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Curriculum Vitae for Magnus Wiktorsson


Date and place of birth: March 18, 1967, Malmö, Sweden.

Family: Partner Kristina and a daughter, Klara (born 1996).

Education:

'Swedish gymnasium' Technical Science Program, Väggaskolan, Karlshamn, 1986.

Practical Philosophy, 30 ECTS credits, LU1, 1994.

MSc in Computer Science and Engineering at LTH2, 1994.

Theoretical Philosophy, 30 ECTS credits, LU, 1995.

Licentiate3 in Engineering in Mathematical Statistics, LTH & LU, 1999.

PhD in Engineering in Mathematical Statistics, LTH & LU, 2001.

Habilitation (docent title), in Mathematical Statistics, LTH & LU, 2009.

Current position:

Associate professor (Docent), Centre for Mathematical Sciences, Lund, 2009-09-23-.
Postal Address: Centre for Mathematical Sciences, Lund University, Box 118,
221 00 Lund, Sweden
Phone number: 046-2228625
E-mail address: magnusw@maths.lth.se

Previous positions:

PhD student, Centre for Mathematical Sciences, Lund, 1995-04-15-2001-02-28.

Assistant professor, Centre for Mathematical Sciences, Lund, 2001-03-01-2001-08-31.

Post-doc at Department of Statistics and Operations Research, University of Copenhagen, 2001-09-01-2002-08-31.

Assistant professor, Centre for Mathematical Sciences, Lund, 2002-09-01-2009-09-23.

Current research interests:

Simulation and approximation of stochastic processes especially stochastic differential equations and Lévy processes. Probabilistic numerical methods, Stochastic modelling and inference with ecological applications. Financial mathematics.

Published, submitted articles:

Refereed conference proceedings:

B. Johansson, B. Lindoff, F. Söderberg and M. Wiktorsson (1996). Wavelet analysis of in-cylinder LDV velocity measurements, Proceeding of SAE International Fall Fuels and Lubricants Meeting and Exhibition, San Antonio, Texas, USA.

S. Rasmus, S. Asmussen and M. Wiktorsson (2004). Pricing of some exotic options with NIG-Levy input, Computational Science - ICCS 2004, Proceedings Lecture Notes in Computer Science, 3039, 795-802, Part 4

Convergence of an adaptive approximation scheme for the Wiener process (with M. Wiktorsson), CMMSE 2010 : Proceedings of the 10th International Conference on Mathematical Methods in Science and Engineering, Almeria, 26-30 June, 2010. PDF .

Other works:

M. Wiktorsson and L. Arvastson (1998). Granskning av CORE WATCH:s osäkerhetsberäkningar. (in Swedish) An analysis of uncertainties related to the supervision of nuclear reactor cores (external investigation for ABB).

M. Wiktorsson (2001). Approximation of Infinitely Divisible Random Variables with Application to the Simulation of Stochastic Processes, PhD Thesis, Centre of Mathematical Sciences, LTH & LU, which includes the papers 1, 2, 3 and 5.

Invited Conference Talks:

Approximation of subordinated Lévy processes with infinite jump rate and some related stochastic integrals, Lévy processes- Theory and applications, Aarhus, Denmark, 2002.

Contributed Conference Presentations:

Wavelet analysis of in-cylinder LDV velocity measurements, SAE International Fall Fuels and Lubricant Meeting and Exhibition, San Antonio, Texas, USA, 1996.

G. Bengtsson, T. Rydén, M. Sjögren-Öhrn and M. Wiktorsson, Statistical analysis of the influence of conspecifics on the dispersal of a soil Collembola, Alcalá First International Conference on Mathematical Ecology, Alcalá de Henares, Spain, 1998.

M. Wiktorsson and Sylvain Rubenthaler. Improved convergence rate for the approximation of SDE:s driven by subordinated Lévy processes, Dynstoch Workshop on Statistical Inference for Stochastic Processes, La Manga, Spain, 2002.

On the convergence of higher order hedging schemes (with Mats Brodén), 6th World Congress BACHELIER FINANCE SOCIETY, Toronto, June 2010.

Hedging errors induced by discrete trading under an adaptive trading strategy (with Mats Brodén), 5th World Congress BACHELIER FINANCE SOCIETY, London, July 2008. Poster presentation.

