Nils Christian Framstad
Associate Professor

Department of Economics
Norwegian version of this page
Email
n.c.framstad@econ.uio.no
Phone
+4722855151
Fax
+4722850535
Room
ES1243
Available hours
Spring 2018: Wednesday 131515, but in room 1220 at least on these days: https://www.uio.no/studier/emner/sv/oekonomi/ECON4140/v18/timeplan/index.html#SEMF
Username
Visiting address
Moltke Moes vei 31
Eilert Sundts hus
blokk B
0851 OSLO
Postal address
Postboks 1095 Blindern
0317 OSLO
Academic Interests
Stochastic optimization with applications (finance, resource/environmental economics).
Teaching
 ECON3120/4120 Mathematics 2: Calculus and linear algebra
 ECON4140 Mathematics 3: Differential equations, static and dynamic optimization
Previously also lectured
 ECON2200 Matematikk 1/Mikro 1 (MM1)
 ECON4240 Game Theory and Economics of Information
 ECON5150 Mathematics 4: Dynamic optimization
 ECON5155 Mathematics 5: Topics
 ECON5160 Stochastic modeling and analysis
Background
 Associate Professor, Department of economics, University of Oslo, 2007–
 Senior advisor, The Financial Supervisory Authority of Norway, 2002–2007 (and 2007–)
 Dr. scient (PhD equivalent) (applied and industrial mathematics), Department of mathematics (Research Council funded), University of Oslo, 2002
Publications
 Framstad, N. C., Continuoustime (Rosstype) Portfolio separation, (almost) without Itô calculus, Stochastics, 89, 2017, 38–64.
 Framstad, N. C. and J. Strand, Energy intensive infrastructure investments with retrofits in continuous time: Effects of uncertainty on energy use and carbon emissions, Resource and Energy Economics 41, 2015, 1–18
 Framstad, N. C., On free lunches in random walk markets with shortsale constraints and small transaction costs, and weak convergence to Gaussian continuoustime processes, Brazilian Journal of Probability and Statistics 28(2), 2014, 223–240
 Framstad, N. C., When can the environmental profile and emissions reduction be optimised independently of the pollutant level?, Journal of Environmental Economics and Policy 3(1), 2014, 25–45
 Framstad, N. C., Optimal stochastic control and nondepletion of a renewable resource under HindyHuang style intertemporal substitution, in B.S. Jensen and T. Palokangas (eds.), Stochastic Economic Dynamics, 2007, CBS Press
 Framstad, N. C., ArrowMangasarian sufficient conditions for controlled semimartingales, Stochastic Analysis and Applications 24(5), 2006, 929–938
 Framstad, N. C., A. Sulem and B. Øksendal, Sufficient stochastic maximum principle for optimal control of jump diffusions and applications to finance, Journal of Optimization Theory and Applications 121(1), 2004, 77–98 (errata corrige: vol. 124(2) p511).
 Framstad, N. C., Nonrobustness with respect to intervention costs in optimal control, Stochastic Analysis and Applications 22(2), 2004, 333–340
 Framstad, N. C., Optimal harvesting of a jump diffusion population and the effect of jump uncertainty, SIAM Journal On Control and Optimization 42(4), 2003, 1451–1465
 Framstad, N. C., A. Sulem and B. Øksendal, Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs, Journal of Mathematical Economics 35(2), 2001, 233–257
 Framstad, Nils Christian (2017). Continuoustime (Rosstype) portfolio separation, (almost) without Itô calculus. Stochastics: An International Journal of Probability and Stochastic Processes. ISSN 17442508. 89(1), s 38 64 . doi: 10.1080/17442508.2015.1132218
 Framstad, Nils Christian (2015). Portfolio Theory for αSymmetric and Pseudoisotropic Distributions: kFund Separation and the CAPM. Journal of Probability and Statistics. ISSN 1687952X. 2015 . doi: 10.1155/2015/235452 Full text in Research Archive.
 Framstad, Nils Christian & Strand, Jon (2015). Energy intensive infrastructure investments with retrofits in continuous time: Effects of uncertainty on energy use and carbon emissions. Resource and Energy Economics. ISSN 09287655. 41, s 1 18 . doi: 10.1016/j.reseneeco.2015.03.003
 Framstad, Nils Christian (2014). On free lunches in random walk markets with shortsale constraints and small transaction costs, and weak convergence to Gaussian continuoustime processes. Brazilian Journal of Probability and Statistics. ISSN 01030752. 28(2), s 223 240 . doi: 10.1214/12BJPS203 Full text in Research Archive.
