Kristofer Lindensjö


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Arbetar vid Matematiska institutionen
Besöksadress Roslagsvägen 101, Kräftriket, hus 6
Postadress Matematiska institutionen 106 91 Stockholm

Om mig

Research areas:

Mathematical finance; Mathematical economics; Insurance mathematics; Stochastic control theory.


S. Christensen & K. Lindensjö. `On time-inconsistent stopping problems and mixed strategy stopping times`, Forthcoming in Stochastic Processes and their Applications,, (preprint).

H. Engsner, K. Lindensjö & F. Lindskog. `The value of a liability cash flow in discrete time subject to capital requirements`, Forthcoming in Finance and Stochastics,, (preprint).

K. Lindensjö. `A regular equilibrium solves the extended HJB system`, Operations Research Letters, 47(5), 427–432, 2019, (journal, preprint). (An early preprint version of this paper had the title `Time-inconsistent stochastic control: solving the extended HJB system is a necessary condition for regular equilibria`.)

S. Christensen & K. Lindensjö. `On Finding Equilibrium Stopping Times for Time-Inconsistent Markovian Problems`, SIAM Journal on Control and Optimization, 56(6), 4228–4255, 2018, (journal, preprint).

K. Lindensjö. `Constructive martingale representation in functional Itô calculus: a local martingale extension`,  chapter 9 in S. Silvestrov et al. (eds.), 'Stochastic Processes and Applications', Springer Proceedings in Mathematics & Statistics 271, 165–172, 2018, (book, preprint).

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

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


K. Lindensjö & F. Lindskog. `Optimal dividends and capital injection under dividend restrictions`, submitted, (preprint).

S. Christensen & K. Lindensjö. `Moment constrained optimal dividends: precommitment & consistent planning`, to be submitted.

Other works:

P. Andersson, K. Lindensjö & J. Tyrcha. `Notes in Econometrics`, Available at the Department of Mathematics, Stockholm University, 2018.

K. Lindensjö. `An explicit formula for optimal portfolios in complete Wiener driven markets: a functional Itô calculus approach`, 2016; a short observation about functional Itô calculus and optimal portfolios (link).

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).


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.


Main teacher on courses in: Probability theory, Financial mathematics, Mathematical economics, Economics, Econometrics, Statistics, Stochastic control (PhD course).

Supervisor of several Bachelor’s and Master’s Degree projects.

Recent nonacademic positions:

Handelsbanken Capital Markets, Stockholm, 2014-2015. I had several positions, the last one as a derivatives trader.


See also: Kristoffer Lindensjö on ResearchGate

Senast uppdaterad: 6 september 2019

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