Finance professor (wsr), Dep. of Business and Management, Aalborg University.
PhD in Finance, MSc Economics, Aarhus University
Recipient of the 'Teacher of the Year 2014' prize at the Faculty of Social Sciences, Aalborg University
Monetary Economics (MSc in Economics students)
Spring 2017
Topics: Money and output in theory and empirical evidence. Flexible and sticky prices. Time inconsistency. Inflation targeting. Unconventional monetary policy.
Main literature: Walsh, "Monetary Theory and Policy", MIT.
Time Series Econometrics (MSc in Economics students)
Fall 2013-2018
Topics: ARCH/GARCH, VAR models, Cointegration, Simultaneous Equation Models, Panel data models, Factor-Augmented VAR (FAVAR) models.
Main literature: Enders, "Applied Econometrics Time Series", Wiley. Heij, de Boer, Franses, Kloek and van Dijk, 'Econometric Methods with Applications in Business and Economics', Oxford University Press.
Fixed income and their derivatives (MSc in Economics students)
Fall 2011-2018
Topics: Bond markets and bond pricing. Term structure of interest rate theory. Risk management including value-at-risk. Fixed income derivatives. Inflation, expectations and monetary policy. Mortgage backed securities. Monte Carlo simulation. Term structure models: Binomial trees and continuous time models.
Main literature: Pietro Veronesi (2010), 'Fixed Income Securities: Valuation, Risk, and Risk Management', John Wiley & Sons.
Introduction to Financial Engineering and Compoutational Finance (students in Mathematics-Economics)
Spring 2012-2015
Topics: Introduction to stochastic calculaus, quadratic variation, stochastic integrals and PDEs. Itô's Lemma. Black-Scholes, the greeks and hedging. Finite difference methods including Cranck-Nicolson. Monte Carlo simulation. Numerical Integration. Exotics and path dependency. Barrier options. Asian options. ARCH/Garch models. Heston stochastic vol. model.
Main literature: Paul Wilmott (2007), 'Paul Wilmott introduces quantitative finance', John Wiley & Sons.
Investment science and introductory finance (students in Mathematics-Economics)
Spring 2011-2013
Topics: Investment science. The bond market and bond pricing. The term structure of interest rates. The stock market and models for stock price dynamics. Portfolio theory. CAPM. APT. Options. Black-Scholes option pricing formula. Itô's Lemma.
Main literature: David G. Luenberger: 'Investment Science', Oxford 2009.
Financial Markets (students in Economics)
Spring 2011-2018
Topics: Mean-Variance (Markowitz). CAPM. The relation between Mean-Variance and CAPM. Arbitrage Pricing theory (APT). Derivatives: Fowrards, Futures and options. The bond market and bond pricing.
Main literature: Grinblatt M. og S. Titman: 'Financial Markets and Corporate Strategy'. McGraw-Hill.
