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  • I defended my thesis for the degree Ph.D. on the 6th June 2007. Now I live in Stockholm and work as a Quantitative Analyst at Nektar Asset Management, a part of Brummer & Partners.

  • 2010-06-27 Talked about Daily vs. Monthly returns; Empirical evidence from Commodity trading advisors at the Bachelier Finance Society World Congress in Toronto.

  • 2010-06-27 The article Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model is published in Stochastic Vol. 82, Issue 3, June 2010.

  • 2010-01-04 The article The implied risk aversion from utility indifference option pricing in a stochastic volatility model is published in International Journal of Applied Mathematics & Statistics Vol. 16, No. M10 (2010) pp. 11-37.

  • 2009-10-01 The article The minimal entropy martingale measure and numerical option pricing for the Barndorff-Nielsen-Shephard stochastic volatility model is published in Stochastic Analysis and Applications Vol. 27 No. 5 (2009) pp. 875-896.
About
Position: Quantitative Analyst
Nektar Asset Management
A fixed income and currency hedge fund, part of Brummer & Partners
Previously: Quantitative Investment Analyst
Risk & Portfolio Management AB
A fund-of-CTA funds based in Stockholm
Education: 2007, Ph.D. Computational Finance. Centre of Mathematics for Applications, University of Oslo
2005, Fil.Lic. School of Mathematics and Systems Engineering, Växjö University
2001, M.Sc. Department of Mathematical Sciences, NTNU
Email: martijg(+)math.uio.no
Telefon: +46 707 49 55 14
Research interests: Mathematical Finance
Numerical methods in Finance
Levy and stochastic volatility markets
Quasi-Monte Carlo Methods
Greeks in jump-diffusion markets
Mathemathic modeling of CTA and trend following strategies

Martin Groth     Phone: +46 707 49 55 14    E-mail: martijg(+)math.uio.no