Contributed Conference proceedings:

M. Brodén, E. Lindström, Jonas Ströjby and M. Wiktorsson, Calibration of Option Valuation Models using Sequential Monte Carlo Methods, Forcasting financial markets: Advances fo r exchange rates, interest rates and asset management}, Aix-en-Provence, France, 2006.

M. Brodén, E. Lindström, Jonas Ströjby and M. Wiktorsson, Adaptive Calibration of Risk Neutral Parameters with Applications to Option Valuation. 4th World Congress of Bachel ier Finance Society, Tokyo, Japan, 2006.

Convergence of an adaptive approximation scheme for the Wiener process (with Mats Brodén), CMMSE 2010 : Proceedings of the 10th International Conference on Mathematical Methods in Science and Engineering, Almeria, 26-30 June, 2010. PDF .

Referee

Annals of Applied Probability (2009)

Bernoulli (2000,2005).

BIT Numerical Mathematics (2000,2002).

Communications in Statistics - Stochastic models (2002).

European Journal of applied mathematics (2016).

IMA Journal of Numerical Analysis (2004).

Journal of Applied Probability (2003).

Probability Theory and Related Fields (2005).

Scandinavian Journal of Statistics (2001,2005).

Statistics and Probability Letters (2003).

Stochastic Processes and their Applications (2007,2011).

Seminars (outside home department)

Department of Statistics and Operations Research, University of Copenhagen, April 18. 2001.

Laboratoire de Probabilités & Modèles Aléatoires, Paris VI, Feb. 21. 2002.

Centre for Mathematical Sciences, Lund University, May 7. 2002.

Mathematical Statistics, Uppsala University, Oct 23. 2002.

Department of Statistics and Operations Research, University of Copenhagen, Nov 13. 2002.

Teaching experience:

From 1995-2000 teaching assistant at the following undergraduate courses Markov Processes, Stationary Processes (two years) and Time Series Analysis (three years).

Lecturing (and administratively responsible for) a basic undergraduate course in statistics for chemists at LTH, Lund (85 students, 7.5 ECTS credits), spring 2001.

Lecturing (developing and administratively responsible for) an advanced undergraduate course in Lévy processes for mathematical statistics students at University of Copenhagen (8 students, 5 ECTS credits), spring 2002.

Lecturing (and administratively responsible for) a basic undergraduate course in statistics for Surveyors at LTH, Lund (35 students, 7.5 ECTS credits), fall 2002.

Lecturing (developing and administratively responsible for) a course in probability theory for PhD-students at Centre for Mathematical Sciences, Lund (8 students, 7.5 ECTS credits), spring 2003.

Lecturing (and administratively responsible for) an advanced undergraduate course in probability theory, Lund (10 students, 7.5 ECTS credits), fall 2003.

Lecturing (and administratively responsible for) a basic undergraduate course in statistics for computer science students at LTH, Lund (150 students, 7.5 ECTS credits), spring 2004.

Lecturing (developing and administratively responsible for) a course in weak convergence for PhD-students at Centre for Mathematical Sciences, Lund (6 students, 10.5 ECTS credits), spring 2005.

Lecturing (and administratively responsible for) an advanced undergraduate course in financial mathematics at LTH, Lund (35 students, 9 ECTS credits), spring 2006.

Lecturing (and administratively responsible for) an advanced undergraduate course in financial mathematics at LTH, Lund (34 students, 9 ECTS credits), spring 2007.

Lecturing (and administratively responsible for) an advanced undergraduate course in financial mathematics at LTH, Lund (38 students, 9 ECTS credits), spring 2008.

Lecturing (and administratively responsible for) an advanced undergraduate course in financial mathematics at LTH, Lund (44 students, 9 ECTS credits), spring 2009.

Lecturing (and administratively responsible for) an advanced undergraduate course in financial mathematics at LTH, Lund (38 students, 9 ECTS credits), spring 2010.

Lecturing (and administratively responsible for) an advanced undergraduate course in financial statistics at LTH, Lund (12 students, 7.5 ECTS credits), fall 2010.

