Jesper Lund Pedersen
Associate Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
ORCID: 0000-0003-2308-5548
I work with applied probability, mainly in the area of finansial mathematics and insurance mathematics
Primary fields of research
- (Non-linear) optimal stopping problems
- (Non-linear) stochastic control problems
- Detection problems and stochastic filtering
- Multivariate point processes
Teaching
- Stochastic processes in life insurance
- Continuous time finance
- Optimal stopping
- Levy processes
ID: 3491
Most downloads
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318
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Optimal mean-variance portfolio selection
Research output: Contribution to journal › Journal article › Research › peer-review
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173
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Rationality Parameter for Exercising American Put
Research output: Contribution to journal › Journal article › Research › peer-review
Published