Contact information:
290 Rhodes Hall
Ithaca, NY 14853
mol23_at_cornell.edu
About me
I am a Ph.D. candidate in the School of Operations Research and Information Engineering at Cornell University. My PhD advisor is Robert Jarrow.
Research interests
Most of my work is in probability theory and mathematical finance. Side interests include extreme value theory and optimization.
Education
| Degree | Year | University |
|---|---|---|
| Ph.D. (Operations Research) | Exp. 2012 | Cornell |
| Master of Advanced Studies in Finance | 2008 | ETH Zurich and University of Zurich |
| MSc in Engineering Mathematics | 2008 | Lund Institute of Technology |
Journal articles and conference proceedings
- Filtration Shrinkage, strict local martingales and the Follmer measure, M. Larsson. In preparation.
- Default and systemic risk in equilibrium, A. Capponi and M. Larsson. Submitted.
- Discretely sampled variance and volatility swaps versus their continuous approximations, R. Jarrow, Y. Kchia, M. Larsson, P. Protter. To appear in Finance and Stochastics.
- The meaning of market efficiency, R. Jarrow and M. Larsson. To appear in Mathematical Finance.
- Linking progressive and initial filtration expansions, Y. Kchia, M. Larsson, P. Protter. Submitted.
- A concave regularization technique for sparse mixture models, M. Larsson and J. Ugander. Accepted NIPS 2011.
- Extremal dependence measure and extremogram, M. Larsson and S. I. Resnick. Extremes, 2011.
- Extremal behavior of Archimedean copulas, M, Larsson and J. Neslehova. Advances in Applied Probability, 43(1), 2011.