 Framstad, Nils Christian (2014). When can the environmental profile and emissions reduction be optimised independently of the pollutant level?. Journal of Environmental Economics and Policy. ISSN 21606544. 3(1), s 25 45 . doi: 10.1080/21606544.2013.856353 Show summary
 Framstad, Nils Christian (2013). Rosstype Dynamic Portfolio Separation (almost) without Ito Stochastic Calculus. Memorandum from Department of Economics, University of Oslo. ISSN 08098786. 2013(21)
 Framstad, Nils Christian (2013). When can environmental profile and emissions reductions be optimized independently of the pollutant level?. Memorandum from Department of Economics, University of Oslo. ISSN 08098786. 2013(12)
 Framstad, Nils Christian & Strand, Jon (2013). Energy Intensive Infrastructure Investments with Retrofits in Continuous Time: Effects of Uncertainty on Energy Use and Carbon Emissions. Memorandum from Department of Economics, University of Oslo. ISSN 08098786. 2013(11)
 Framstad, Nils Christian (2011). A remark on R.S. Pindyck: "Irreversibilities and the timing of environmental policy". Resource and Energy Economics. ISSN 09287655. 33(3), s 756 760 . doi: 10.1016/j.reseneeco.2011.01.004
 Framstad, Nils Christian (2011). On free lunches in random walk markets with shortsale constraints and small transaction costs, and weak convergence to Gaussian continuoustime processes. Memorandum from Department of Economics, University of Oslo. ISSN 08098786. 20
 Framstad, Nils Christian (2011). Portfolio Separation Properties of the SkewElliptical Distributions. Memorandum from Department of Economics, University of Oslo. ISSN 08098786. (02)
 Framstad, Nils Christian (2011). Portfolio Separation with αsymmetric and Psuedoisotropic Distributions. Memorandum from Department of Economics, University of Oslo. ISSN 08098786. (12)
 Framstad, Nils Christian (2011). Portfolio separation properties of the skewelliptical distributions, with generalizations. Statistics and Probability Letters. ISSN 01677152. 81(12), s 1862 1866 . doi: 10.1016/j.spl.2011.07.006
 Framstad, Nils Christian (2007). Optimal stochastic control and nondepletion of a renewable resource under HindyHuang style intertemporal substitution, In Bjarne S Jensen & Tapio Palokangas (ed.), Stochastic Economic Dynamics. Copenhagen Business School Press. ISBN 9788763001854. Kapittel 12. s 361  372
 Framstad, Nils Christian (2006). ArrowMangasarian sufficient conditions for controlled semimartingales. Stochastic Analysis and Applications. ISSN 07362994. 24, s 929 938
 Framstad, Nils Christian (2004). Coherent portfolio separation – inherent systemic risk?. International Journal of Theoretical and Applied Finance. ISSN 02190249. 07, s 909 917 . doi: 10.1142/S0219024904002712 Show summary
 Framstad, Nils Christian (2004). Nonrobustness with respect to intervention costs in optimal control. Stochastic Analysis and Applications. ISSN 07362994. 22, s 333 340
 Framstad, Nils Christian (2004). On portfolio separtion in the Merton problem with bankruptcy or default, In Sergio Albeverio; Anne boutet de monvel & Habib Ouerdiane (ed.), Proceedings of the International Conference on Stochastic Analysis and Applications. Springer. ISBN 9781402024672. Kapittel. s 249  265
 Framstad, Nils Christian; Øksendal, Bernt & Sulem, Agnès (2004). A sufficient stochastic maximum principle for optimal control of jump diffusions and applications to finance. Journal of Optimization Theory and Applications. ISSN 00223239. 121(1), s 77 98 . doi: 10.1023/B:JOTA.0000026132.62934.96 Show summary
 Framstad, Nils Christian (2003). Optimal Harvesting of a Jump Diffusion Population and the Effect of Jump Uncertainty. SIAM Journal of Control and Optimization. ISSN 03630129. 42(4), s 1451 1465 . doi: 10.1137/S0363012902385910
 Framstad, Nils Christian; Øksendal, Bernt & Sulem, Agnès (2001). Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs. Journal of Mathematical Economics. ISSN 03044068. 35(2), s 233 257 . doi: 10.1016/S03044068(00)000677
 Framstad, Nils Christian (2017). Corrigendum to “Portfolio Theory for αSymmetric and Pseudoisotropic Distributions: kFund Separation and the CAPM”. Journal of Probability and Statistics. ISSN 1687952X. 2017 . doi: https://doi.org/10.1155/2017/9594547
 Framstad, Nils Christian & Harstad, Bård Gjul (2017). Conservation Contracts for Exhaustible Resources. Show summary
 Framstad, Nils Christian (2016). Spectrally negative stable vectors, their covariations on the positive orthant, and the Capital Asset Pricing Model. Show summary
 Framstad, Nils Christian (2015). Revisiting some results and counterexamples in stochastic portfolio optimization.
 Framstad, Nils Christian (2014). The Effect of Small Intervention Costs on the Optimal Extraction of Dividends and Renewable Resources in a JumpDiffusion Model. Memorandum from Department of Economics, University of Oslo. 25. Show summary
 Framstad, Nils Christian (2014). The effect of small intervention costs on the optimal extraction of dividends or of renewable resources.
 Framstad, Nils Christian (2013). Portfolio theory for a class of nonsymmetric heavytailed distributions, and applicability to insurance.
 Framstad, Nils Christian (2011). Some cases of Rosstype portfolio separation – αstable, αsymmetric and pseudoisotropic distributions, with generalizations.
 Framstad, Nils Christian; Øksendal, Bernt & Sulem, Agnès (2005). Errata corrige: "Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance". Journal of Optimization Theory and Applications. ISSN 00223239. 124(2), s 511 512 . doi: 10.1007/s1095700409496
 Framstad, Nils Christian; Øksendal, Bernt & Sulem, Agnès (2001). A Sufficient Stochastic Maximum Principle for Optimal Control of Jump Diffusions and Applications to Finance. Show summary
 Framstad, Nils Christian; Øksendal, Bernt & Sulem, Agnès (1999). Optimal Consumption and Portfolio in a Jump Diffusion Market. Show summary
 Framstad, Nils Christian; Øksendal, Bernt & Sulem, Agnès (1999). Optimal Consumption and Portfolio in a Jump Diffusion Market with proportional transaction costs.
Published Oct. 1, 2010 5:06 PM
 Last modified Mar. 9, 2018 3:37 PM