Erik Ekström

List of publications

  • Playing with ghosts in a Dynkin game.
    (With Tiziano De Angelis.) pdf
    Submitted (2019).

  • Sealed-bid auctions: a seller's perspective.
    (With Carl Lindberg.) pdf
    Submitted (2019).

  • Bayesian sequential least-squares estimation for the drift of a Wiener process.
    (With Ioannis Karatzas and Juozas Vaicenavicius.) pdf
    To appear in Stochastic Processes and their Applications (2019+).

  • Dynkin games with incomplete and asymmetric information.
    (With Tiziano De Angelis and Kristoffer Glover.) pdf
    Submitted (2018).

  • A renewal theory approach to two-state switching problems.
    (With Marcus Olofsson and Martin Vannestål.) pdf
    To appear in Journal of Applied Probability 57(1), (2020).

  • Optimal stopping of a Brownian bridge with unknown pinning point.
    (With Juozas Vaicenavicius.)
    Stochastic Processes and their Applications 130 (2020), no. 2, 806-823.

  • Monotonicity and robustness in Wiener disorder detection.
    (With Juozas Vaicenavicius.)
    Sequential Analysis. Design Methods and Applications 38(1), (2019), 57-68.

  • Density symmetries for a class of 2-d diffusions with applications to finance.
    (With Konstantinos Dareiotis.)
    Stochastic Processes and their Applications 129(2), (2019), 452-472.

  • American options and incomplete information.
    (With Martin Vannestål.)
    International Journal of Theoretical and Applied Finance 22 (2019) no. 6, 1950035, 14 pp.

  • Sequential testing of a Wiener process with costly observations.
    (With Hannah Dyrssen.)
    Sequential Analysis. Design Methods and Applications 37(1), (2018), 47-58.

  • The dividend problem with a finite horizon.
    (With Tiziano De Angelis.)
    Annals of Applied Probability 27(6), (2017), 3525-3546.

  • Dynkin games with heterogeneous beliefs.
    (With Kristoffer Glover and Marta Leniec.)
    Journal of Applied Probability 54(1), (2017).

  • The inverse first-passage problem and optimal stopping.
    (With Svante Janson.)
    Annals of Applied Probability 26(5), (2016), 3154-3177.

  • Optimal liquidation of an asset under drift uncertainty.
    (With Juozas Vaicenavicius.)
    SIAM Journal on Financial Mathematics 7(1), (2016), 357-381.

  • Momentum liquidation under partial information.
    (With Martin Vannestål.)
    Journal of Applied Probability 53(2) (2016), 341-359.

  • Bayesian sequential testing of the drift of a Brownian motion.
    (With Juozas Vaicenavicius.)
    ESAIM: Probability and Statistics 19 (2015), 626-648.

  • Feynman-Kac theorems for generalized diffusions.
    (With Svante Janson and Johan Tysk.)
    Transactions of the AMS 367 (2015), 8051-8070.

  • Short-time implied volatility in exponential Levy models.
    (With Bing Lu.)
    International Journal of Theoretical and Applied Finance 18(4), (2015).

  • Pricing equations in jump-to-default models.
    (With Hannah Dyrssen and Johan Tysk.)
    International Journal of Theoretical and Applied Finance 17(3), (2014).

  • The optimal dividend problem in the dual model.
    (With Bing Lu.)
    Advances in Applied Probability 46.3 (2014), 746-765.

  • Optimal closing of a momentum trade.
    (With Carl Lindberg.)
    Journal of Applied Probability 50, (2013), 374-387.

  • Boundary behaviour of densities for non-negative diffusions.
    (With Johan Tysk.) (2011) pdf

  • Can time-homogeneous diffusions produce any distribution?
    (With David Hobson, Svante Janson and Johan Tysk.
    Probability Theory and Related Fields 155(3), (2013), 493-520.

  • Dupire's equation for bubbles.
    (With Johan Tysk .)
    International Journal of Theoretical and Applied Finance 15(6) (2012).

