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RESEARCH INTERESTS
Financial Economics,
Mathematical Finance.
I am currently involved
in a number of projects related to commodity markets (some of them in
collaboration with Rikard Green and Marcus Nossman). Projects touch upon
stochastic modelling of commodity prices (and volatility) with applications
to risk management, valuation of derivative assets and real options.
Another project deals with equilibrium asset pricing in the commodity
market context.
PUBLICATIONS
Jumps and stochastic volatility in oil prices:
time series evidence (with Marcus Nossman), Energy Economics 33, 504-51, (2011).
General approximation schemes for option prices in stochastic
volatility models, forthcoming in Quantitative Finance.
Pricing commodity swaptions in multi
factor models, forthcoming in Journal of Derivatives.
Analytical Approximations of Contingent Claims. Doctoral dissertation, Lund
Economic Studies 156, 2009.
Analytical Approximations of
Option Prices in Stochastic Volatility Models.
Licentiate dissertation, No. 96, Department of Economics, 2007.
WORKING PAPERS
Risk
management of co-integrated commodities (with
Marcus Nossman)
Presented at the ESE (Erasmus School of Economics)
Energy and Finance Conference in Rotterdam October 2011. Available for
download at SSRN.
Approximative valuation of commodity swaptions.
Available for download at SSRN.
Dynamic
extensions and probabilistic expansions of the SABR model.
Work in progress. Available for download at SSRN.
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