Curriculum Vitae

Jens Lund

August 2005

Personal information

Name and address: Jens Lund, Akacievej 28, DK-2830 Virum, Denmark.
Phone and e-mail: Ph. home (+45) 38 79 74 78, e-mail home:
Ph. work: (+45) 33 33 55 54, e-mail work:
Mobile (+45) 61 63 04 48
Homepage: http://www.jlund.dk/
Date of birth: July 9, 1970, Copenhagen, Denmark, Danish nationality
Gender and marital status: Male, cohabiting
Languages: Fluent Danish and English, a bit French and German

Positions held

Mar 2000 - Present

Nordea Markets, Copenhagen
Director, Head of Product Development
Analyst (Mar 2000), Senior Analyst (Feb 2002), Chief Analyst (Feb 2005), Head of Product Developement (Feb 2005), Director (Feb 2007)

Heading the group consisting of 6 persons and 2 programmers sitting together with the group. I am also the supervisor for 1 industrial Ph.D. student connected to the group.
Product development is responsible for price and risk modelling of interest rate, credit, inflation, and equity derivatives, as well as hybrids and maintaining an in-house developed scripting language for describing these derivatives.
Work on a scripting/parser language used to describe all Nordea Markets derivatives, from vanilla products to exotic derivatives across all asset classes. The models only know how to price these scripted trades, and all risk etc. is defined by each model for generic script trades. The language also handles back office information and fixings.
Interest rate models: Stochastic volatility model for european options (including CMS structures), BGM/Libor market and Cheyette models for full yield curve models, including stochastic volatility and multifactor versions of the Cheyette model.
Credit models: Monto Carlo and semi-closed form (recusive) implementation of various copula models to describe the correlation smile seen in the CDO market.
All models (including calibration routines, etc.) and the scripting language are implemented in a C++ library with an interface to both Microsoft Excel and the Nordea Markets trading system, Infinity. Scripted trades and models are orthogonal, so any trade and any model might be combined.

Dec 1999 - Jan 2000

The Royal Veterinary and Agricultural University, Copenhagen
Post doc, Department of Mathematics and Physics.

Dec 1996 - Nov 1999

The Royal Veterinary and Agricultural University, Copenhagen
PhD studies in statistics at Department of Mathematics and Physics
Title of thesis: Statistical inference and perfect simulation for point processes observed with noise. Keywords: positions and diameters of trees, determine these from aerial photos, spatial marked point processes, Markov chain Monte Carlo methods, perfect simulation.

Education

Aug 1990 - Nov 1996: University of Copenhagen, Department of Mathematical Statistics
Cand. Scient. in statistics (MSc in statistics), BSc in statistics, and BSc in mathematics. MSc thesis: ``Analysis of the Waiting Time Axis in a Renewal Process and Sampling in a Poisson Process Model for the Lexis Diagram'' (in Danish). Graduate courses: marked point processes on the line, general point processes, survival analysis based on counting processes, stochastic integrals, weak convergence, time series, generalized linear models, longitudinal data, statistical methods in accounting, categorical data, non-parametric statistics, factor analysis, and variance component models. Average above 11.5. The Danish grades are explained in Appendix A and the grades are in Appendix B.
Aug 1989 - Jul 1990: Unibank A/S, full-time employment, head cashier's office for coins.
Aug 1986 - Jun 1989: Albertslund Amtsgymnasium, Copenhagen
Upper secondary school, Mathematics-physics line, average 10.7, grades in Appendix C.

Computer skills

I have a broad knowledge about computers, the Unix/Linux operating system, statistical systems and programming languages. I have used Linux since January 1996. I have in particular worked with the following tools: C, C++, Design Patterns, OOP, Linux, FreeBSD, Python, R, S-plus, SAS, Pascal, Solaris, LaTeX, SQL, Windows NT/XP, MS Office (Word, Excel, Powerpoint, Access), Visual Basic.

Visits to foreign research institutions

Oct 1998 - Dec 1998: Department of Statistics, University of Jyväskylä, Finland.
Feb 1997 - May 1997: Department of Mathematical Statistics, Chalmers University of Technology, Göteborg, Sweden.

In addition shorter stays up to two weeks at the departments of statistics at University of Jyväskylä, Chalmers University of Technology, University of Warwick, and Lancaster University.

Teaching experience

1997 - 1999

During my PhD studies I gained teaching experience from the following activities at The Royal Veterinary and Agricultural University:

Supervised groups on course projects in the intensive three-week course ``Statistical data analysis in practice''.
Tutor at the course ``Experimental statistical design''.
Tutor at the course ``Statistical modelling''.
Statistical consultations for students during their bachelor projects, master projects, and PhD studies.

Sept 1992 - Jun 1993

Tutor at the course ``Stat 0''.

