Research

Research interests

• Stochastic calculus: anticipating and non-anticipating integration and differentiation for processes and random fields, white noise for Lévy processes, time-change and ambit fields

• Stochastic control also under differentiated information and time-change

• Finance and energy finance: modeling; pricing; hedging and other optimal portfolio problems under full, partial, and insider information; sensitivity and robustness; market with memory; green and energy finance; machine learning in finance

• Risk measurement: dynamic risk measures, BSDEs, Volterra BSDEs, time-scales, horizon risk

Research Projects

2024-2028 Unruly Sustainablity. Role: Senior researcher. This is an interdisciplinary Thematic Researach Group at UiO among the Departments of Sociology and Human Geography, Mathematics, and Musicology. It is funded by UiO: Energy and Environment. 

2018-2023 STORM: Stochastics for Time-Space Risk Models. Role: Principal Investigator. This is a ToppForsk project funded by the Research Council of Norway and UiO

2016-2020 STOCONINF: Challenges in Stochastic Control, Information and Applications. Role: Participant. This is a FRIPRO project funded by the Research Council of Norway 

2015-2019 STORE: Stochastics of Renewable Energy Markets. Role: Responsible for one Work Package. This is part of the endringsmiljøer at the Faculty of Sciences, UiO

2015-2019 FINEWSTOCH: Finance, INsurance, Energy, Weather and STOCHastics. Role: Responsible for one Work Package. This is an ISP funded by the Research Council of Norway

2014-2015 Group Leader research program SEFE: Stochastics in Environmental and Financial Economics (together with F.E. Benth) at CAS Centre of Advanced Studies, Norwegian Royal Academy of Science and Letters. 

2013-2018 CMA: Centre of Mathematics for Applications. Role: Leader with Geir Dahl and Nils Hendrik Risebro. CMA existed as a Norwegian Centre of Excellence funded by the Research Council of Norway in 2003-13. From 2013-18 CMA operates as an internal centre under the Department of Mathematics and the Faculty of Sciences, UiO

Research Networks

2021-2025 ModSimFIE - Modelling and Simulation with applications in Finance, Insurance and Economics is a Scientific Research Network of The Research Foundation – Flanders. Role: Participant. ModSimFie is a continuation of the former research network StochModFin

2010 - AMaMeF. Role: Chair of the Executive Board (2010-2017), Member of the Executive Board (2018-present). Spin-off of the previous programme

2005-2010 AMaMeF Advanced Mathemacal Methods for Finance. Role: Co-Chair. Network funded by ESF European Science FoundaCon (16 countries). Total Budget circa EUR 1 million