NNF grant for research into green finance

“To date, there is very little research in Denmark on the risks and challenges posed by green finance from a mathematical finance viewpoint; I am excited to pioneer this field in the Danish research landscape”, says Johannes.

“The NNF Start Package grant will allow me to build the first research group in Denmark that focuses on model uncertainty in green finance”, Johannes explains.

“Climate change and the green transition of society are key challenges for Denmark's economy. As climate risk has traditionally not been disentangled from other sources of risk in the financial system, my model-independent robust approach to pricing and hedging of green financial instruments is ideally suited to provide a modelling framework. This approach combines expert opinions with empirical data via a distributionally robust optimization problem and can be efficiently computed using neural networks and diffusion models.”

“Potential applications of my research outcomes are the quantification, managing and hedging of climate risk in investment portfolios,” says Johannes.

Johannes grew up in Germany, has a Master of Science in Business Mathematics from Ulm University (2016) and a Master of Advanced Studies in Mathematics from the University of Cambridge (2015). He has a PhD in Mathematics from the University of Oxford (2020) with a thesis called “Time-consistent data-driven approach to robust pricing and hedging”. Advisor: Prof. Dr. Jan Oblój.

Johannes worked as an Assistant Professor at the Department of Statistics, Columbia University, USA, until 2023,  and then at the Department of Mathematics, Carnegie Mellon University, USA. He became a visiting associate professor here in Copenhagen on 1 February 2025.