Mattias Sundén

Formerly known as Mattias Bengtsson

Ph.D.

Department of Mathematical Statistics
Chalmers University of Technology
S-412 96 GÖTEBORG
SWEDEN

Phone:

+46 31 772 82 94 (office)
+46 730 79 29 79 (mobile)

Email:

mattib@math.chalmers.se

Current teaching

LMA135 Industriell Matematik och Statistik

Previous teaching

MVE220 Financial Risk

LMA521 Tillämpad Matematisk Statistik

Stochastic Calculus Part 2 exercises and hand-ins
Stochastic Calculus Part 2 course webpage

TMV225, Inledande matematik M, 2008/09 ESS011 Matematisk Statistik och Signalbehandling lp4 vt 2007

Sannolikhetsteori1 GU HT 2006

Matematisk Statistik för D3 TMA290 VT 2006

Stochastic Calculus Part 1 exercises and hand-ins
Stochastic Calculus Part 1 course webpage

Stochastic Processes (Patrik's course) LP2

Probability and Stochastic Processes (Rossitza's course) LP1

Research

Currently I am involved in a project on incentives for portfolio managers. This work is done at the Centre for finance at Gothenburg school of business. Here are the slides from a presentation given at Tor Vergata, Rome 090311.

I am also interested in Lévy Processes with a view towards finance and applications of "Lévy-like" processes in physics, such as the Kac model.

Doctoral Thesis

Defended successfully September 19.

Publications and Preprints

Joint work with Georgios Foufas and Evert Carlsson

On Incentives for Sustainable Investments


Joint work with Patrik Albin

On the extremes of Lévy Processes Part I (Stochastic Processes and Their Applications vol.119 no.1 pp. 281-304) available online at sciencedirect
On the extremes of Lévy Processes Part II (Under revision) ps pdf


Joint work with Bernt Wennberg

Brownian Approximation and Monte Carlo Simulation of the Non-cutoff Kac Equation (Journal of Statistical Physics vol.130 no.2 pp. 295-312)
The Kac Master Equation with Unbounded Collision Rate. (Markov Processes and Related Fields vol.15 no.2 pp. 125-148)

Masters Thesis

Joint work with Viktor Olsbo

Value at Risk Using Stochastic Volatility Models pdf

Pictures

Recept

Links

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