Current preprints and publications by Johan Tysk

13) (with Svante Janson) Volatility time and properties of option prices. Ann. Appl. Probab. 13 (2003), 890-913.  pdf

14) (with Erik Ekström) Options written on stocks with known dividends. Int. J. Theor. Appl. Finance 7 (7) (2004), 901-907 pdf

15) (with Svante Janson) Preservation of convexity of solutions to parabolic equations. J. Diff. Eqs. 206 (2004), 182-226. pdf

16) (with Erik Ekström and Svante Janson) Superreplication of options on several underlying assets J. Appl. Probab. 42 (1) (2005), 27-38. pdf

17) (with Svante Janson) Feynman-Kac formulas for Black-Scholes type operators. Bull. London Math. Soc. 38 (2006), 269-282. pdf

18) (with Erik Ekström) The American put is log-concave in the log-price. J. Math. Anal. Appl. 314 (2) (2006), 710-723. pdf

19) (with Erik Ekström) A boundary point lemma for Black-Scholes type operators. Commun. Pur. Appl. Anal. 5 (3) (2006), 505-514. pdf

20) (with Erik Ekström) Convexity preserving jump diffusion models for option pricing. J. Math. Anal. Appl. 330 (1) (2007), 715-728. pdf

21) (with Per Lötstedt, Jonas Persson and Lina von Sydow) Space-time adaptive finite difference method for European multi-asset options.
Comput. Math. Appl. 53 (8) (2007), 1159-1180. pdf

22) (with Erik Ekström) Properties of option prices in models with jumps. Math. Finance 17 (3) (2007), 381-397.

23) (with Erik Ekström) Convexity theory for the term structure equation. Finance Stoch. 12 (2008), 117-147.

24) (with Erik Ekström and Per Lötstedt) Boundary values and finite difference methods for the single factor term structure equation. Appl. Math. Finance 16 (3) (2009), 253-259.

25) (with Erik Ekström) Bubbles, convexity and the Black-Scholes equation.
Ann. Appl. Probab. 19 (2009), 1369-1384.  pdf

26) (with Erik Ekström, Carl Lindberg and Henrik Wanntorp) Optimal liquidation of a call spread. J. Appl. Probab. 47 (2010), 586-593. pdf

27) (with Erik Ekström) The Black-Scholes equation in stochastic volatility models. J. Math. Anal. Appl. 368 (2010), 498-507.

28) (with Erik Ekström) Boundary conditions for the single-factor term structure equation. Ann. Appl. Probab. 21 (2011), 332-350.  pdf

29) (with Erik Ekström, Per Lötstedt and Lina von Sydow) Numerical option pricing in the presence of bubbles. Quant. Finance. 11 (8)(2011),1125-1128.pdf

30) (with Erik Ekström and Carl Lindberg) Optimal liquidation of a pairs trade. Advanced Mathematical Methods in Finance, Di Nunno,Öksendal (eds.), 247-255, Springer-Verlag 2011.

31) (with Erik Ekström) Comparison of two methods for superreplication. Appl. Math.Finance. 19 (2)(2012), 181-193.   pdf

32) (with Erik Ekström) Dupire's equation for bubbles. Int. J. Theor. Appl. Finance 15 (6) (2012).   pdf

33) (with Erik Ekström, David Hobson and Svante Janson) Can time-homogeneous diffusions produce any distribution? Probab. Theory Relat. Fields 155 (2013), 493-520.   pdf

34) (with Erik Ekström and Svante Janson) Feynman-Kac theorems for generalized diffusions. To appear in the Transactions of the AMS.

35) (with Hannah Dyrssen Erik Ekström) Pricing equations in jump-to-default models. To appear in the International Journal of Theoretical and Applied Finance.

36) (with Erik Ekström) Boundary behaviour of densities for non-negative diffusions.

For a list of all publications see CV .