steffen sjursen

Teaching mathematics to high school students.

A study on processes with conditionally independent increments. These processes are used in credit risk and asset models with stochastic volatility. Found new results on the properties of processes with conditionally independent increments, and used these results to describe solutions to optimal portfolio problems.

deepinsight is a data science startup with headquarter in Oslo, Norway. Together with our clients we form, and subsequently solve, complex problems where advanced analytics can be applied. Visit http://deepinsight.io/ for more information.

I worked in DNB's risk quantification group, mainly developing new credit risk models for the retail side. Was also involved in monitoring credit risk models, automating the mortgage approval process and IRB-compliance. As project manager for a machine learning project we analysed credit risk using transaction data, and got some attention in national news media media attention https://www.dn.no/nyheter/2017/04/30/1817/Privatokonomi/roboten-gir-lan-hvis-den-far-gode-vibrasjoner-fra-kontoen-din and a scientific article currently in peer review.

Activities and Societies: Realistforeningen

Master thesis “Optimal portfolio problems in presence of default". Did one semester as an exchange student the mathematical finance program at Ulm university in Germany. Activities and Societies: Realistforeningen