Mentoring of junior research fellows
Mentoring of junior research fellows
Anton Yurchenko-Tytarenko - From February 2023 - February 2024. Project: Frontiers in stochastic volatility modelling. Then at Statkraft Norge.
Hao Tang (UiO) - From September 2021 - September 2024. Project: Singular and mean field SDEs in infinite dimensions. Now Research Associate Professor at Tianjin Univeristy, Chiana
Andreas Erik Petersson (STROM) - September 2020 - October 8 2023. Project: Numerical Approximation for Time-Space Dynamics. Now associate professor at Linneaus University, Sweden
Jasmina Dordevic (STORM) - From September 2020-December 2022. Project: Backwards dynamics with reflection driven by time-changed Lévy noises. Now Professor at Unversity of NIŠ, Serbia
Fabian Andsem Harang (STORM) - April 2019 - August 2021. Project: Rough paths theory of Volterra equations and regularisation via perturbations. Fabian is now Professor at BI, Oslo
Asma Khedher (CMA) – Fall 2011. Project: Robusteness, dependence, exchange options. Asma continued as Postdoc at TU Munich, KPMG Centre of Exchellence in Risk Management. Now assistant professor at the University of Amsterdam
Pere Locarno Diaz (Dept. Math. UiO). August 2023 - ongoing
Anton Yurchenko-Tytarenko (STORM/Dept. Math. UiO). Co-supervision with Y. Mishura. Defended December 16th, 2022. Thesis title: Stochastic Volterra Volatility models. Continued as research fellow at UiO.
Dennis Schroers (STORM/Dept. Math. UiO). Co-supervision with F.E. Benth. Defended September 9th, 2022. Thesis title: New topics in nonlinear functional data analysis. He has continued as postdoc at University of Bonn.
Michele Giordano (STORM/Dept. Math. UiO). Defended on September 29th, 2023. Thesis title: On stochastic control of Volterra type dynamcis. Works at Stattkraft in the Market Analysis South East Europe.
Iben Cathrine Simonsen (STORE/Dept. Math., UiO) Co-supervision with F.E. Benth. Ongoing
Hannes Haferkorn (Dept. Math., UiO) - Defended December 13th, 2017. Thesis title: The effect of noise in the modelling and the analysis of random systems. He is hired in the Credit risk division of Commerzbank at Main Offices in Frankfurt
David Ruiz Banoz (Dept. Math., UiO) Co-supervision with F. Proske. Defended September 4th, 2015. Thesis title: Regularity of stochastic flows of stochastic differential equations with singular coefficients and applications to finance
Steffen Sjursen (Innostoch/CMA) – Defended April 11th , 2014. Thesis title: Stochastic control and time changed Levy noises. After PhD he is hired in the research group in credit risk at DNB
Asma Khedher (CMA) – Defended June 24th, 2011. Thesis title: Sensitivity and robustness to model risk in Levy and jump-diffusion setting. After a short Postdoc at CMA Oslo and a Postdoc at TU Munich, KPMG Centre of Exellence in Risk Management, Germany, she has now a tenure position at the University of Amsterdam
Inga B. Eide (CMA) – Defended March 20th, 2009. Thesis title: Small Probabilities, Large Markets and Asymmetric Information. After PhD she was hired at Finanstilsynet, The financial supervisor authority of Norway, where she is now Senior Adviser
Subsidiary supervisor in doctoral thesis
Sara Solanilla Blanco (EMMOS/CMA) — Completed February 2015 (Principal Supervisor: F.E. Benth). Thesis title: Stochastic modelling and pricing of energy and weather derivatives. Then at VidaCaixa, Barcelona
Krysztof Jaroslaw Paczka (Innostoch/CMA) — Completed January 2015 (Principal Supervisor: B. Øksendal). Thesis title: Stochastic calculus and optimal control under model uncertainty. Then at Finanstilsynet, financial supervisor authority
Yeliz Y. Okur (CMA) – Completed September 2009. Thesis title: Malliavin calculus for Levy processes and applications to finance (Principal Supervisor: B. Øksendal). After PhD, she continued as a Postdoc and lecturer in Turkey, she is now permanent staff as Assistant Professor in Financial Mathematics at the Middle East Technical University in Ankara, Turkey
An Ta Thi Kieu (Research Council of Norway at CMA) – Completed September 2008. Thesis title: Stochastic control of jump diffusions in finance (Principal Supervisor: B. Øksendal). After PhD, she continued as Postdoc at CMA, Oslo and then to Germany in the financial industry sector
Tommaso Taraldsrud Løkken (Dept. Math,, UiO) ongoing
Léandre Jean Jules Clemen Hansen (Dept. Math., UiO). Joint supervision with Bernt Øksendal and Andreas Petersson. Completed June 2023. Topic: Financial markets with delay. Now working as finanical consultant and risk analyst at Analytika
Simon Kudsk Skoffer (Dept. Math. UiO). Completed June 2022. Topic: Markovianity and Time Changed Lévy Processes. Now working for the Danish Skattestyrelsen in financial risk management
Siyu (Keith) Zhou (Dept. Math. UiO). Completed June 2019. Topic: Dynamic risk measures generated by time-changed BSDEs with jumps. Now Senior data analyst at Telia
Jo Saakvitne (Dept. Math., UiO). Completed December 2017. Topic: American options in financial quotes: managing the risk of being picked off. Now Lead data analyst at Boston Consulting Group
Lars Aiken (Dept.Math., UiO) in collaboration with DNB, Dr. Sven Haadem. Completed June 2017. Topic: Pricing of freight derivatives. Now at Monner.no
Lotti Meijer (Dept.Math., UiO) Completed December 2016.Topic: Local risk minimizing strategies in a market driven by time-changed Lévy noises. Professional Advisor at Sparebank
Amine Oussama (Dept.Math., UiO) Completed June 2015. Topic: Sensitivity analysis in a market driven by time-changed Lévy noises. Then PhD student at UiO (completed)
Michaela Puica (Dept.Math.,UiO) - Completed April 2015. Thesis title: Quadratic hedging in a fuel and electricity forward marked based on a structural spot price model. Then at Thomson Reuters in the Commodity department
Erik Hove Karlsen (Dept. Math, UiO) - Completed June 2014. Thesis title: Optimal portfolio problems under model ambiguity. Then worked at Quantiative analyst at Rann Rådgiving AS, then Actuary at If Insurance.
