Though after the PhD I am shifting my research focus to Machine Learning (mostly Deep Learning), the majority of my research so far has centred around optimal decision making under uncertainty. In more detail, I have engaged in the study of

  • sequential testing/estimation and quickest change-point detection problems in Bayesian Statistics,
  • optimal sequential decisions (typically, trading strategies),
  • stochastic differential equations and filtering techniques.

Papers:

Optimal stopping of a Brownian bridge with an unknown pinning point
Written in collaboration with E. Ekström.
Submitted (preprint on arxiv, local pdf).

Asset liquidation under drift uncertainty and regime-switching volatility
Submitted (preprint on arxiv, local pdf).

Optimal liquidation of an asset under drift uncertainty
Written in collaboration with E. Ekström.
SIAM Journal on Financial Mathematics, vol. 7, no. 1, 2016, pp. 357-381 (final version, preprint on arxiv, local pdf).

Bayesian sequential testing of the drift of a Brownian motion
Written in collaboration with E. Ekström.
ESAIM: Probability and Statistics, vol. 19, 2015, pp. 626-648 (final version, preprint on arxiv, local pdf).

The 3/2-model as a stochastic volatility approximation for a large-basket price-weighted index
Written in collaboration with B. Hambly.
International Journal of Theoretical and Applied Finance,  vol. 18, 2015, ID 1550041 (final version, preprint as local pdf).

Manuscripts (in progress):

Quickest disorder detection under drift uncertainty (with E. Ekström), 2017.

Theses:

Optimal Sequential Decisions in Hidden-State Models
PhD thesis (Introduction with a summary of the included papers).
Defended on June 9, 2017, at Ångström Laboratory, Uppsala University..
Opponent: Prof. Huyên Pham, University Paris Diderot (Paris 7).

Optimal Stopping under Drift Uncertainty
Licentiate thesis (Half-PhD thesis), Uppsala University, 2015 (final version, local pdf).
Supervisor: Prof. Erik Ekström. Reviewer: Dr Pavel Gapeev (London School of Economics).

Approximation of a large-basket index with an application to the pricing of variance options
Master’s thesis, Oxford University, 2012.
Supervisor: Prof. Ben Hambly.