Ulrich Horst
Ulrich Horst
Verified email at math.hu-berlin.de
Cited by
Cited by
Introduction to Mathematical Finance
U Horst
Equilibria in financial markets with heterogeneous agents: a probabilistic perspective
H Föllmer, U Horst, A Kirman
Journal of Mathematical Economics 41 (1-2), 123-155, 2005
Equilibria in systems of social interactions
U Horst, JA Scheinkman
Journal of Economic Theory 130 (1), 44-77, 2006
Changing identity: the emergence of social groups
U Horst, A Kirman, M Teschl
Rational expectations equilibria of economies with local interactions
A Bisin, U Horst, O Özgür
Journal of Economic Theory 127 (1), 74-116, 2006
Financial price fluctuations in a stock market model with many interacting agents
U Horst
Economic Theory 25 (4), 917-932, 2005
Stationary equilibria in discounted stochastic games with weakly interacting players
U Horst
Games and Economic Behavior 51 (1), 83-108, 2005
A limit theorem for financial markets with inert investors
E Bayraktar, U Horst, R Sircar
Mathematics of Operations Research 31 (4), 789-810, 2006
A non-Markovian liquidation problem and backward SPDEs with singular terminal conditions
P Graewe, U Horst, J Qiu
SIAM Journal on Control and Optimization 53 (2), 690-711, 2015
Stochastic cascades, credit contagion, and large portfolio losses
U Horst
Journal of Economic Behavior & Organization 63 (1), 25-54, 2007
When to cross the spread? Trading in two-sided limit order books
U Horst, F Naujokat
SIAM Journal on Financial Mathematics 5 (1), 278-315, 2014
Forward–backward systems for expected utility maximization
U Horst, Y Hu, P Imkeller, A Réveillac, J Zhang
Stochastic Processes and their Applications 124 (5), 1813-1848, 2014
A law of large numbers for limit order books
U Horst, M Paulsen
Mathematics of Operations Research 42 (4), 1280-1312, 2017
Equilibrium pricing in incomplete markets under translation invariant preferences
P Cheridito, U Horst, M Kupper, TA Pirvu
Mathematics of Operations Research 41 (1), 174-195, 2016
On the spanning property of risk bonds priced by equilibrium
U Horst, M Müller
Mathematics of Operations Research 32 (4), 784-807, 2007
Smooth solutions to portfolio liquidation problems under price-sensitive market impact
P Graewe, U Horst, E Séré
Stochastic Processes and their Applications 128 (3), 979-1006, 2018
A functional limit theorem for limit order books with state dependent price dynamics
C Bayer, U Horst, J Qiu
The Annals of Applied Probability 27 (5), 2753-2806, 2017
Queuing, social interactions, and the microstructure of financial markets
U Horst, C Rothe
Macroeconomic Dynamics 12 (2), 211, 2008
On securitization, market completion and equilibrium risk transfer
U Horst, TA Pirvu, G Dos Reis
Mathematics and Financial Economics 2 (4), 211-252, 2010
Optimal order display in limit order markets with liquidity competition
G Cebiroğlu, U Horst
Journal of Economic Dynamics and Control 58, 81-100, 2015
The system can't perform the operation now. Try again later.
Articles 1–20