Lecturing (and administratively responsible for) an advanced undergraduate course in financial mathematics at LTH, Lund (42 students, 7.5 ECTS credits), fall 2011.

Lecturing (and administratively responsible for) a basic undergraduate course in mathematical statistics for electrical engineering and engineering mathematics students at LTH, Lund (86 students, 7.5 ECTS credits), fall 2011-spring 2012.

Lecturing (and administratively responsible for) an advanced undergraduate course in financial mathematics at LTH, Lund (30 students, 7.5 ECTS credits), fall 2012.

Lecturing (and administratively responsible for) a basic undergraduate course in mathematical statistics for electrical engineering and engineering mathematics students at LTH, Lund (100 students, 7.5 ECTS credits), fall 2012-spring 2013.

Lecturing (and administratively responsible for) an advanced undergraduate course in financial mathematics at LTH, Lund (50 students, 7.5 ECTS credits), fall 2013.

Lecturing (and administratively responsible for) an advanced undergraduate course in Monte Carlo methods at LTH, Lund (40 students, 7.5 ECTS credits), spring 2014.

Lecturing (and administratively responsible for) an advanced undergraduate course in financial mathematics at LTH, Lund (30 students, 7.5 ECTS credits), fall 2014.

Lecturing (and administratively responsible for) an advanced undergraduate course in Monte Carlo methods at LTH, Lund (50 students, 7.5 ECTS credits), spring 2014.

Lecturing (and administratively responsible for) an advanced undergraduate course in Monte Carlo methods at LTH, Lund (50 students, 7.5 ECTS credits), spring 2015.

Lecturing (and administratively responsible for) an advanced undergraduate course in financial mathematics at LTH, Lund (30 students, 7.5 ECTS credits), fall 2015.

Lecturing (and administratively responsible for) an advanced undergraduate course in Monte Carlo methods at LTH, Lund (50 students, 7.5 ECTS credits), spring 2016.

Lecturing (and administratively responsible for) an advanced undergraduate course in financial mathematics at LTH, Lund (30 students, 7.5 ECTS credits), fall 2016.

Phd-supervision:

Assistant supervisor for Oskar Hagberg who graduated in February 2005 on the thesis "Asymptotic Expansions of Crossing Rates of Stationary Random Processes".

Assistant supervisor for Sebastian Rasmus who graduated in October 2006 on the thesis "Derivative Prices for Models using Lévy Processes and Markov Switching".

From March 2006 assistant supervisor for Rikard Green who worked with models for spot prices and derivatives on the electricity market (Nord Pool), presented his Licentiate thesis in December 2007. Rikard graduated on the thesis "Essays on Financial Risk and derivatives with application to Electricity Market and Credit Markets" in October 2009.

From January 2007 assistant supervisor for Johannes Sivén who worked with hedging problems in incomplete markets, presented his Licentiate thesis in May 2008 and started working for SAXO bank in Copenhagen.

Assistant supervisor for Jonas Ströjby who started in August 2005. Jonas is working with the estimation problems for Hidden Markov models and partially observed diffussions. Jonas graduated on his PhD thesis "On Bounds and Asymptotics of Sequentail Mionte Carlo Methods for Filtering, Smoothing and Maximum Likelihood estimation in STate Spece Models" on October 15 2010.

Main supervisor for Mats Brodén who started in August 2005. Mats is working with the pricing of derivatives in financial markets, presented his Licentiate thesis in October 2008. Mats graduated on his PhD thesis "Asymptotic Analysis of Hedging Error Induced by Discrete Time Trading" on November 5 2010.

At present supervisor for the PhD-students:

From September 2010 assistant supervisor for Patrik Karlsson who works with calibration and hedging problems.

From June 2014 assistant supervisor for Carl Åkerlindh who works with finincial mathematics.

