I'm a Ph.D. student in financial mathematics under Prof. Christoph Kühn at Goethe University Frankfurt (department Stochastics & Financial Math).
I graduated from TU Munich where I was selected into the elite graduate programme TopMath and completed my master under Prof. Alexander Schied.
Research Interests
My area of research is mathematical models of market microstructure, in particular optimal order execution with market impact and price formation under information asymmetry. In my Ph.D. thesis, I investigate insider trading in the discrete-time Kyle model when viewed through the lens of game theory.
This semester's lecture series for the broader public is about game theory: Ringvorlesung Mathematik 2023/24 (in German)
Contact
surname(at)math.uni-frankfurt.de
Goethe-Universität Frankfurt
FB 12 - Institut für Mathematik
Robert-Mayer-Str. 10
D-60325 Frankfurt am Main
Office 706
Publications (Financial Math)
- Kühn, C., & Lorenz, C. (2023). Insider trading in discrete time Kyle games. Submitted for publication. pdf-file.
- Lorenz, C., & Schied, A. (2013). Drift dependence of optimal trade execution strategies under transient price impact. Finance and Stochastics, 17(4), 743-770. https://doi.org/10.1007/s00780-013-0211-x
Talks (Financial Math)
Equilibria in Kyle Games: Fundamental existence results and inconspicuous trade (Dec 2023 upcoming) Quantminds International, LondonInsider trading in discrete time Kyle games (Apr 2023), Seminar Discrete Mathematics, Geometry and Optimisation, Goethe University Frankfurt- Insider trading in discrete time Kyle games (Mar 2023), Workshop on Stochastic Dynamic Games and related topics, Kiel University
- Insider trading in a discrete Kyle model (Jan 2022), Riezlern Seminar of the department of Stochastics & Financial Maths at Goethe University Frankfurt, Riezlern
- A New Stochastic Control Problem Arising in Optimal Order Execution, Talk at the Applied Probability Society Conference, Stockholm