Nils Christian Framstad
Førsteamanuensis
-
Økonomisk institutt

English version of this page
E-post
n.c.framstad@econ.uio.no
Telefon
+47 22855151
Mobiltelefon
90163893
Rom
ES1243
Treffetider
Se den engelskspråklige siden (trykk "English"-lenken).
Brukernavn
Besøksadresse
Sognsveien 77
0855 Oslo
Postadresse
Postboks 1095 Blindern
0317 Oslo
Faglige interesser
Stokastisk optimering med anvendelser
Undervisning
- ECON3120/4120 Mathematics 2: Calculus and linear algebra
- ECON4140/4145 Mathematics 3: Differential equations, static and dynamic optimization
Tidligere også:
- 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
Utdanning og karriere
- Førsteamanuensis, Økonomisk Institutt, Universitetet i Oslo, 2007–d.d.
- Seniorrådgiver, Finanstilsynet, 2002–2007 (timeengasjert seniorrådgiver fra 2007)
- Dr. scient (anvendt og industriell matematikk), Matematisk institutt (NFR-stipend), Universitetet i Oslo, 2002
Publikasjoner
- Framstad, N. C., Continuous-time (Ross-type) Portfolio separation, (almost) without Itô calculus, Stochastics 89(1), 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. Fulltekst i vitenarkiv
-
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. 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: 10.1080/21606544.2013.856353. Vis sammendrag
-
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 (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 (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 & 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). 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 with α-symmetric and Psuedo-isotropic Distributions. Memorandum from Department of Economics, University of Oslo. ISSN 0809-8786. doi: 10.1155/2017/9594547.
-
Framstad, Nils Christian (2011). Portfolio Separation Properties of the Skew-Elliptical Distributions. Memorandum from Department of Economics, University of Oslo. ISSN 0809-8786.
-
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 (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 (2007). Optimal stochastic control and non-depletion of a renewable resource under Hindy-Huang style intertemporal substitution. I Jensen, Bjarne S & Palokangas, Tapio (Red.), Stochastic Economic Dynamics. Copenhagen Business School Press. ISSN 9788763001854. 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; 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%3AJOTA.0000026132.62934.96. 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). 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). On portfolio separtion in the Merton problem with bankruptcy or default. I Albeverio, Sergio; boutet de monvel, Anne & Ouerdiane, Habib (Red.), Proceedings of the International Conference on Stochastic Analysis and Applications. Springer. ISSN 978-1-4020-2467-2. s. 249–265.
-
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%2800%2900067-7.
-
Framstad, Nils Christian (2018). Dynamic conservation contracts.
-
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: 10.1155/2017/9594547.
-
Framstad, Nils Christian & Harstad, Bård Gjul (2017). Conservation Contracts for Exhaustible Resources. Vis sammendrag
-
Framstad, Nils Christian (2016). Spectrally negative stable vectors, their covariations on the positive orthant, and the Capital Asset Pricing Model. 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 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 (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 . ISSN 0809-8786. 2014(25). Vis sammendrag
-
Framstad, Nils Christian; Øksendal, Bernt & Sulem, Agnès (2001). A Sufficient Stochastic Maximum Principle for Optimal Control of Jump Diffusions and Applications to Finance. Universitetet i Oslo. Matematisk institutt. ISSN 8255313125. Vis sammendrag
-
Framstad, Nils Christian; Øksendal, Bernt & Sulem, Agnès (1999). Optimal Consumption and Portfolio in a Jump Diffusion Market with proportional transaction costs. INRIA.
-
Framstad, Nils Christian; Øksendal, Bernt & Sulem, Agnès (1999). Optimal Consumption and Portfolio in a Jump Diffusion Market. Institutt for foretaksøkonomi. Norges handelshøyskole. Vis sammendrag
Publisert 1. okt. 2010 17:06
- Sist endret 30. nov. 2018 11:54