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.