Supervision of students and research projects

Post-docs

  • Asma Khedher (CMA) – Fall 2011. Project: Robusteness, dependence, exchange options. Then she became Postdoc at TU Munich, KPMG Centre of Exchellence in Risk Management. She then obtained a tenure position at the University of Amsterdam


Doctoral thesis

  • Silvain Pami (Dept. Math., University of Youndé I). Co-supervision with D. Bekollé. Ongoing
  • Hannes Haferkorn (Dept. Math., UiO) ongoing
  • 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

  • Iben Cathrine Simonsen (STORE/Dept. Math., UiO) ongoing (Principal Supervisor: F.E. Benth)
  • 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.


Master thesis

  • Jo Saakvitne (Dept. Math., UiO). Ongoing
  • Noemi Campedelli (Dept.Math., University of Verona) in collaboration with Dr Luca Di Persio. Ongoing
  • Lars Aiken (Dept.Math., UiO) in collaboration with DNB, Dr. Sven Haadem. Completed June 2017. Topic: Pricing of freight derivatives.
  • Lotti Meijer (Dept.Math., UiO) Completed December 2016.Topic: Local risk minimizing strategies in a market driven by time-changed Lévy noises.
  • 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
  • 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 PhD student at UiO
  • 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
  • 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
  • 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


Bachelor thesis/projects

  • 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
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