Nils Christian Framstad

Førsteamanuensis - Økonomisk institutt
Bilde av Nils Christian Framstad
English version of this page
Telefon +47-22855151
Faks +47-22850535
Rom ES1243
Treffetider Se den engelskspråklige siden (trykk "English"-lenken).
Brukernavn
Besøksadresse Moltke Moes vei 31 Eilert Sundts hus blokk B 0851 OSLO
Postadresse Postboks 1095 Blindern 0317 OSLO

Faglige interesser

Stokastisk optimering med anvendelser

Undervisning

Tidligere også:

Utdanning og karriere

  • Førsteamanuensis, Økonomisk Institutt, Universitetet i Oslo, 2007d.d.
  • Seniorrådgiver, Finanstilsynet, 20022007 (timeengasjert seniorrådgiver 2007d.d.)
  • Dr. scient (anvendt og industriell matematikk), Matematisk institutt (NFR-stipend), Universitetet i Oslo, 2002
Emneord: Matematikk, Penger kreditt og finans, Ressurser energi og miljø, Samfunnsøkonomi

Publikasjoner

  • Framstad, Nils Christian (2017). Continuous-time (Ross-type) portfolio separation, (almost) without Itô calculus. Stochastics: An International Journal of Probability and Stochastic Processes.  ISSN 1744-2508.  89(1), s 38- 64 . doi: 10.1080/17442508.2015.1132218
  • Framstad, Nils Christian (2015). Portfolio Theory for α-Symmetric and Pseudoisotropic Distributions: k-Fund Separation and the CAPM. Journal of Probability and Statistics.  ISSN 1687-952X.  2015 . doi: 10.1155/2015/235452 Fulltekst i vitenarkiv.
  • 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 0928-7655.  41, s 1- 18 . doi: 10.1016/j.reseneeco.2015.03.003
  • Framstad, Nils Christian (2014). On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes. Brazilian Journal of Probability and Statistics.  ISSN 0103-0752.  28(2), s 223- 240 . doi: 10.1214/12-BJPS203 Fulltekst i vitenarkiv.
  • 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 2160-6544.  3(1), s 25- 45 . doi: http://dx.doi.org/10.1080/21606544.2013.856353 Vis sammendrag
  • Framstad, Nils Christian (2013). Ross-type Dynamic Portfolio Separation (almost) without Ito Stochastic Calculus. Memorandum from Department of Economics, University of Oslo.  ISSN 0809-8786.  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 0809-8786.  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 0809-8786.  2013(11)
  • Framstad, Nils Christian (2011). A remark on R.S. Pindyck: "Irreversibilities and the timing of environmental policy". Resource and Energy Economics.  ISSN 0928-7655.  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 short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes. Memorandum from Department of Economics, University of Oslo.  ISSN 0809-8786.  20
  • Framstad, Nils Christian (2011). Portfolio Separation Properties of the Skew-Elliptical Distributions. Memorandum from Department of Economics, University of Oslo.  ISSN 0809-8786.  (02)
  • Framstad, Nils Christian (2011). Portfolio Separation with α-symmetric and Psuedo-isotropic Distributions. Memorandum from Department of Economics, University of Oslo.  ISSN 0809-8786.  (12)
  • Framstad, Nils Christian (2011). Portfolio separation properties of the skew-elliptical distributions, with generalizations. Statistics and Probability Letters.  ISSN 0167-7152.  81(12), s 1862- 1866 . doi: 10.1016/j.spl.2011.07.006
  • Framstad, Nils Christian (2007). Optimal stochastic control and non-depletion of a renewable resource under Hindy-Huang 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). Arrow-Mangasarian sufficient conditions for controlled semimartingales. Stochastic Analysis and Applications.  ISSN 0736-2994.  24, s 929- 938
  • Framstad, Nils Christian (2004). Coherent portfolio separation – inherent systemic risk?. International Journal of Theoretical and Applied Finance.  ISSN 0219-0249.  07, s 909- 917 . doi: 10.1142/S0219024904002712 Vis sammendrag
  • Framstad, Nils Christian (2004). Non-robustness with respect to intervention costs in optimal control. Stochastic Analysis and Applications.  ISSN 0736-2994.  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 978-1-4020-2467-2.  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 0022-3239.  121(1), s 77- 98 . doi: 10.1023/B:JOTA.0000026132.62934.96 Vis sammendrag
  • Framstad, Nils Christian (2003). Optimal Harvesting of a Jump Diffusion Population and the Effect of Jump Uncertainty. SIAM Journal of Control and Optimization.  ISSN 0363-0129.  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 0304-4068.  35(2), s 233- 257 . doi: 10.1016/S0304-4068(00)00067-7

Se alle arbeider i Cristin

  • Framstad, Nils Christian & Harstad, Bård Gjul (2017). Conservation Contracts for Exhaustible Resources. Vis sammendrag
  • 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 Jump-Diffusion Model. Memorandum from Department of Economics, University of Oslo. 25. Vis sammendrag
  • 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 non-symmetric heavy-tailed distributions, and applicability to insurance.
  • Framstad, Nils Christian (2011). Some cases of Ross-type portfolio separation – α-stable, α-symmetric and pseudo-isotropic 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 0022-3239.  124(2), s 511- 512 . doi: 10.1007/s10957-004-0949-6
  • Framstad, Nils Christian; Øksendal, Bernt & Sulem, Agnès (2001). A Sufficient Stochastic Maximum Principle for Optimal Control of Jump Diffusions and Applications to Finance. Vis sammendrag
  • Framstad, Nils Christian; Øksendal, Bernt & Sulem, Agnès (1999). Optimal Consumption and Portfolio in a Jump Diffusion Market. Vis sammendrag
  • Framstad, Nils Christian; Øksendal, Bernt & Sulem, Agnès (1999). Optimal Consumption and Portfolio in a Jump Diffusion Market with proportional transaction costs.

Se alle arbeider i Cristin

Publisert 1. okt. 2010 17:06 - Sist endret 9. jan. 2017 09:39