Dörte Kreher

Dörte Kreher is a Professor of Applied Stochastic Analysis at Humboldt University of Berlin, leading the Department of Mathematics since August 2017. Her research focuses on stochastic analysis, mathematical finance, and energy markets, with a particular emphasis on stochastic processes, limit order book models, and market microstructure.

Education:

• PhD in Mathematics (2014), Universität Zürich
• Diplom in Mathematics (2009), Humboldt University of Berlin
• B.Sc. in Economics (2009), Humboldt University of Berlin

Research Interests: Dr. Kreher’s work integrates theoretical stochastic analysis with practical applications in finance and energy markets. Her projects include modeling intraday electricity markets, optimal control strategies for battery storage, and microstructural foundations of rough volatility models. She collaborates with institutions like MATH+, the Berlin-Oxford IRTG 2544, and the SFB/TRR 388.

Teaching: She teaches advanced courses in stochastic finance, stochastic analysis, and statistics, including Stochastik I, Stochastische Finanzmathematik, and Methoden der Statistik.

Grants & Projects:

• MATH+ Project AA4-4: Stochastic modeling of intraday electricity markets
• MATH+ Project AA4-9: Volatile Electricity Markets and Battery Storage
• Berlin-Oxford IRTG 2544: Stochastic Analysis in Interaction
• SFB/TRR 388 Project B02: Microstructural Foundations of Rough Volatility Models

Labs/Teams: Leads research groups in stochastic finance and mathematical modeling, supervising PhD students such as Cassandra Milbradt, Wilfried Kenmoe Nzali, and Konstantins Starovoitovs.