Interests
 Stochastic calculus:
anticipating and nonanticipating
integration and differentiation for processes and random fields
 White noise theory for
Lévy processes
 Applications of functional
analysis to stochastics
 Stochastic control under
differentiated information
 Mathematical finance:
modeling; pricing; hedging and
other optimal portfolio problems under full, partial, and insider
information; sensitivity and robustness
CV
List of publications
Students
Teaching
portfolio
Collaborators


Activities,
Fall
2012
CMA  Stochastic Analysis Seminar Series
Aims and program can be
found: here
Teaching
at
UiO
Spring 2013
Teaching
at
NHH
Spring 2013: ECO437 Topics
in Stochastic Methods: stochastic analysis with applications in economics
