September 25, 2012
Post-docs
• Asma Khedher (CMA) – Fall 2011. Project: Robusteness, dependence, exchange options. Now
Postdoc at TU Munich.
Student Supervision
Ph.D. level:
Principal supervisor:
• Steffen Sjursen (Innostoch/CMA) - due to finish Spring 2013.
• Asma Khedher (CMA) – completed 24 th June 2011. Thesis title: Sensitivity and robustness to model risk in Levy and jump-diffusion setting. After a short Postdoc at CMA Oslo, she is now
Postdoc at TU Munich in Germany.
• Inga B. Eide (CMA) – completed 20 th March 2009. Thesis title: Small Probabilities, Large
Markets and Asymmetric Information. After PhD she was hired and is still working at
Finanstilsynet, The financial supervisor authority of Norway.
Subsidiary supervisor:
• Drysztof Jaroslaw Paczka (Innostoch/CMA) due to finish Fall 2014 (Principal Supervisor: B.
Øksendal)
• Sara Solanilla Blanco (EMMOS/CMA) due to finish Fall 2014 (Principal Supervisor: F.E. Benth)
• David Ruiz Banoz (Dept. Mathematics, UiO) due to finish Fall 2015 (Principal Supervisor: F.
Proske)
• Andrea Barth (CMA) – completed December 2009. Thesis title: Stochastic Partial Differential
Equations: Approximations and Applications (Principal Supervisors: F.E. Benth and J. Potthoff).
After PhD, she was hired Postdoc at ETH, Zurich.
• Yeliz Y. Okur (CMA) – completed September 2009. Thesis title: Malliavin calculus for Levy processes and applications to finance (Principal Supervisor: B. Øksendal). After PhD, she continued as a Postdoc and lecturer in Turkey, she is now permanent staff as Assistant Professor in Financial Mathematics at the Middle East Technical University in Ankara, Turkey.
• An Ta Thi Kieu (Research Council of Norway at CMA) – completed September 2008. Thesis title: Stochastic control of jump diffusions in finance (Principal Supervisor: B. Øksendal). After
PhD, she continued as Postdoc at CMA, Oslo.
Master level:
• Edoardo Martino L'Aurora (Dept. Math, Univ. Tor Vergata, Rome, Italy). In collaboration with
Prof. Lucia Caramellino – Completed September 2012. Thesis title: European Options in market models with memory under the benchmark approach.

• Marina Moschetta (Dept. Math, Univ. Tor Vergata, Rome, Italy). In collaboration with Prof. Lucia
Caramellino – Completed September 2012. Thesis title: European options in stochastic volatility models with jumps under the benchmark approach.
• Farhod Artykov (Dept. Math., UiO) – Completed June 2010. Thesis title: Portfolio optimization under a Value-at-Risk cnstraint with consideration of partial information and jump diffusion markets. Hired at Norges Bank Investment Management (NBIM) that manages the Norwegian
Pension Fund Global.
• Arnhild Kløvnes (Dept. Math., UiO) – Completed June 2010. Thesis title: Credit contagion.
Hired at Statens pensjonskasse.
• SteffenSjursen (Dept. Math., UiO) – completed September 2009. Thesis title: Optimal portflio problems in presence of default. Continued with a PhD in Stochastic Analysis, CMA, UiO.
• Jørgen Sjaastad (Dept.Math., UiO) – completed in June 2007. Thesis title: Chaos expansions under change of measure. Continued with a PhD in the Education in within science, technology, engineering and mathematics, UiO. Defended September 2012.
• Asgeir Vilming (Dept. Math., UiO) – completed in June 2006. Thesis title: Malliavin calculus for additive processes. Hired at Statkraft, Norway in the trading section, now based in Germany.
• Farai J. Mhlanga (Dept. Math., University of Zimbabwe, NUFU progamme) – completed in June
2005. Thesis title: Minimal variance hedging in a discrete time market driven by Markov processes. Continued with a PhD at University of Cape Town, Rep. South Africa. Defended in
April 2011.
• Tafireyi Nemaura (Dept.Math., University of Zimbabwe, NUFU programme) – completed in June
2005. Thesis title: On equivalent martingale measures and pricing in incomplete markets.
Continued as Assistant at University of Zimbabwe.
Bachelor level:
• Pål Brenne Jensen (Dept.Math., UiO) - completed in May 2009. Project in STK-MAT2011. Title:
Bond markets and interest rate modeling in discrete time
• Ekaterina Shmonina (Dept.Economics, UiO) – completed in May 2008. Project in STK-
MAT2011 – Title: Estimation of the Hurst parameter for the fractional Brownian motion with the application to the weather derivatives
• Farhod Artykov (Dept.Math., UiO) – completed in April 2008. Project in STK-MAT2011 – Title:
Weather derivatives, fractional Brownian motion and estimation of the Hurst parameter
• Hanne Fjeldskår (Dept.Math., UiO) – completed in May 2007. Project in STK-MAT2010 – Title:
Lévy processes in modelling (in Norwegian)
• Arnhild Kløvnes (Dept.Math., UiO) – completed in May 2007. Project in STK-MAT2010 – Title:
Lévy processes in finance (in Norwegian)
• Iben C. Simonsen (Dept.Math., UiO) – completed in May 2007. Project in STK-MAT2010 –
Title: Lévy processes and simulation
• Jørgen Sjaastad (Dept.Math., UiO) – completed in May 2006. Project in MAT2010 – Title:
“ Fair” games and the law of large numbers (in Norwegian)
• Tron Omland (Dept.Math., UiO) – completed in May 2006. Project in MAT2010 – Title:
Gambling and Markov Chains
• Asgeir Vilming (Dept.Math., UiO) – completed in June 2004. Project in STK-MAT2010 – Title:
Fractional Brownian motion and simulation (in Norwegian)

• Jens Arne Sukkestad (Dept.Math., UiO) – completed in May 2004. Project in STK-MAT2010 –
Title: Fractional Brownian motion and estimation of the Hurst parameter H