Sigrid Källblad

Post-doc in Applied Mathematics

Vienna University of Technology
1040 Wien, Wiedner Hauptstr. 8-10, Austria

Curriculum Vitae

Research Interests

Mathematical finance and related problems in probability theory; specifically, robust approaches to pricing, hedging and portfolio optimisation;
martingale optimal transport; stochastic control; inverse problems.

Publications and Preprints

PhD thesis

Topics in Portfolio Choice: Qualitative Properties, Time Consistency and Investment under Model Uncertainty: PDF
University of Oxford, under the supervision of Prof. Jan Obłój and Prof. Thaleia Zariphopoulou.