Sigrid Källblad Nordin
My key area of interest is Mathematical Finance. I also take a general interest in problems at the intersection of Probability Theory, Stochastic Analysis, Stochastic Control and Optimisation. In particular, my research focuses on measure-valued processes, the martingale optimal transport problem, and related questions of how to handle model uncertainty in mathematical finance.
Currently hiring PhD students -- please contact me if you are interested or have any questions.
- J. Backhoff, S. Källblad and B. Robinson: Adapted Wasserstein distance between the laws of SDEs. ArXiv.
- A. Cox, S. Källblad, M. Larsson and S. Svaluto-Ferro: Controlled Measure-Valued Martingales: a Viscosity Solution Approach. ArXiv.
- M. Beiglböck, A. Cox, M. Huesmann and S. Källblad: Measure-valued martingales and optimality of Bass-type solutions to the Skorokhod Embedding Problem. ArXiv.
- S. Källblad and T. Zariphopoulou: On Black's equation for the risk tolerance function. ArXiv.
- S. Källblad: A dynamic programming principle for distribution-constrained optimal stopping. Annals of Applied Probability, Vol. 32, No. 3 (2022), pp 1902–1928. ArXiv. PDF.
- J. Backhoff, M. Beiglböck, M. Huesmann and S. Källblad: Martingale Benamou--Brenier: a probabilistic perspective. Annals of Probability, Vol. 48, No. 5 (2020), pp 2258-2289. Link. PDF.
- S. Källblad: Black's inverse investment problem and forward criteria with consumption. SIAM Journal on Financial Mathematics, Vol. 11, No. 2 (2020), pp 494-525. Link. PDF.
- S. Källblad, J. Obloj and T. Zariphopoulou: Dynamically consistent investment under model uncertainty: the robust forward criteria. Finance and Stochastics, Vol. 22, Issue 4 (2018), pp 879-918. Link. PDF.
- A. Cox and S. Källblad: Model-independent bounds for Asian options: a dynamic programming approach. SIAM Journal on Control and Optimization, Vol. 55, No. 6 (2017), pp 3409-3436. Link. PDF.
- S. Källblad, X. Tan and N. Touzi: Optimal Skorokhod embedding given full marginals and Azema-Yor peacocks. Annals of Applied Probability, Vol. 27, No. 2 (2017), pp 686-719. Link. PDF.
- S. Källblad: Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals. Finance and Stochastics, Vol. 21, Issue 2 (2017), pp 397-425. Link. PDF.
- S. Källblad and T. Zariphopoulou: Qualitative analysis of optimal investment strategies in log-normal markets. SSRN.
- S. Källblad: Topics in Portfolio Choice: Qualitative Properties, Time Consistency and Investment under Model Uncertainty: DPhil Thesis, University of Oxford (2014). SSRN.
Financial Mathematics, Basic course (SF2701) | Examiner, Course responsible, Teacher | Course web
Financial Derivatives (SF2975) | Examiner, Course responsible, Teacher | Course web
If you are interested in writing your master thesis under my supervision you are welcome to contact me.