Linn Engström

I am a Ph.D. student in Applied and Computational Mathematics with specialisation towards financial mathematics and optimisation, under supervision of Assoc. Prof. Sigrid Källblad and Prof. Johan Karlsson. My research is focused on robust pricing of financial derivatives, more specifically on the martingale optimal transport problem.

I hold a M.Sc. in Engineering Physics from Chalmers University of Technology. Prior to starting my Ph.D. studies, I was working in financial industry for two years.

Publications:

• L. Engström, S. Källblad and J. Karlsson: Computation of Robust Option Prices via Structured Multi-Marginal Martingale Optimal Transport. Preprint. ArXiv.

Talks:

• Computation of Robust Option Prices via Structured Martingale Optimal Transport, session on martingale optimal transport in robust finance, 12th Bachelier World Congress, 11th July 2024, FGV, Rio de Janeiro. Slides

• Computational Martingale Optimal Transport and Mathematical Finance, JFRP 2022, 6th October 2022, WIAS, Berlin

Teaching:

I am currently teaching assistant in the courses SF2971 Martingales and Stochastic Integrals and SF1811 Optimization. Earlier, I was teaching assistant in SF2701 Financial Mathematics, Basic Course.