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Research

Research interests

My main interest is the simulation of stochastic processes especially stochastic differential equations and Levy processes. These processes are important building block for models in mathematical finance which are another of my research interests. See the Mathematical finance research group. Yet another research project involves inference for ecological data with application to the modelling of dispersal behaviour for a soil living collembolan (Protaphorura armata).

Publications

On the simulation of iterated Itô integrals (with Tobias Rydén), Stochastic Processes and Their Applications, 91, 151-168, (2001). Abstract, Article: Journal Article

Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions, Annals of Applied Probability, 11 , 470-487, (2001). Abstract, Article: Journal Article

(2001) Improved convergence rate for the simulation of Lévy processes of type G (unpublished manuscript), Abstract, Article: PS

Simulation of stochastic integrals with respect to Lévy processes of type G, Stochastic Processes and Their Applications , 101 , 113-125, (2002), Abstract Article: Journal Article

Statistical analysis of the influence of conspecifics on the dispersal of a soil Collembola (with Göran Bengtsson, Tobias Rydén and Maria Sjögren Öhrn), Theoretical Population Biology, 61 , 97-113, (2002). Abstract, Article: Journal Article

Improved convergence rate for the simulation of stochastic differential equations driven by subordinated Lévy processes. (with Sylvain Rubenthaler). Stochastic Processes and Their Applications, 108, 1-26, (2003). Abstract Article: Journal Article

Irregular walks and loops with handedness combines in small-scale movement of Onychiurus armatus (Collembola) (with Göran Bengtsson, Elna Nilsson and Tobias Rydén), Journal of Theoretical Biology, 231, 299-306, (2004) Abstract Article: Journal Article

Modelling the movement of a soil insect (with Göran Bengtsson, Elna Nilsson and Tobias Rydén), Journal of Theoretical Biology, 231, 497-513, (2004) Abstract Article: Journal Article

Sequential Calibration of Options (with Mats Brodén, Jan Holst, Erik Lindström, Jonas Ströjby), Computational Statistics and Data Analysis (Special Issue on Statistical and Computational methods in Finance), 52, 2877-2891, (2008). Abstract Article: Journal article

Fast simulated annealing in ℝd and an application to maximum likelihood estimation in state-space models (with S. Rubenthaler and T. Rydén ), Stochastic Processes and Their Applications, 119 , 1912-1931, (2009). Abstract Article: Journal article

On the Convergence of Higher Order Hedging Schemes: The Delta-Gamma Case (with Mats Brodén) SIAM J. Finan. Math. 2 , 55-78 (2011). Article: Journal article

BENCHOP-The BENCHmarking project in Option Pricing (with:Lina von Sydow, Lars Josef Höök, Elisabeth Larsson, Erik Lindström, Slobodan Milovanovic, Jonas Persson, Victor Shcherbakov, Yuri Shpolyanskiy, Samuel Sirén, Jari Toivanen, Johan Waldén, Jeremy Levesley, Juxi Li, Cornelis W. Oosterlee, Maria J. Ruijter, Alexander Toropov and Yangzhang Zhao) International Journal of Computer Mathematics 92, (12), 2361 - 2379: (2015) Article: Journal article

Beräkningsmetod för sannolik energianvändning i bostadshus (2017) (Stephen Burke, NCC, Johnny Kronvall, StruSoft, Magnus Wiktorsson, LTH, Per Sahlin, EQUA, Anders Ljungberg, NCC) slutrapport

Conference proceedings

(1996) Wavelet analysis of in-cylinder LDV velocity measurements (with Bengt Lindoff, Bengt Johansson and Fredrik Söderberg) Proceeding of SAE International Fall Fuels and Lubricants Meeting and Exhibition, San Antonio, Texas Abstract

Pricing of some exotic options with NIG-Levy input (with Sebastian Rasmus and Søren Asmussen) COMPUTATIONAL SCIENCE - ICCS 2004, PROCEEDINGS LECTURE NOTES IN COMPUTER SCIENCE, 3039, 795-802, Part 4 (2004). Abstract Article: Proceedings

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 .

Other works

(1998) An analysis of uncertainties related to the supervision of nuclear reactor cores (with Lars Arvastson)
(external investigation for ABB written in Swedish)

(2001) Approximation of Infinitely Divisible Random Variables with Application to the Simulation of Stochastic Processes, PhD-thesis, Lund University, (2001). PS PDF