39 citations · 73 across the 8 of their papers we have counts for
8 papers
Feynman-Kac theorems for generalized diffusions
Erik Ekström, Svante Janson, Johan Tysk
We find Feynman-Kac type representation theorems for generalized diffusions. To do this we need to establish existence, uniqueness and regularity results for equations with measure…
Can time-homogeneous diffusions produce any distribution?
Erik Ekström, David Hobson, Svante Janson +1
Given a centred distribution, can one find a time-homogeneous martingale diffusion starting at zero which has the given law at time 1? We answer the question affirmatively if gener…
Boundary conditions for the single-factor term structure equation
Erik Ekström, Johan Tysk
We study the term structure equation for single-factor models that predict nonnegative short rates. In particular, we show that the price of a bond or a bond option is the unique c…
Bubbles, convexity and the Black--Scholes equation
Erik Ekström, Johan Tysk
A bubble is characterized by the presence of an underlying asset whose discounted price process is a strict local martingale under the pricing measure. In such markets, many standa…
Convexity theory for the term structure equation
Erik Ekstrom, Johan Tysk
We study convexity and monotonicity properties for prices of bonds and bond options when the short rate is modeled by a diffusion process. We provide conditions under which convexi…
Convexity preserving jump-diffusion models for option pricing
Erik Ekström, Johan Tysk
We investigate which jump-diffusion models are convexity preserving. The study of convexity preserving models is motivated by monotonicity results for such models in the volatility…