Prof. Dr. David Prömel

Prof. Dr. David Prömel

Assistant Professor in Mathematical Finance
University of Mannheim
Institut of Mathematics
B 6, 26 - Room B4.02
68159 Mannheim

Research Interests

My research interests are stochastic analysis and mathematical finance with current focus on martingale optimal transport, model-free financial mathematics, pathwise stochastic calculus (for financial applications), rough paths, paracontrolled distributions, regularity stuctures, Skorokhod embedding problem, stochastic (partial) differential equations.

Short CV

2019- now     Assistant professor (tenure-track) at University of Mannheim
2017-2019     Lecturer at University of Oxford
2015-2017     Postdoctoral researcher at ETH Zürich
2012-2015     Ph.D. student at Humboldt-Universität zu Berlin
2010-2011     Studies in mathematics at Imperial College London
2007-2012     Studies in mathematics with economics at Humboldt-Universität zu Berlin

Preprints

  • Martingale Optimal Transport Duality
    with Patrick Cheridito, Matti Kiiski and H. Mete Soner, arXiv:1904.04644, 2019.
  • Existence and uniqueness results for time-inhomogeneous time-change equations and Fokker-Planck equations,  
    with Leif Döring, Lukas Gonon and Oleg Reichmann, arXiv:1812.08579, 2018.
  • Paracontrolled distribution approach to stochastic Volterra equations,
    with Mathias Trabs, arXiv:1812.05456, 2018.
  • Optimal extension to Sobolev rough paths,
      with Chong Liu and Josef Teichmann, arXiv:1811.05173, 2018.
  • Stochastic Analysis with Modelled Distributions,
    with Chong Liu and Josef Teichmann, arXiv:1609.03834, 2016.

Papers

  • Characterization of non-linear Besov spaces,
    with Chong Liu and Josef Teichmann, to appear in Trans. Amer. Math. Soc., 2019+.
  • On Skorokhod Embeddings and Poisson Equations,
    with Leif Döring, Lukas Gonon and Oleg Reichmann, Ann. Appl. Probab., vol. 29, no. 4, p. 2302-2337, 2019.
  • Duality for pathwise superhedging in continuous time,
    with Daniel Bartl, Michael Kupper and Ludovic Tangpi, Finance Stoch., vol. 23, no. 3, p. 697-728, 2019.
  • A superhedging approach to stochastic integration,
    with Rafał Łochowski and Nicolas Perkowski, Stoch. Process. Appl., vol. 128, no. 12, p. 4078–4103, 2018.
  • Rough path metrics on a Besov-Nikolskii type scale,
    with Peter K. Friz, Trans. Amer. Math. Soc., vol. 370, no. 12, p. 8521-8550, 2018.
  • Examples of Itô càdlàg rough paths,
    with Chong Liu, Proc. Amer. Math. Soc., vol. 146, no. 11, p. 4937-4950, 2018.
  • Pathwise super-replication via Vovk's outer measure,
    with Mathias Beiglböck, Alexander M. G. Cox, Martin Huesmann and Nicolas Perkowski, Finance Stoch., vol. 21, no. 4, p. 1141-1166, 2017.
  • Rough differential equations driven by signals in Besov spaces,
    with Mathias Trabs, J. Differential Equations, vol. 260, no. 6, p. 5202-5249, 2016.
  • Pathwise stochastic integrals for model free finance,
    with Nicolas Perkowski, Bernoulli, vol. 22, no. 4, p. 2486-2520, 2016.
  • An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift,
    with Alexander Fromm and Peter Imkeller, Electron. J. Probab., vol. 20, no. 127, 1-38, 2015.
  •  Existence of Levy's area and pathwise integration,
    with Peter Imkeller, Commun. Stoch. Anal., vol. 9, no. 1, p. 93-111, 2015.
  • Local times for typical price paths and pathwise Tanaka formulas,
    with Nicolas Perkowski, Electron. J. Probab. vol. 20, no. 46, p. 1-15, 2015.

Proceedings

  • Continuity of the Ito map on Nikolskii spaces, with Peter K. Friz, MFO Report No. 24/2016.
  • Stochastic Analysis with Modelled Distributions, with Josef Teichmann, MFO Report No. 24/2016.

Theses

  • Robust Stochastic Analysis with Applications, 2015, PhD thesis;
    supervisor: Peter Imkeller.
  • Minimal Supersolutions for non-Markovian BSDEs, 2012, Diploma thesis;
    supervisor: Peter Imkeller.