Master thesis-supervision:

  1. Anders Evenås and Ronny Alex, "Hedging Strategy Optimization under Proportional Transaction Costs", January 2005.
  2. Camilla Bjurhult and Gustav Bengtsson, "Equitity Based Modelling of Credit Default Swaps", (in cooperation with Nordea CPH), February 2006.
  3. Pia Stene, "Hedging and pricing using iterative regression" April 2006.
  4. Johan Ericson Thordenberg and Martin Nilsson, "Exchange-traded funds and portfolio insurance strategies",(in cooperation with SEB Sthml), February 2007.
  5. Niklas Rönnberg, "Pricing of standard and non-standard CDO-tranches using the one factor NIG copula", (in cooperation with Nordea Cph), February 2007.
  6. Rickard Davidsson "Option Pricing in Equity Linked Notes -- SPAX ex post", (in cooperation with Swedbank Sthml), February 2007.
  7. Cecilia Adamsson, "Equity Linked Notes - a Comparison of the Products on the Swedish Market", (in cooperation with Swedbank Sthml), June 2007.
  8. Aron Moberg, "Modelling and Hedging of Credit Default Swaps", November 2007.
  9. Rikard Rönblom, "Interpreting the Relative Spread. Recovery rate modeling based on senior and subordinated CDS spreads", (in cooperation with Nordea), March 2008.
  10. Jakob Moberg, "Calibration of Short Rate Models with Finite Difference Methods", (in cooperation with SIMCORP Cph), April 2008.
  11. Martin Andersson and Thorbjörn Wallentin, "Systematic Carry Trading with Technical Analysis and Volatilty Filters",(in cooperation with SEB Sthml), April 2008.
  12. Caroline Lundkvist, "Probability distributions of maxima of Stochastic Processes and Financial Indices", (in cooperation with Macquire Australia), April 2008.
  13. Kostantin Moraidis, "Portfolio optimization in a Lévy market", May 2008.
  14. Christoffer Ramsden, ``Capturing Nonlinearities of Financial Assets Using Interpolation Methods in Risk Calculations'', in cooperation with UBS Zürich, finished August 2008.
  15. Filip Nilsson, ''Modelling of LGD with Survival Analysis'', in cooperation with Swedbank, finished October 2008 (co-supervised by Anna Lindgren).
  16. Hedda Giaever and Hanna Karlsson, ``Component Based Loan Pricing, A generic approach to price credits'', in cooperation with Öhmans/PriceWaterhouseCoopers (Sthml), finished December 2008.
  17. Stefán Ingi Adalbjörnsson and Matias Quiroz, ``Discrete Space Simulation with application to Barrier Options'' , finished April 2009.
  18. Patrik Karlsson, ''FX BASKET OPTIONS - Approximation and Smile Prices'', in cooperation with Nordea, Cph, finished May 2009.
  19. Malin Norberg and Vanessa Sternbeck Fryxell, ``Trading Correlated Credit During a Financial Crisis'', in cooperation with Danske Bank (Cph), finsished June 2009.
  20. Pierre-Jean Campigotto, ``Markov-switching models in Foreign Exchange - how to benefit from trends in the market?'', finished August, 2009.
  21. Magnus Sjörén and Philip Wahlström, ''Replicating Hedge Funds Incorporating Regime Switching and Macroeconomic Factors'', in cooperation with IPM (Malmö), finished October 2009.
  22. Staffan Herbst and Filip Nordström, ''Modelling of Fair Market Value of Financed Vehicles in the Emerging Market of Eastern Europe'', in cooperation with Volvo Financial Services (Gothenburg), finished December 2009.
  23. Fredrik Ekenstierna, ''Modelling of peridic variations in electricity prices using Wavelet transforms'', in cooperation with EON Energy Trading, finished April 2010.
  24. Mikael Henriksson and Fredrik Hedberg, ''Hedging of Hedge-fund Portfolios'', in cooperation with Farallon (San Francisco), finished May 2010.
  25. Andrea Frecassetti, ''Pricing and Hedging in Lévy-driven Stock models'', finished August 2010.
  26. Filip Henrysson and Erik Holmstrand, ''Modelling of Long-term Euro-dollar Fluctuations'', in cooperation with Danske Bank (Cph), finished august 2010.
  27. Ramus Ericsson, ''Hedging of FX-options'', in cooperation with UBS Zürich, finished August 2010.
  28. Erik Bergström and Erik Bertilsson, ''Evaluation Hedge fund strategies'', in cooperation with Arca investments, finished August 2010.
  29. Peter Carlstedt, ''Modelling of Credit Migration'', in cooperation with SEB(Sthml), finished August 2010.
  30. Manne Sporre Rasmussen, ''Practical Implementation of the Black-Litterman Model with Application to Hedge Funds'', in cooperation with Harcourt Zürich, finished August 2010.
  31. Gustaf Karlsson and Christian Nordqvist. "Risk management for Scania finance", in cooperation with Scania Finance Södertälje, finished January 2011.
  32. Johan Wikmark, "Calibration and Hedging of Swaptions using the SABR model," finished January 2011.
  33. Zhao Rushi, "Calibration and testing of market effieciency in presence of stochastic volatility and jumps", finished May 2011.
  34. Johan Rydin, "Pricing and and hedging in Lévy driven models," finished June 2011.
  35. Otto Rosendahl, "Trading and price prediction of commodities using an ARMA-GARCH model" (Bachelor thesis), finished June 2011.
  36. Simon Eriksson, "Matching of cash flows for a life insurance policy ", Handelsbanken liv (sthml), finished June 2011.
