Nils Christian Framstad
Associate Professor
-
Department of Economics

Norwegian version of this page
Email
n.c.framstad@econ.uio.no
Phone
+47 22855151
Mobile phone
90163893
Room
ES1243
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., Continuous-time (Ross-type) 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 short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time 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 non-depletion of a renewable resource under Hindy-Huang style intertemporal substitution, in B.S. Jensen and T. Palokangas (eds.), Stochastic Economic Dynamics, 2007, CBS Press
- Framstad, N. C., Arrow-Mangasarian 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., Non-robustness 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). 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 Full text in Research Archive.
- 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 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 0928-7655. 41, s 1- 18 . doi: 10.1016/j.reseneeco.2015.03.003 Full text in Research Archive.
- 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 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 2160-6544. 3(1), s 25- 45 . doi: 10.1080/21606544.2013.856353 Show summary
- 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) . doi: 10.1080/17442508.2015.1132218
- 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) . doi: 10.1080/21606544.2013.856353
- 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) . doi: 10.1016/j.reseneeco.2015.03.003
- 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 . doi: 10.1214/12-bjps203
- 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) . doi: 10.1155/2017/9594547
- 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 Show summary
- 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 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 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
- Framstad, Nils Christian (2018). Dynamic conservation contracts. Show summary
- Framstad, Nils Christian (2017). Corrigendum to “Portfolio Theory for α-Symmetric and Pseudoisotropic Distributions: k-Fund Separation and the CAPM”. Journal of Probability and Statistics. ISSN 1687-952X. 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 Jump-Diffusion 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 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. 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 Nov. 26, 2019 7:16 PM