Author biographies

Erik Lindström

Dr. Lindström is an associate professor at the Centre for Mathematical Sciences at Lund University, Sweden, but substantial parts of the book were written when Erik was guest professor at the Technical University of Denmark.

His research ranges from statistical methodology (primarily time series analysis in discrete and continuous time), to financial mathematics as well as problems related to energy markets.

He earned his master's degree in engineering physics in 2000 and his master's degree in business and economics in 2001, followed by a PhD in mathematical statistics in 2004, all from Lund Institute of Technology (LTH)/Lund University, Sweden. He has a great interest in teaching, being part of LTH's Pedagogical Academy and has been awarded the distinction of Excellent Teaching Practitioner (ETP) in 2013.

Henrik Madsen

Dr. Madsen earned a PhD in statistics at the Technical University of Denmark (DTU) in 1986. He was appointed assistant professor in statistics in 1986, associate professor in 1989 and professor in mathematical statistics with a special focus on dynamical systems in 1999 also at DTU. He has authored or co-authored approximately 480 papers and 11 books, including books on mathematical statistics, time series analysis and on integration of renewables in electricity markets. He is an elected member of ISI and IEEE. He is currently section head at the Section for Dynamical Systems at the Department for Applied Mathematics and Computer Sciences at DTU.

Jan Nygaard Nielsen

Dr. Nielsen earned his master's degree at the Department of Mathematical Modelling at the Technical University in Denmark in 1996, and earned a PhD at the same department in 1999. He contributed to a set of lecture notes for a course in financial engineering that constitutes early versions of this manuscript while earning his PhD degree. He is currently employed as a principal architect at Netcompany (a Danish IT and Business Consulting firm).