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 questions related to model-independent pricing of financial derivatives; more specifically on the martingale optimal transport problem and its computational aspects.

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 Martingale Optimal Transport, Gothenburg statistics seminar, 23rd of October 2024, Chalmers University of Technology and University of Gothenburg, Gothenburg, Sweden.

• Martingale Optimal Transport for Robust Pricing of Financial Derivatives, session on theory and algorithms for optimisation, MTNS 2024, 19th of August 2024, University of Cambridge, Cambridge, UK.

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

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

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.