معرفی
Dörte Kreher is an Assistant Professor (Junior Professor) for Applied Stochastic Analysis at the Institute of Mathematics, Humboldt University of Berlin, within the Faculty of Mathematics and Natural Sciences. She has held this position since August 2017 and maintains an active research program in stochastic analysis and mathematical finance, with significant contributions to energy market modeling and market microstructure theory.
Her educational background includes:
- Dr. sc. nat. in Mathematics (University of Zurich, 2014)
- Diplom in Mathematics (Humboldt University of Berlin, 2009)
- B.Sc. in Economics (Humboldt University of Berlin, 2009)
Professor Kreher's research centers on stochastic modeling of financial and energy markets, with expertise in limit order book dynamics, rough volatility, and stochastic partial differential equations. Her work bridges theoretical stochastic analysis with practical applications in electricity markets and high-frequency trading, developing novel diffusion approximations and second-order models that capture complex market behaviors. She investigates phenomena such as asset price bubbles, non-negative martingale solutions, and cross-border transmission constraints in energy systems.
Her recent publications reveal a strong trajectory in applying advanced stochastic methods to real-world market problems, with increasing focus on electricity market modeling and rough volatility foundations. The research demonstrates sophisticated mathematical techniques applied to intraday price dynamics, market microstructure, and optimal control for energy storage systems, reflecting both theoretical depth and practical relevance.
She actively supervises PhD students and secures competitive research funding through multiple collaborative projects:
- MATH+ Project AA4-4: Stochastic modeling of intraday electricity markets (with Markus Reiß)
- MATH+ Project AA4-9: Volatile Electricity Markets and Battery Storage (with Christian Bayer and Manuel Landstorfer)
- Berlin-Oxford IRTG 2544: Stochastic Analysis in Interaction
- SFB/TRR 388 Project B02: Microstructural Foundations of Rough Volatility Models (with Christian Bayer and Ulrich Horst)
As a core member of the Applied Stochastic Analysis group, she contributes to Berlin's vibrant quantitative finance ecosystem through teaching, workshop organization (including multiple Junior Female Researchers in Probability workshops), and collaboration with the Berlin Mathematical School and MATH+ cluster.