Presentations and conferences

May 22, 2007: Talk ``Quantifying counterparty risk'', ICBI Global Derivatives, Trading and Risk Management, Paris.
Mar 26, 2007: Talk ``Quantifying counterparty risk'', MSRI World Congress on Computational Finance, London.
Mar 7, 2007: Talk ``CDO modelling from a practitioners point of view: What are the real problems?'', Credit Risk Workshop, Aarhus School of Business, Århus.
Nov 24, 2006: Talk ``Pricing of basket credit derivatives like CDOs'' on Financial Training Partner seminar ``CDO's in the Swedish Market'', Stockholm.
Nov 21, 2006: Talk ``Modelling of basket credit derivatives like CDOs'' on Financial Training Partners ``Credit Risk Trading'' course, Copenhagen.
May 30, 2006: Talk ``Modelling of basket credit derivatives like CDOs'' on Financial Training Partners ``Credit Risk Trading'' course, Copenhagen.
May 24, 2006: Talk ``Second and third generation interest rate derivatives'' joint with Morten Svebølle, Danmarks Nationalbank (Central bank of Denmark), Copenhagen.
Apr 6, 2006: Talk ``Pricing of basket credit derivatives like CDOs'' on Financial Training Partner seminar ``CDO'er i det Danske marked'', Copenhagen.
Mar 27, 2006: Talk ``A tour of credit derivatives'' for SimCorp A/S, Copenhagen.
Dec 2, 2005: Talk ``Approaches to credit correlation: compound, base, and beyond'' on Risk Training, Incesive Media, course ``Advanced Correlation modelling and analysis course'', London.
Nov 9, 2005: Talk ``Basket Credit Derivatives'' on Financial Training Partners ``Credit Derivatives'' course, Copenhagen.
Mar 2, 2005: Talk ``Credit Derivatives: From the simple to the more advanced'' in The Danish Society of Financial Analysts.
Nov 1, 2004: ``CDO correlation smile and deltas under different correlations'', talk at Risk Water's Quant Congress USA 2004 conference in New York (Nov 1 & 2, 2004)
1997 - 1999: Gave presentations at approximately 5 workshops and conferences per year.
1993 -: Regular attendance to the ``Two day meetings'' in the Danish Society of Theoretical Statistics and larger conferences on statistics in Europe.

Memberships and miscellaneous

Fall 2002, Spring 2005: Member of external committee to give comments on a new structure of the study in statistics at the University of Copenhagen.
Spring 2002 -: Member of the external examinator group in statistics for the universities in Denmark.
1992 -: The Danish Society of Theoretical Statistics
1995 -: The Danish Mathematical Society

Leisure interests

At present I enjoy dancing salsa, swimming and playing badminton, as well as reading a good book and socializing with my friends. I also have some interest in computers -- Linux/Unix and associated tools in particular. Previously I have been active in various sports and I was a scout for 12 years, part of the time as a leader.

Bibliography

1: Fin Biering-Sørensen, Jens Lund, Ola J. Høydalsmo, Erik M. Darre, Alan Deis, Peter Kryger, and Cecilia Florvall Müller, Risk indicators of disability pension; a 15 year follow-up study, Danish Medical Bulletin -- journal of the health sciences 46 (1999), no. 3, 258-262.
2: Erik M. Darre, Fin Biering-Sørensen, Allan Deis, Ola J. Høydalsmo, Peter Kryger, Jens Lund, Tina Monrad, and Cecilia Florvall Müller, Rygbesvær under aftjening af værnepligt -- betydning for senere rygproblemer. En 12 års followup-undersøgelse, Ugeskrift for Læger 161 (1999), no. 13, 1926-1930.
3: Jens Lund, Statistical inference and perfect simulation for point processes observed with noise, Ph.D. thesis, The Royal Veterinary and Agricultural University, Department of Mathematics and Physics, Copenhagen, December 1999.
4: to3em, Sampling bias in population studies -- how to use the Lexis diagram, Scandinavian Journal of Statistics 27 (2000), no. 4, 589-604.
5: Jens Lund, Antti Penttinen, and Mats Rudemo, Bayesian analysis of spatial point patters from noisy observations, Preprint, Department of Mathematics and Physics, The Royal Veterinary and Agricultural University, 1999.
6: Jens Lund and Mats Rudemo, Models for point processes observed with noise, Biometrika 87 (2000), no. 2, 235-249.
7: Jens Lund and Elke Thönnes, Perfect simulation and inference for point processes given noisy observations, Computational Statistics 19 (2004), no. 2, 317-336.

The Danish grade system

The Danish grade system consist of the grades 00, 03, 5, 6, 7, 8, 9, 10, 11 and 13, with 00 as the lowest grade and 13 as the highest grade. The meaning of the grades are:

13: Is given for the exceptionally independent and excellent performance.
11: Is given for the independent and excellent performance.
10: Is given for the excellent but not particularly independent performance.
9: Is given for the good performance, a little above average.
8: Is given for the average performance.
7: Is given for the mediocre performance, slightly below average.
6: Is given for the just acceptable performance.
5: Is given for the hesitant and not satisfactory performance.
03: Is given for the very hesitant, very insufficient and unsatisfactory performance.
00: Is given for the completely unacceptable performance.

Master's degree grades from University of Copenhagen

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Upper secondary school grades

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Curriculum Vitae

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