Post-doc in Applied Mathematics

Vienna University of Technology

1040 Wien, Wiedner Hauptstr. 8-10, Austria

E-mail: sigrid.kaellblad@tuwien.ac.at

Curriculum Vitae

1040 Wien, Wiedner Hauptstr. 8-10, Austria

E-mail: sigrid.kaellblad@tuwien.ac.at

Curriculum Vitae

martingale optimal transport; stochastic control; inverse problems.

- M. Beiglböck, A. Cox, M. Huesmann and S. Källblad: Measure-valued martingales and optimality of Bass-type solutions to the Skorokhod Embedding Problem. Preprint: arXiv
- J. Backhoff, M. Beiglböck, M. Huesmann and S. Källblad: Martingale Benamou--Brenier: a probabilistic perspective. Preprint: arXiv
- S. Källblad: A Dynamic Programming Principle for distribution-constrained optimal stopping. Preprint: arXiv
- A. Cox and S. Källblad: Model-independent bounds for Asian options: a dynamic
programming approach.
*SIAM Journal of Control and Optimization,*55(6), 3409-3436, 2017: Article arXiv - S. Källblad, X. Tan and N. Touzi: Optimal Skorokhod embedding given full marginals
and Azéma-Yor peacocks.
*Annals of Applied Probability,*27(2), 686-719, 2017: Article arXiv - S. Källblad: Investment and consumption with forward criteria and Black's inverse investment problem. Preprint: SSRN
- S. Källblad, J. Obłój and T. Zariphopoulou: Time-consistent investment under model
uncertainty: the robust forward criteria.
*Finance and Stochastics,*to appear: arXiv - S. Källblad and T. Zariphopoulou: Qualitative analysis of optimal investment strategies in log-normal markets. Preprint: SSRN
- S. Källblad: Risk and ambiguity averse portfolio optimization with quasiconcave utility
functionals.
*Finance and Stochastics,*21(2), 397-425, 2017: Article - S. Källblad and T. Zariphopoulou: On the Blacks equation for the risk tolerance function. In revision: arXiv

University of Oxford, under the supervision of Prof. Jan Obłój and Prof. Thaleia Zariphopoulou.

- Lecturing (TU Vienna) Advanced Probability Theory, master, Winter 2017
- TA (TU Vienna) Measure and Probability Theory II, undergraduate, Winter 2017
- TA (TU Vienna) Theory of Stochastic Processes, undergraduate, Summer 2016
- Lecturing (TU Vienna) Advanced Probability Theory, master, Winter 2016
- TA (TU Vienna) Measure and Probability Theory II, undergraduate, Winter 2016
- Tutorials (University of Oxford) part-time MSc Fin. Mathematics, Trinity 2012
- TA (University of Oxford) Stochastic Control and Dynamic Asset allocation, master, Hilary 2012
- Tutorials (Lincoln College Oxford) undergraduate, Trinity 2010
- TA (University of Oxford) Financial Derivatives, undergraduate, Hilary 2010