The group consist of Erik Lindström
, Nader Tajvidi
and Magnus Wiktorsson
The now finished PhD students Mats Brodén and Jonas Ströjby recently left the group for jobs in the industry. In December 2006 the group was also joined by the PhD student Johannes Sivén. After completing his Licentiate thesis in May 2008 Johannes left the group. Other previous members are Sebastian Rasmus and Martin Dahlgren. Erik and Magnus was joined by a new PhD student Martin Jönsson
in April 2012. We will then continue with new research projects.
Our main line of research focus on inference and calibration of financial models such as diffusions and jump-diffusions. We also work with approximation of prices and hedging portfolios for financial derivatives. See our Java-applet
that calculates option prices and their Greeks for various models such as Black-Scholes, Merton, Heston, Bates, NIG and NIGCIR.
- Temporary Quant position at Swedbank deadline: May 31 2013 Swedbank ad
Interactive glossary of mathematical finance concepts
Links to locally organized national workshops for PhD students in mathematical finance.
Math Fin workshop in Lund, 8-9 November 2007.
Math Fin workshop in Lund, 11 November 2004.
Math Fin workshop in Lund, 5 December 2003.
We give the following courses related to mathematical finance:
As a preparation for the above courses it is good to read the following courses:
We have cooperated with a number banks and other companies through master's thesis projects:
Master theses (2004-2012)
- In Scandinavia: Nordea, SEB, Swedbank, Handelsbanken, PriceWaterhouseCoopers, Öhmans Fondkommission, IPM, Systematiska Fonder, Front Sungard Arena, EON Energy Trading, Aberdeen Property Inv., Danske Bank, Vestas, Simcorp, Codan, Länsförsäkringar, If, Arca investments, Volvo Financial Services, SPP.
- Outside Scandinavia: BNP Paribas (London), Montréal stock exchange (Montréal), ABB (Zürich), Zuricher Kantonalbank (Zürich), UBS (Zürich), Deutsche Bank (London), Harcourt (Zürich), Farallon, (San Francisco).