Edoardo Martino L'Aurora (Dept. Math, Univ. Tor Vergata, Rome, Italy). In collaboration with Prof. Lucia Caramellino – Defended September 2012. Thesis title: European Options in market models with memory under the benchmark approach. Analyst at Enel, Italy.
Marina Moschetta (Dept. Math, Univ. Tor Vergata, Rome, Italy). In collaboration with Prof. Lucia Caramellino – Defended September 2012. Thesis title: European options in stochastic volatility models with jumps under the benchmark approach. Business analyst at MUFG (UK)
Farhod Artykov (Dept. Math., UiO) – Completed June 2010. Thesis title: Portfolio optimization under a Value-at-Risk cnstraint with consideration of partial information and jump diffusion markets. Hired at Norges Bank Investment Management (NBIM) that manages the Norwegian Pension Fund Global
Arnhild Kløvnes (Dept. Math., UiO) – Completed June 2010. Thesis title: Credit contagion. Hired at Statens pensjonskasse in the analysis section. Now at Gjensidige Bank
SteffenSjursen (Dept. Math., UiO) – Completed September 2009. Thesis title: Optimal portflio problems in presence of default. Continued with a PhD in Stochastic Analysis, CMA, UiO. Defended in April 2014
Jørgen Sjaastad (Dept.Math., UiO) – Completed in June 2007. Thesis title: Chaos expansions under change of measure. Continued with a PhD in the Education in within science, technology, engineering and mathematics, UiO. Defended September 2012
Asgeir Vilming (Dept. Math., UiO) – Completed in June 2006. Thesis title: Malliavin calculus for additive processes. Hired at Statkraft, Norway in the trading section, now based in Germany
Farai J. Mhlanga (Dept. Math., University of Zimbabwe, NUFU progamme) – completed in June 2005. Thesis title: Minimal variance hedging in a discrete time market driven by Markov processes. Continued with a PhD at University of Cape Town, Rep. South Africa. Defended in April 2011
Tafireyi Nemaura (Dept.Math., University of Zimbabwe, NUFU programme) – Completed in June 2005. Thesis title: On equivalent martingale measures and pricing in incomplete markets. Continued as Assistant at University of Zimbabwe
Lucas Hubert (Ecole National Supérieure des Mines de Saint-Etienne) Summer 2023. Cosupervision with Anton Yurchenko-Tytarenko (UiO). Project: Stochastic volatility and high-frequency financial data
Oleg Kopylov (Dept.Math., UiO) – completed in June 2014. Project in STK-MAT2011 Title: Exponential Levy models and pricing of financial options
Amine Oussama (Dept.Math., UiO) – completed in June 2014. Project in STK-MAT2011 Title: Random time change and subordination of Brownian motion
Pål Brenne Jensen (Dept.Math., UiO) - completed in May 2009. Project in STK-MAT2011. Title: Bond markets and interest rate modeling in discrete time
Ekaterina Shmonina (Dept.Economics, UiO) – completed in May 2008. Project in STK-MAT2011 – Title: Estimation of the Hurst parameter for the fractional Brownian motion with the application to the weather derivatives
Farhod Artykov (Dept.Math., UiO) – completed in April 2008. Project in STK-MAT2011 – Title: Weather derivatives, fractional Brownian motion and estimation of the Hurst parameter
Hanne Fjeldskår (Dept.Math., UiO) – completed in May 2007. Project in STK-MAT2010 – Title: Lévy processes in modelling (in Norwegian)
Arnhild Kløvnes (Dept.Math., UiO) – completed in May 2007. Project in STK-MAT2010 – Title: Lévy processes in finance (in Norwegian)
Iben C. Simonsen (Dept.Math., UiO) – completed in May 2007. Project in STK-MAT2010 – Title: Lévy processes and simulation
Jørgen Sjaastad (Dept.Math., UiO) – completed in May 2006. Project in MAT2010 – Title: “Fair” games and the law of large numbers (in Norwegian)
Tron Omland (Dept.Math., UiO) – completed in May 2006. Project in MAT2010 – Title: Gambling and Markov Chains
Asgeir Vilming (Dept.Math., UiO) – completed in June 2004. Project in STK-MAT2010 – Title: Fractional Brownian motion and simulation (in Norwegian)
Jens Arne Sukkestad (Dept.Math., UiO) – completed in May 2004. Project in STK-MAT2010 – Title: Fractional Brownian motion and estimation of the Hurst parameter H