Curriculum Vitae for Carl Lindberg
Date of birth: December 30, 1978.
Citizenship: Sweden.
Address: Ostrongatan 23, 426 79 Västra Frölunda, Sweden.
Telephone number (mobile): +46 (0)704 93 63 95.
E-mail address: carl.lindberg@alumni.chalmers.se
Current employment:
I work as Quantitative Analyst at the Second Swedish Pension Fund in
Gothenburg, Sweden, where I develop and implement optimal trading strategies.
I analyze also the extreme risks associated with trading these strategies.
Academic degrees:
January 2011
November 2005
October 2004
September 2002
June 1998
June 1997
Docent in Mathematical Statistics from Chalmers,
Göteborg, Sweden.
Doctor of Philosophy in Mathematical Statistics
from Chalmers, Göteborg, Sweden.
Licentiate of Engineering in Mathematical Statistics from Chalmers, Göteborg, Sweden. The thesis
consisted of paper 1 below.
Master of Science in Industrial Engineering and
Management, with Mathematical Finance as
branch of specialization, from Chalmers, Sweden.
High School degree from Balderskolan, Skellefteå,
Sweden.
High School degree from Rush City High School,
Rush City, MN, USA.
International experiences:
I spent the school year of 1996/1997 in Minnesota as an exchange student,
where I obtained an American high school diploma.
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Work experience:
20112011
2010
20092007-2009
2006-2007
2006
2005-2006
2002-2006
2000-2001
1999
1998-2001
1998-2000
Quantitative Analyst at the Second Swedish Pension Fund
Consultant at the Swedish Club
Advisor at Fore C Fund Management AB
Researcher at Chalmers University of Technology, Sweden.
Quantitative analyst at Weavering Capital AB in
Göteborg, Sweden. My main work was to develop and
analyze new trading strategies, and to implement these in
the trading systems.
I was implementing a paper I had written on portfolio optimization (paper 4 below) for a Swedish national pension fund. The fund preferred to do the project through
Fraunhofer-Chalmers Research Centre in Industrial Mathematics (FCC) in Göteborg, so I was temporarily employed
there. The fund currently applies the theory on their dynamic quantitative portfolio.
Post-doc visit at CMA in Oslo, Norway.
Member of the consulting group in Mathematical Statistics
at Chalmers. I did mathematical and statistical consulting
for other research groups, as well as for external companies.
Teacher in undergraduate courses in Mathematical Statistics.
Associate supervisor in undergraduate courses in Mechanics.
Teacher in a project for mathematically gifted immigrant
children in Bergsjön, a suburb of Göteborg.
Part time job as caretaker of elderly.
Youth leader of various golf and music camps for children.
Non-work related positions:
2003-2007
2001-2002
1998-1999
Four years on the board for my tenant-owner’s association.
The board decides on matters concerning, for example, the
economy, rents, and repairs of our houses.
Two years on the board of the symphonic band orchestra
I was playing in. We arranged tours and concerts for the
band.
I was on the board of the student sport department at the
school of Industrial Engineering and Management during.
We arranged football, volleyball, and floorhockey tournaments, and a ski trip to the Alps.
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Publications and preprints:
1. News-generated dependence and optimal portfolios in a market of BarndorffNielsen and Shephard type. Mathematical Finance 16, 549–568.
2. Portfolio optimization and a factor model in a stochastic volatility market.
Stochastics 78, 259–279, lead paper.
3. The estimation of a stochastic volatility model based on the number of
trades, Applied Stochastic Models in Business and Industry 24:4, 277–289,
lead paper.
4. Portfolio optimization when expected stock returns are determined by
exposure to risk, Bernoulli 15, 464–474.
5. The implied risk aversion from utility indifference option pricing in a
stochastic volatility model. Joint project with Fred Espen Benth and
Martin Groth, International Journal of Applied Mathematics and Statistics 16, 11–37.
6. Optimal liquidation of a call spread. Joint project with Erik Ekström,
Johan Tysk, and Henrik Wanntorp. Journal of Applied Probability 47,
586 – 593.
7. Pairs trading. Joint project with Erik Ekström and Johan Tysk. To appear in European Science Foundation’s volume on Advanced Mathematical
Methods for Finance.
8. Pairs trading in a Lévy process market. Joint project with Stig Larsson
and Markus Warfheimer. Submitted.
9. Optimal trading for a long-only investor. Submitted.
10. A solution to a continuous time mean-variance problem. Submitted.
11. Designing the error in approximation of stochastic integrals. Joint project
with Holger Rootzén. Submitted.
I have also served as a referee for scientific journals such as Mathematical Finance, Quantitative Finance, Extremes, and Applied Stochastic Models in
Business and Industry.
Presentations:
I have given presentations at Fraunhofer ITWM in Kaiserslautern, Chalmers
University of Technology, Aarhus University, CMA at Oslo University, Royal
Institute of Technology (KTH), Uppsala University, Sydney University of Technology, and Munich University of Technology as invited speaker at seminars
and conferences. In addition, I have been on the panel in panel discussions
at industrial conferences. I represented Sweden at the 15th European Young
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Statisticians Meeting, September 10-14, 2007. The participants were chosen by
invitation only, two per country.
Students:
I have been the assistant supervisor of two PhD students, and I have supervised several MSc theses in various fields of Mathematical Finance.
Large consulting projects:
• Workplace safety and the effects of surveillance, for Jokab Safety.
• Robust portfolio optimization, for AP2.
• Risk management and pricing in insurance, for Swedish Club.
Language skills:
• Swedish, native.
• English, fluent.
• German, very good school level.
• French, good school level.
Computer skills:
My general level of programming is very good, and I have experience with
many different programming languages, for example Matlab, C++, Java, and
SQL.
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