Prof. Dr. Peter Bank

Since July 2007: Professor of Mathematics at the Technische Universität Berlin and Scientific Director of the Quantitative Products Laboratory
2006-2007: Associate Professor of Mathematics, Columbia University in the City of New York
2004-2006: Assistant Professor of Mathematics, Columbia University in the City of New York
2002-2004: Juniorprofessor, Institut für Mathematik, Humboldt-Universität zu Berlin
2001-2002: Research Assistant, Institut für Mathematik, Humboldt-Universität zu Berlin
2000: Conferral of doctorate at the Humboldt-Universität zu Berlin
1996: Diploma in Mathematics, Rheinische Friedrich-Wilhelms-Universität Bonn

Peter Bank holds a Diploma in Mathematics from Universität Bonn. He graduated as a PhD from Humboldt-Universität with a dissertation which was awarded the Joachim-Tiburtius-Preis in 2001. From 2002 through 2004 he served as one of the first Junior Professors at Humboldt-Universität before joining the Department of Mathematics of Columbia University in the City of New York. Having worked there first as an Assistant Professor and later as Associate Professor, he returned to Berlin in 2007 to join the Department of Mathematics of Technische Universität and to work as a Scientific Director at QP Lab. Peter Bank is also involved in projects at the DFG Research Center Matheon and the DFG International Research Training Group "Stochastic Models of Complex Systems". His research interests are applications of Stochastic Analysis and Optimization in Economics and Finance.

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Selected Publications in Refereed Journals

"Optimal Consumption Choice with Intertemporal Substitution", Annals of Applied Probability (2001), 11, 750–788 (with F. Riedel)
"A Stochastic Representation Theorem with Applications to Optimization and Obstacle Problems", Annals of Probability (2004), Vol. 32, No. 1B, 1030–1067 (with N. El Karoui)
"American Options, Multi–armed Bandits, and Optimal Consumption Plans: A Unifying View", in Paris-Princeton Lectures on Mathematical Finance 2002, Hrsg.: R. Carmona, E. Cinlar, I. Ekeland, E. Jouini, J. Scheinkman, N. Touzi, Lecture Notes in Mathematics, Vol. 1814, Springer, 2003 (with H. Föllmer)
"Hedging and Portfolio Optimization in Financial Markets with a Large Trader", Mathematical Finance (2004), 14, 1–18 (with D. Baum)
"On Gittins’ Index Theorem in Continuous Time", to appear in Stochastic Processes and Their Applications (2007) (with C. Küchler)