3 citations · 6 across the 4 of their papers we have counts for
5 papers
How to detect a salami slicer: a stochastic controller-stopper game with unknown competition
Erik Ekström, Kristoffer Lindensjö, Marcus Olofsson
We consider a stochastic game of control and stopping specified in terms of a process , representing the holdings of Player 1, where is a Brownian motion, is…
Dynkin games with incomplete and asymmetric information
Tiziano De Angelis, Erik Ekström, Kristoffer Glover
We study the value and the optimal strategies for a two-player zero-sum optimal stopping game with incomplete and asymmetric information. In our Bayesian set-up, the drift of the u…
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…
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…
Properties of option prices in models with jumps
Erik Ekström, Johan Tysk
We study convexity and monotonicity properties of option prices in a model with jumps using the fact that these prices satisfy certain parabolic integro-differential equations. Con…