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
Preprints and publications
'Cross-impact and hedging in multi-asset price impact models', in preparation
'Hedging with transient price impact for non-covered and covered options' (with D. Becherer), available on arXiv: 1807.05917
'Approximating diffusion reflections at elastic boundaries' (with D. Becherer and P. Frentrup), Electron. Commun. Probab. 23 (2018), no. 40,10.1214/18-ECP141, available on arXiv: 1710.06342
'Stability for gains from large investors' strategies in M1/J1 topologies' (with D. Becherer and P. Frentrup), to app. in Bernoulli, available on arXiv:1701.02167
'Optimal Liquidation under Stochastic Liquidity' (with D. Becherer and P. Frentrup), Finance Stoch (2018) 22: 39, [doi, arXiv]
'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.