Operations Research & Finance

My main research interest is on problems in the intersection between operations research and finance, and specifically on problems of decision-making under uncertainty in financial markets. The methodological base of my research is in the field of stochastic optimization, and specifically stochastic programming, dynamic programming and approximate dynamic programming/reinforcement learning.

The aim of my research is to support improved decisions in practice through the study of practically relevant applications as well as through methodological contributions in the field of stochastic optimization. Examples of applications in my work are in financial risk management and portfolio choice in the presence of transaction costs. My work on methodological aspects of stochastic optimization includes scenario generation through importance sampling and the study of multi-stage stochastic programming models.

Background

I hold a PhD in Production Economics from Linköping University, and master degrees in Industrial Engineering and Management as well as Economics. I have been a visiting PhD student at Chicago Booth School of Business.

 

Honors and awards

• Best student paper award at the XV Conference on Computational Management Science, 2018.

• Nominated to the prize "Gyllene Moroten" for excellent teaching by students from Industrial Engineering and Management, 2016.

Teaching (Examiner*)

• Financial Risk Management TPPE32

• Financial Valuation Methodology TPPE53*

• Financial Markets and Instruments TPPE29

• Portfolio Management TPPE33

• Thesis supervision

Selected publications

Research colleagues in financeShow/Hide content

My division at LiUShow/Hide content