Overview
General research interests
- Statistical methods for stochastic processes
- Applied probability
- Ambit stochastics: Theory and application of ambit fields and ambit processes
- Financial econometrics
- Financial mathematics
Specific research interests
- Continuous time modelling of time series
- Stochastic volatility: Modelling and estimation
- Lévy processes
- Stochastic models for tempo-spatial data
- High frequency financial data
- Modelling of energy markets
Research Funding
2012: Award of a Marie Curie FP7 Integration Grant (CIG) within the 7th European Union Framework Programme worth 100,000 EUR.
Collaborators
Professor Ole E. Barndorff-Nielsen, Aarhus University, Stochastic volatility; stochastic modelling of energy markets; ambit stochastics
Professor Luitgard A. M. Veraart, London School of Economics, Financial mathematics; stochastic modelling of energy markets
Professor Fred Espen Benth, University of Oslo, Stochastic modelling of energy markets; ambit stochastics