Todor Bilarev, BMS Phase II student and PhD candidate at Humboldt University Berlin, is one of two recipients of the 2014 GAUSS Prize for Young Academics. He received the award in acknowledgment of his outstanding Master's thesis entitled “On a Singular Control Problem with a Fine-Fuel Constraint and Oblique Reflection”.

The GAUSS Prize is awarded annually by the German Society for Insurance and Financial Mathematics (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik/DGVFM) and the German Actuarial Society (Deutsche Aktuarvereinigung/DAV) in order to motivate young financial mathematicians and actuaries to address unresolved questions in the actuarial sciences. The prize for young academics under the age of 30 is for practice-oriented work that deals with current issues in the insurance and financial markets. In particular, the DGVFM and DAV hope for submissions that bridge the gap between scientific quality and high practical relevance.

For his Master's thesis, Todor studied a model of a large investor who wants to do a substantial trade on the market. However, the investor's trading activities influence the price in a way which is disadvantageous for him: trading too fast moves the price of the stock in an unfavorable direction for him. As an example, a large company selling a considerable portion of its shares can be considered. Executing the trade too quickly might cause a stock market crash as indicated by prominent real-life cases such as the 2010 Flash Crash. The question of how the investor should optimally execute this large trade deal is thus of practical relevance, yet leads to mathematically interesting problems that have been the subject of much research recently. In Todor's set up, the problem of optimal trade execution leads to a particular type of stochastic control problems. Loosely speaking, the optimal trading behavior of the investor can be described by (following or reflecting at) a free boundary curve that can be constructed explicitly.

Todor was presented with the award on 30th April 2015 in Berlin on the “Scientific Day” of the DGVFM's and the DAV's annual conference. The award came with prize money in the sum of 2000 Euro.

Congratulations Todor!