Professor of finance

Dr.oecon, Norwegian School of Economics and Business Administration (NHH), 2003, Cand.merc, NHH, 1999, Siviløkonom, Bodø Graduate School, 1995, Høgskolekandidat, Trondheim Business School, 1993

Contact information:

E-mail: snorre.lindset@hist.no

Phone: +47 73 55 99 78

Fax: +47 73 55 99 51

Address: Hist avdeling TOH, 7004 Trondheim, Norway

Research and Teaching:

Finance, Financial Engineering, Insurance, Risk Management, Asset Pricing, Monte Carlo Simulation

Other positions:

Associate Professor Trondheim Business School (01.2006-09.2008), Adjunct Associate Professor Norwegian University of Science and Technology (01.2006-01.2009), Post.doc Norwegian University of Science and Technology (01.2003-01.2006), Senior Auditor Oil Taxation Office (07.1996-08.1997)

Visiting positions:

• Visiting Scholar at the Bendheim Center for Finance and the Department of Economics, Princeton University (01.2008-06.2008)
• Visiting Scholar at the Insurance and Risk Management Department at the Wharton School, University of Pennsylvania (01.2005-01.2006)
• Visiting Scholar at the University of Bonn (01.2004-04.2004)
• Visiting Research Scholar at the Department of Finance, University of Illinois at Urbana-Champaign (08.2001-07.2002)

Working papers:

• Credit spreads and incomplete information (with Arne-Christian Lund and Svein-Arne Persson)

• What is the economic value of backdating executive stock options? (with Hans Marius Eikseth)

• Pricing barrier options when analytical pricing formulas are unavailable

Publications:

1. "Human Capital Investment and Optimal Portfolio Choice", Accepted for publication in The European Journal of Finance (with Egil Matsen).
2. "Continuous Monitoring: Does Credit Risk Vanish?", ASTIN Bulletin (2009), Vol. 39, 2, 577-589 (with Svein-Arne Persson)

3. "Optimal information acquisition for a linear quadratic control problem", European Journal of Operations Research (2009), Vol. 199, 2, 435-441 (with Arne-Christian Lund and Egil Matsen)

4. "A Note on Capital Asset Pricing and Heteregeneous Taxes", Journal of Banking and Finance (2009), Vol. 33, 3, 573-577 (with Hans Marius Eikseth)

5. "Pre-funding of Guaranty Funds in Life Insurance", Asia-Pacific Journal of Risk and Insurance (2008), Vol. 2, 2, 75-83

6. "Instantaneous Caps and Floors on the Short-rate", Journal of Risk (2008), Vol. 10, 3, 3-14

7. "Hedge Fund Return Statistics 1994-2005", Journal of Investing (2008), Spring, 7-21 (with Stein Frydenberg and Sjur Westgaard)

8. "Fast Estimation of American Bond Option Prices", Wilmott Magazine (2007), July, 100-103 (with Arne-Christian Lund)

9. "A Technique for Reducing Discretization Bias from Monte Carlo Simulations: Option Pricing under Stochastic Interest Rates", The European Journal of Finance (2007), Vol. 13, 6, 545-564 (with Arne-Christian Lund)

10. "Optimal Hedging Strategies for Multi-period Guarantees in the Presence of Transaction Costs: A Stochastic Programming Approach" European Journal of Operations Research (2008), Vol. 185, 3, 1680-1689 (with Stein-Erik Fleten)

11. "A Monte Carlo Approach for the American Put under Stochastic Interest Rates" Journal of Economic Dynamics and Control (2007), Vol. 31, 4, 1081-1105 (with Arne-Christian Lund)

12. "Pricing American Exchange Options in a Jump-diffusion Model" The Journal of Futures Markets (2007), Vol. 27, 3, 257-273

13. "A Note on a Barrier Exchange Option: The World's Simplest Option Formula?" Finance Research Letters (2006), Vol. 3, 3, 207-211 (with Svein-Arne Persson)

14. "Pricing of Multi-Period Rate of Return Guarantees: The Monte Carlo Approach", Insurance: Mathematics and Economics (2006), Vol. 39, 1, 135-149 (with Henrik Bakken and Lars H. Olson)

15. "Defined Contribution Based Pension Plans", Annals of Actuarial Science (2006), Vol. 1, 1, 129-164

16. "A Generalization of the Formulas for Options on the Maximum or the Minimum of Several Assets", The European Journal of Finance (2006), Vol. 12, 8, 717-730

17. "Is there a Need for an Industry Standard for Capital Guaranteed Products?", The Journal of Wealth Management (2005), Summer, 63-72 (with Marthe Lie and Arne-Christian Lund

18. "Garantibonus III: Et bankinnskudd med "aksjeavkastning"", Praktisk Økonomi og Finans (2005), No. 1, 101-110 (with Marthe Lie and Arne-Christian Lund)

19. "Valuing the Flexibility of Currency Choice in Multinational Trade with Stochastic Exchange Rates", Journal of Multinational Financial Management (2005), Vol. 15, 2, 137-153

20. "Relative Guarantees", The Geneva Papers on Risk and Insurance Theory (2004), Vol. 29, 2, 187-209

21. "Asset-Liability Management when there are Heterogeneous Guarantee Levels", Beta, Scandinavian Journal of Business Research (2003), Vol. 17, 2, 1-6

22. "Discontinuous Hedging Strategies for Multi-period Guarantees in Life Insurance", Journal of Risk Finance (2003), Vol. 5, 1, 51-63

23. "Pricing of Multi-period Rate of Return Guarantees", Insurance: Mathematics and Economics (2003), Vol. 33, 3, 629-644

Book chapters:

"Strukturerte spareprodukter" Festskrift til Lars Fallan sin 60 årsdag, Universitetsforlaget (2007)

Books:

"Finansiering og Investering - Kort og godt" Universitetsforlaget (2007) (with Morten Helbæk)

Other activities:

I have refereed for the Journal of Banking and Finance, the Journal of International Financial Markets, Institutions & Money, Quantitative Finance, the Journal of Futures Markets, the European Journal of Operations Research, the Journal of Risk and Insurance, the Scandinavian Journal of Management, the Norwegian Research Council, and EFA 2009.