Humboldt-Universität zu Berlin >> Wirtschaftswissenschaftliche Fakultät

 

Subproject A11

Securitization and Equilibrium Risk Transfer
 
Contact:
   
Head of Project : Horst, Ulrich, Prof. Dr.
 
Tel:

+49 30 2093 2341

Fax:

+49 30 2093 5848

Email:

horst@math.hu-berlin.de
 

Address:

Humboldt-Universität zu Berlin
Mathematisch-Naturwissenschaftliche Fakultät II
Institut für Mathematik
Unter den Linden 6
10099 Berlin, Germany

 

Employees

NameTitle Email
 
Graewe, PaulwinDipl.-Math.
Kreher, DörteDr.

 

Description


The general objective of our project is to develop novel modeling approaches to analyze price dynamics, investment decisions and optimal risk sharing rules in financial markets under limited transparency and asymmetric information. Our research will respond to challenges coming from the analysis of (i) alternative trading venues with limited pre-trade transparency such as dark pools; (ii) investment decisions under asymmetric information such as delegated portfolio management problems; (iii) markets at the interface of finance and insurance such as environmental emissions markets and markets for weather derivatives. The main methods we use are equilibrium theory and principal-agent games.

 
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