Hult, H. and Svensson, J. (2009), Efficient Calculation of Risk Measures by Importance Sampling - the Heavy-Tailed Case. arXiv:math/0909.3335v1 [math:PR]

Hult, H. and Svensson, J. (2009), On Importance Sampling with Mixtures for Random Walks with Heavy Tails. arXiv:math/0909.3333v1 [math:PR]

Svensson, J. and Djehiche, B. (2009), Large Deviations for Heavy-Tailed Factor Models, Statistics and Probability Letters 79, pp. 304-311. doi:10.1016/j.spl.2008.08.011

Svensson, J. (2007), The Asymptotic Spectrum of the EWMA Covariance Estimator, Physica A 385, pp. 621-630. doi:10.1016/j.physa.2007.07.030

Teaching 

Mathematical Statistics

Mathematical Statistics Faculty