Research


My research is in asset-liability management (ALM) and mathematical finance. Pricing and hedging of financial securities, risk management, and financial regulation often come down to the problem of managing assets so that their investment returns conform to given financial liabilities as well as possible. I study such problems by combining techniques from stochastic and convex analysis.

Techniques of convex optimization provide new possibilities also for financial risk management in practice. We have applied these techniques successfully in ALM of pension funds and banks. Besides convex optimization, practical applications require techniques from statistics, econometrics and numerical analysis. Most of my research and publications can be put under these topics.