  • Comparison of two methods for superreplication.
    (With Johan Tysk .)
    Applied Mathematical Finance 19 (2012), 181-193.

  • Optimal selling of an asset under incomplete information.
    (With Bing Lu.)
    International Journal of Stochastic Analysis vol. 2011, Article ID 543590, (2011).

  • Optimal liquidation of a pairs trade.
    (With Carl Lindberg and Johan Tysk.)
    Advanced Mathematical Methods in Finance, Di Nunno, Oksendal (eds.), 247-255, Springer-Verlag 2011.

  • Recovering a time-homogeneous stock price process from perpetual option prices.
    (With David Hobson.) pdf
    Annals of Applied Probability 21 (2011) 1102-1135.

  • Boundary conditions for the single-factor term structure equation.
    (With Johan Tysk.) pdf
    Annals of Applied Probability 21 (2011) 332-350.

  • Numerical option pricing in the presence of bubbles.
    (With Per Lötstedt, Lina von Sydow and Johan Tysk.)
    Quantitative Finance 11 (2011), 1125-1128.

  • Optimal liquidation of a call spread.
    (With Carl Lindberg, Johan Tysk and Henrik Wanntorp.)
    Journal of Applied Probability 47:2 (2010), 586-593.

  • Optimal stopping of a Brownian bridge.
    (With Henrik Wanntorp.)
    J. Appl. Probab. 46 (2009), 170-180.

  • The Black-Scholes equation in stochastic volatility models.
    (With Johan Tysk.)
    Journal of Mathematical Analysis and Applications 368 (2010), 498-507.

  • Boundary values and finite difference methods for the single factor term structure equation.
    (With Per Lötstedt and Johan Tysk.)
    Appl. Math. Finance 16 (2009), 252-259.

  • Margin call stock loans.
    (With Henrik Wanntorp.) (2008) pdf

  • Bubbles, convexity and the Black-Scholes equation.
    (With Johan Tysk.)
    Ann. Appl. Probab. 19 (2009), 1369-1384.

  • Convexity theory for the term structure equation.
    (With Johan Tysk.)
    Finance Stoch. 12 (2008), 117-147.

  • Optimal stopping games for Markov processes.
    (With Goran Peskir.)
    SIAM J. Control Optim. 47 (2008), 684-702.

  • Convexity preserving jump-diffusion models for option pricing.
    (With Johan Tysk.)
    J. Math. Anal. Appl. 330 (2007), 715-728.

  • Bounds for perpetual American option prices in a jump-diffusion model.
    J. Appl. Probab. 43:3 (2006), 867-873.

  • On the value of optimal stopping games.
    (With Stephane Villeneuve.)
    Ann. Appl. Probab. 16:3 (2006), 1576-1596.

  • Properties of option prices in models with jumps.
    (With Johan Tysk.)
    Math. Finance 17:3 (2007), 381-397.

  • A boundary point lemma for Black-Scholes type equations.
    (With Johan Tysk.)
    Commun. Pure Appl. Anal.5:3 (2006), 505-514.

  • The American put is log-concave in the log-price.
    (With Johan Tysk.)
    J. Math. Anal. Appl. 314:2 (2006), 710-723.

  • Properties of game options.
    Math. Methods Oper. Res.63:2 (2006), 221-238.

  • Convexity of the optimal stopping boundary for the American put option.
    J. Math. Anal. Appl. 299:1 (2004), 147-156.

  • Superreplication of options on several underlying assets.
    (With Svante Janson and Johan Tysk.)
    J. Appl. Probab. 42:1 (2005), 27-38.

  • Options written on stocks with known dividends.
    (With Johan Tysk.)
    Int. J. Theor. Appl. Finance 7:7 (2004). 901-907.

  • Russian options with a finite time horizon.
    J. Appl. Probab. 41:2 (2004), 313-326.

  • Properties of American option prices.
    Stochastic Process. Appl. 114:2 (2004), 265-278.

  • Perpetual American put options in a level-dependent volatility model.
    J. Appl. Probab. 40:3 (2003), 783-789.