My research interest lies in Applied mathematical finance, Applied probability and statistics, Financial Engineering, Quantitative Finance, Credit Risk, Counterparty credit risk, dependence modelling in portfolio credit risk, Central Counterparties, systemic risk, Financial Risk Management, Pricing and hedging portfolio credit derivatives.   

• Most of my papers can be found on my SSRN page, or my Google scholar page 

Peer-reviewed journal articles 

1. Pricing kth-to-default swaps under Default Contagion: the matrix-analytic approach, Journal of Computational Finance 12(1), 49-78, 2008 (with Holger Rootzén), [WP-version]

2.  Pricing synthetic CDO tranches in a model with Default Contagion using the matrix-analytic approach, Journal of Credit Risk, 4(4), 3-35, 2008, lead paper, [WP-version]

3.  Modelling default contagion using Multivariate Phase-Type distributions, Review of Derivatives Research, 14(1), 1-36, 2011, lead paper, [WP-version] 

4.  Pricing basket default swaps in a tractable shot-noise model, Statistics and Probability Letters, 81(8), 1196-1207, 2011 (with Jiwook Jang and Thorsten Schmidt), [WP-version]

5.  Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model,  Journal of Optimization Theory and Applications 161 (1): 90-102, 2014 (with Tomasz R. Bielecki, Areski Cousin and Stéphane Crépey)

6.  A Markov Copula Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries, Communications in Statistics - Theory and Methods, 43 (7): 1362-1389, 2014 (with Tomasz R. Bielecki, Areski Cousin and Stéphane Crépey), [WP-version]

7. Parameter estimation in credit models under incomplete information, Communications in Statistics - Theory and Methods, 43 (7): 1409-1436, 2014 (with Rüdiger Frey), [WP-version]

Book chapters

1. Default contagion in large homogeneous portfolios, Chapter 14 in The Credit Derivatives Handbook Global Perspectives, Innovations, and Market Drivers , Gregoriou, G.N and Ali, P.U, (eds), McGraw-Hill (2008)

2. Markov chain models of portfolio credit risk, Chapter 10 in Oxford Handbook of Credit Derivatives, A. Lipton and A. Rennie (eds), Oxford University Press, 2011 (with Tomasz R. Bielecki and Stéphane Crépey), [WP-version]

3. A bottom-up dynamic model of portfolio credit risk - Part I: Markov copula perspective, in Recent Advances in Financial Engineering 2012, World Scientific (2014) (with Tomasz R. Bielecki, Areski Cousin and Stéphane Crépey), [WP-version]

4. A bottom-up dynamic model of portfolio credit risk - Part II: Common-shock interpretation, calibration and hedging issues, in Recent Advances in Financial Engineering 2012, World Scientific (2014) (with Tomasz R. Bielecki, Areski Cousin and Stéphane Crépey), [WP-version]

Working papers

• Risk Management of Stock Portfolios With Jumps at Exogenous Default Events

• Saddlepoint Approximations for Credit Portfolio Distributions with Applications in Equity Risk Management

• CDS index options in Markov chain models  

Other published papers

• In search of a grand unifying theory,   Creditflux Newsletter, July 2013, 20-21 (with Tomasz R. Bielecki, Areski Cousin and Stéphane Crépey)

Theses

• Pricing Portfolio Credit Derivatives,   Ph.D. thesis, Department of Economics, University of Gothenburg, Sweden (2007)

• Dynamic Dependence Modelling in Credit Risk,  Licentiate thesis, Department of Mathematics, Chalmers University of Technology, Sweden (2005) 

• Implied Binomial Models,  Master thesis, Chalmers University of Technology, Sweden (2001) 

Coauthors

• Tomasz R. Bielecki 

• Areski Cousin 

• Stéphane Crépey

• Rüdiger Frey 

• Jiwook Jang 

• Holger Rootzén 

• Thorsten Schmidt