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I am a junior research group leader at Technische Universität Berlin in the field of Stochastic Analysis and Quantitative Finance. Previously, I was a postdoctoral researcher at Humboldt University of Berlin in the Applied Financial Mathematics & Applied Stochastic Analysis research group. I completed my PhD at TU Berlin within a Math+ Project on Optimal control in energy markets using rough analysis and deep networks.

You can find my CV here: PDF.

Research Interests

  • Rough path signatures and their applications in machine learning, stochastic control, mean-field games, and calibration problems in mathematical finance.
  • Fractional processes, log-correlated fields, Gaussian multiplicative chaos, and their applications to volatility modeling.

Preprints

  • P. Bank, C. Bayer, P. P. Hager, S. Riedel, T. Nauen Stochastic Control with Signatures, 4 June 2024, arXiv
  • G. Fu, P. Hager, U. Horst A Mean-Field Game of Market Entry: Portfolio Liquidation with Trading Constraints, 15 March 2024, arXiv

Publications

  • G. Fu, P. Hager, U. Horst Mean-Field Liquidation Games with Market Drop-out, Mathematical Finance, 15 January 2024, (journal, arXiv)
  • C. Bayer, P. Hager, S. Riedel, J. Schoenmakers, Optimal stopping with signatures, Annals of Applied Probability 33 (1) 238–273 February 2023, (journal, arXiv)
  • C. Bayer, D. Belomestny, P. Hager, P. Pigato, J. Schoenmakers, V. Spokoiny, Reinforced optimal control, Communications in Mathematical Sciences, 20(7) 1927-1949 (2022), (journal, arXiv)
  • P. K. Friz, P. P. Hager, N. Tapia, Unified Signature Cumulants and Generalized Magnus Expansions, Forum of Mathematics, Sigma, 10, E42. (2022), (journal, arXiv)
  • P. Hager, E. Neuman, The multiplicative chaos of H = 0 fractional Brownian fields., Annals of Applied Probability, 32 (3) 2139 - 2179 June 2022, (journal, arXiv)
  • C. Bayer, D. Belomestny, P. Hager, P. Pigato, J. Schoenmakers, Randomized optimal stopping algorithms and their convergence analysis, SIAM Journal on Financial Mathematics, 12(3) 1201–1225 (2021), (journal, arXiv)

Selected Talks