic or Stochastic Liquidity
, PhD thesis, 2019, doi:
10.18452/20600
.
Approximating diffusion reflections at elastic boundaries
(with
Dirk Becherer
and
Todor Bilarev
),
Electron. Commun. Probab.
23 (2018), no. 40, doi:
10.1214/18-ECP141
, preprint available on arXiv:
1710.06342
.
Stability for gains from large investors' strategies in M1/J1 topologies
(with
Dirk Becherer
and
Todor Bilarev
),
Bernoulli
(2019), 25(2), doi:
10.3150/17-BEJ1014
, preprint available on arXiv:
1701.02167
.
Optimal liquidation under stochastic liquidity
(with
Dirk Becherer
and
Todor Bilarev
),
Finance Stoch.
(2018), 22: 39, doi:
10.1007/s00780-017-0346-2
, preprint available on arXiv:
1603.06498
.
I wrote an
applet for exploring
how the free boundary depends on various model parameters.
Optimal Asset Liquidation with Multiplicative Transient Price Impact
(with
Dirk Becherer
and
Todor Bilarev
),
Appl. Math. Optim.
(2017), doi:
10.1007/s00245-017-9418-0
, preprint available on arXiv:
1501.01892
.
Here is an
interactive comparison
of Limit Order Book models, used for Figure 5.
Multiplicative Limit Order Markets with Transient Impact and Zero Spread
(with
Dirk Becherer
and
Todor Bilarev
), submitted 2014, available on arXiv:
1501.01892 ver. 1
.
Exkursionen, inverse Lokalzeiten und Anwendungen in der Portfolioliquidierung
, diploma thesis (supervisor: Prof.
Dirk Becherer
), 2014.
Last modified: November 12, 2019