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researcher

U. Horst

36 papers hereh-index 252k citations111 works total

Matching runs newest-first, so older work may not be attached to this profile yet.

author position
  • first author18
  • middle author10
  • last author7

Across the 35 of 36 papers where every author was matched, so the position is known.

fields
  • q-fin.MF17
  • math.OC8
  • math.PR5
  • q-fin.TR2
  • cs.CE1
  • math.AP1

identity via Semantic Scholar / OpenAlex

activity
20072026
most citedA Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions

48 citations · 195 across the 26 of their papers we have counts for

collaborators
Showing cs.CEShow all

1 paper · 1 filter

cs.CE2007

Risk Minimization and Optimal Derivative Design in a Principal Agent Game

U. Horst, S. Moreno

We consider the problem of Adverse Selection and optimal derivative design within a Principal-Agent framework. The principal's income is exposed to non-hedgeable risk factors arisi…

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Not affiliated with arXiv. Researcher data from Semantic Scholar (ODC-BY) and OpenAlex.