Profiles

KL2

Kristofer Lindensjö

Universitetslektor

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Arbetar vid Matematiska institutionen
E-post kristoffer.lindensjo@math.su.se
Besöksadress Roslagsvägen 101, Kräftriket, hus 6
Postadress Matematiska institutionen 106 91 Stockholm

Om mig

University lecturer (Swedish: Universitetslektor) at the Department of Mathematics, Stockholm University.

Research areas:

Financial and insurance mathematics

Stochastic processes and stochastic control

Publications and preprints:

Christensen, S & Lindensjö, K. `On Finding Equilibrium Stopping Times for Time-Inconsistent Markovian Problems`, arxiv.org/abs/1709.05181, preprint.

Engsner, H. Lindensjö, K & Lindskog, F. `The value of a liability cash flow in discrete time subject to capital requirements`, Report, preprint.

Lindensjö, K. `Constructive martingale representation using Functional Itô Calculus: a local martingale extension`, arxiv.org/abs/1611.09214, preprint.

Lindensjö, K. `Time-inconsistent stochastic control: solving the extended HJB system is a necessary condition for regular equilibria`, arxiv.org/abs/1611.02902, preprint.

Lindensjö, K. `An explicit formula for optimal portfolios in complete Wiener driven markets: a functional Itô calculus approach`, arxiv.org/abs/1610.05018, preprint.

Lindensjö, K. `Optimal investment and consumption under partial information', Mathematical Methods of Operations Research, 83(1):87-107, 2016.

Lindensjö, K. `The end of the month option and other embedded options in futures contracts', Asia-Pacific Financial Markets, 23(1):69-83, 2016.

Previous academic affiliations:

Visiting Researcher at the Department of Finance, Copenhagen Business School (Fall semester 2013, during PhD studies).

Visiting Researcher at the Department of Mathematics, ETH Zurich (Fall semester 2010, Spring semester 2012, during PhD studies).

Education:

PhD Mathematical Finance, Stockholm School of Economics, Nov. 2013. Supervisor: Tomas Björk, professor of Mathematical Finance. Dissertation title: Essays in Financial Mathematics.

MSc Mathematics, Stockholm University, June 2006.

MSc Economics and Business - Specialization in Finance, Stockholm School of Economics, June 2006.

Teaching:

Probability theory

Financial mathematics

Mathematical economics

Economics

Econometrics

Statistics

 

Senast uppdaterad: 18 september 2017

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