  37. Erik Vildhede "Performance of Higher Order Hedging Strategies when Considering Transaction Costs", finsished June 2011.
  38. Tobias Werner, "Risk and sensitivity measures for options", finished, Danske Bank (Cph), October 2011.
  39. Joakim Mossberg, "Modeling of Policyholders Fund Switching Behavior within the Swedish Unit-linked Market", (SEB sthml) March 2012.
  40. Anna Silén, Johanna Carlsson "Credit Valuation Adjustment, Risk Capital Charge under Basel III", Ernst and Young (Cph), finished May 2012.
  41. Simon Johansson "Discrete space-simulation for Lévy processes", finished June 2012.
  42. Emil Jönsson, Carolina Malmberg "Risk Driving Factors for Covered Bond Issuers in Sweden" Danske Bank, finished June 2012.
  43. Eugene Agyeman-Prempeh, "Model uncertainty and hedging", finished January 2013.
  44. Alexander Ivarsson, Hannes Sternbeck Fryxell, "Evaluating Market Risk in a Portfolio with Heavy-Tailed Risk Factors using Monte-Carlo Methos", SHB Life (sthlm) finished February 2013.
  45. Arzu Eski "Pricing and hedging using MC-methods",finished March 2013.
  46. Joachim Larsen, "Unlimited Prices: An Extreme Value Distribution Approach to Estimating Art Prices" , finished April 2013.
  47. Anders Persson, "Calibration of FX options and pricing of barrier options", finished June 2013.
  48. Martin Carlson, "Marknadsrisk i livförsäkringsprodukter med garanti. En optionsreplikations-studie av "Nya Världen"", finished June 2013.
  49. Malick Seghore, "Modeling Swedish government yields with the Dynamic Nelson Siegel and the Dynamic Nelson Siegel Svensson Model", finished June 2013.
  50. Erik Andreasson, "Pricing of American Options", finshed August 2013.
  51. Erik Höög "Modelling of Live Odds", finished January 2014.
  52. Simon Koskinen Rosemarin "Responding to the Eurozone Crisis - Applying the Shadow Rating Approach to Determine Economic Capital for Sovereign Exposures", finished May 2014
  53. Patrik Petersson, "Support Vector Machines in the FX market: A study of predictability and profitability", finished Feb 2014
  54. Marta Ruiz Chaparro "A new dimension to Risk Assessment", finished Feb 2014
  55. Janis Müller Pricing, "Timer Options under Jump-Diffusion Processes", finished May 2014
  56. Nina Rodling, Ebba Linde "Improving Portfolio Performance", finished May 2014
  57. Marcus Kylberg, John Jansson, "Forbearance Policy in an Asset Quality Review Framework", finished June 2014
  58. Max Nyström Winsa: "Forecasting Foreign Exchange Rates, A comparison between forecasting horizons and Bayesian vs. Frequentist approaches", finished June 2014.
  59. Mikael Teern: "Modeling Copper Prices and Risk Management" finished December 2014.
  60. Caroline Olofsson: Pricing swing options in the electricity market finished April 2015.
  61. Fredrik Persson, Michael Montag: "Model risk quantification in option pricing" finished June 2015.
  62. Per Möller: "Valuing Credit Default Swaps with a Structural Approach" finished June 2015.
  63. Samare Jarf, Pontus Hultkrantz: "Credit Value Adjustment" finished June 2015.
  64. Andreas Nyström: "Inference and hedging of the Heston model under P (a simulation study)" finished June 2015.
  65. Benjamin Kraska: "A comparison of the Fourier-Gauss-Laguerre and Fourier cosine series method in option pricing" finished December 2015.
  66. Jonas Berglund: "Estimating expected lifetime of revolving credit facilities in an IFRS 9 framework" finished January 2016.
  67. Mattias Jönsson and Ulrica Såmark: "Negative Rates in a Multi Curve Framework, Cap Pricing and Volatility Transformation", finished May 2016.
  68. Ella Tellqvist and Martin Kustvall Larsson: "Robustness Analysis when Updating Credit Risk Measures", finished May 2016.
  69. Gustaf Säfwenberg: "Randomized Quasi-Monte Carlo Simulations for Basket Option Pricing where underlying assets follow a Time-Changed Meixner Lévy Process", finished June 2016.
  70. Sofie Svensson: "Default Correlations within Credit Valuation", finished June 8 2016.
  71. Svante Dieden Sandell and Mattias Karlsson: "Absolute & Relative Credit Quality Assessment'", finished June 8 2016.
  72. Sanna Brandel: "Markov Regime Switching Model Implementation to the Stockholm Stock Market & Comparison with Equal Weight Portfolio" (Bachelor), February 2017.
  73. Nina Castorand Linnéa Gerhardsson: "Estimation of Probability of Default in Low Default Portfolios finished January 2017.
  74. Nilofar Mortazavi: Quasi-Monte Carlo Integration over Non-Cubical Domains", finished February 2017.
  75. Hanna Scheibenpflug, Alma Broström: "To Measure Concentration Risk - A comparative study", finished May 2017.
  76. Malin Lunsjö, Malin Riddarström: "Strategies for High Frequency FX Trading - The choice of bucket size", finished June, 2017.
  77. Johan Gustavsson: "Counterparty Credit Exposures for Interest Rate Derivatives using Stochastic Grid Bundling Method and Change of Measure ", finished August 2017.
At present supervisor for the master thesis projects:

