This story appears in the collection Tales of the Night made up of stories by Hoeg that are all set on the evening of March 19, 1929. In this one, a depressed young Danish mathematician takes a train ride through Central Africa with Joseph Korzeniowski (a.k.a. Joseph Conrad, author of "Heart of Darkness").
The character of the mathematician here is obsessed with the certainty of mathematics and proudly uses it to "avoid" the real world:
(quoted from Journey into a Dark Heart)
Until a year previously and for as long as he could remember, David had been a mathematician. Not the sort who studies the discipline because he believes he has a quicker grasp of it than of any other, or because one must make a career of something, or out of curiosity. No, he became a mathematician out of a deep burning passion for that crystalclear, purifying algebraic science from which all earthly uncertainty has been distilled.

(quoted from Journey into a Dark Heart)
"I am von Lettow. General Paul von Lettow Voerbeck."
Even to David, who prided himself somewhat on his ignorance of that part of the world not featured in mathematics journals, this name as it was uttered seemed to fill the air with all the weight of an equestrian statue suddenly materializing in the room.

David speaks to General von Lettow and Joseph K. about his goal of eliminating all uncertainty, of a mathematical theory that would explain and predict everything out of a few simply principles. However, as he explains, the work of Kurt Gödel has showed mathematics instead to be built on shaky ground, like the Tower of Pisa:
(quoted from Journey into a Dark Heart)
"In Vienna," he continued slowly, "I met...someone with a very clear view of things. He is working on a particular theorem, a proposition. When I saw this proposition it seemed to me to shatter my dream. Of course he is not the only one. There have, as I have asid, been various indiciations of what was afoot. But he showed me Venice, he showed me that it is the foundations that are unsound. He has proved, no, he intends to prove  that when one is dealing with a complex system, and we humans are complex"  here he felt himself reddening under the girl's gaze  "within any complex system there are certain elements that cannot be deduced from its basic characteristics. This may mean that, even had we known every particular of the circumstances surrounding this journey, we would still have been unable to guard against the unpredictable."

This is not a bad characterization of one implication of Gödel's theorem: that even though you can figure out a lot from a few basic principles, they are never enough to figure out everything. Also, the story is well written and the comfort of the other characters with uncertainty is a nice counterpoint to David's paranoia about it. However, speaking as someone who has read a great deal of mathematical fiction, I cannot help but be put off by the fact that David's character is a stereotype. And, as a mathematician concerned about the impression that fiction makes on people about my profession, I worry that the frequent appearance of characters like this in fiction will give readers the impression that mathematics departments are populated with broken people like David. They are not. I know of nobody who is seriously troubled by the idea that there will always be things we do not know. In fact, most mathematicians I know enjoy the pursuit of knowledge and so this would sound more like an exciting challenge than the terrifying nightmare that David seems to think it is.
Note:
Although David is a fictional character, the story mentions two real mathematicians: Gödel and Galois.