PhD grading committee

Mathias Barkhagen, "Optimal Decisions in the Equity Index Derivatives Market Uding Option Implied Information", Linköping, May 2015.

Veronika Lunina, "Multivariate Modelleing of Energy Markets", NEK Lund, 2017.

Hannah Dyrssen, "Valuation and optimal Strategies in Market Experiencing shocks", Uppsala, May 2017.

Deputy member of grading committee at PhD dissertations in Lund:

Mikael Signahl ''Topics in Simulation and Stochastic Analysis'', September 2003.

Erik Lindström ''Statistical Modelling of Diffusion Processes with Financial Applications'', December 2004.

Mats Pihlsgård ''Two-Barrier Problems in Applied Probability: Algorithms and Analysis'', December 2005.

Licentiate thesis grading

Discussing opponent on the licentiate thesis ''Simulation in financial mathematics'' by Martin Groth, Växjö, April 2005.

Discussing opponent on the licentiate thesis ''Modelling Sensor Networks with Mobile Nodes'' by Niklas Gunnarsson, Uppsala, October 2006.

Discussing opponent on the licentiate thesis ''Risk-Neutral and Physical Estimation of Equity Market Volatility'' by Mathias Barkhagen, Linköping, June 2013.

Administration:

PhD-student representative in the division board of Mathematical Statistics March 1999-April 2001.

Teacher representative in the division board of Mathematical Statistics January 2005-2007.

Director of studies (20%), Mathematical Statistics, Faculty of Science, 2008-

Deputy teacher representative in the board of Centre for Mathematical Sciences April 2011-March 2014.

Teacher representative in the board of Centre for Mathematical Sciences April 2014-.

Other Administration:

Member of executive board for parent cooperative day nursery, spring 2000-spring 2002.

Deputy member of executive board for independent primary school, fall 2002-fall 2005.

Member of executive board for independent primary school, fall 2005-fall 2007.

Deputy member of executive board for tenant-owner's society, spring 2009-Fall 2010.

Member of executive board for tenant-owner's society, spring 2010-.