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  • 1.
    De Ridder, Adri
    Gotland University, Department of Business Administration.
    Share Repurchases and Firm Behavior2009In: International Journal of Theoretical and Applied Finance, ISSN 0219-0249, Vol. 12, no 5, p. 605-631Article in journal (Refereed)
    Abstract [en]

    Share repurchases have become an increasingly popular method for companies to distribute cash to its shareholders as many countries have removed restrictions related to this activity. By using a new and unique data set with complete information of each repurchase program, the long-run share price performance following actual share repurchases and whether managers trade strategically are examined for a sample of Swedish firms. I find that the announcement effect surrounding the first repurchase date is small but that repurchasing firms on average outperform several benchmarks during the first three years and thereby exhibit superior information of the stock price. Evidence of strategic trading is documented in small market cap firms. Finally, I document that Swedish firms repurchase more in the first half compared to the second half of the program and also that a higher completion rate is associated with high abnormal return.

  • 2.
    Dyrssen, Hannah
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Applied Mathematics and Statistics.
    Ekström, Erik
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Applied Mathematics and Statistics.
    Tysk, Johan
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics.
    Pricing equations in jump-to-default models2014In: International Journal of Theoretical and Applied Finance, ISSN 0219-0249Article in journal (Refereed)
    Abstract [en]

    We study pricing equations in jump-to-default models, and we provide conditions under which the option price is the unique classical solution, with a special focus on boundary conditions. In particular, we find precise conditions ensuring that the option price at the default boundary coincides with the recovery payment. We also study spatial convexity of the option price, and we explore the connection between preservation of convexity and parameter monotonicity.

  • 3.
    Ekström, Erik
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics.
    American Options And Incomplete Information2019In: International Journal of Theoretical and Applied Finance, ISSN 0219-0249, Vol. 22, no 6, article id 1950035Article in journal (Refereed)
    Abstract [en]

    We study the optimal exercise of American options under incomplete information about the drift of the underlying process, and we show that quite unexpected phenomena may occur. In fact, certain parameter values give rise to stopping regions very different from the standard case of complete information. For example, we show that for the American put (call) option it is sometimes optimal to exercise the option when the underlying process reaches an upper (lower) boundary.

  • 4.
    Ekström, Erik
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics.
    Lu, Bing
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics.
    Short-time implied volatility in exponential Lévy models2015In: International Journal of Theoretical and Applied Finance, ISSN 0219-0249, Vol. 18, no 4, article id 1550025Article in journal (Other academic)
    Abstract [en]

    We show that a necessary and sufficient condition for the explosion of implied volatility near expiry in exponential Levy models is the existence of jumps towards the strike price in the underlying process. When such jumps do not exist, the implied volatility converges to the volatility of the Gaussian component of the underlying Levy process as the time to maturity tends to zero.Those results are proved by comparing  the short-time asymptotics of the Black-Scholes price to the explicit formulas for upper or lower bounds of option prices in exponential Levy models.

  • 5.
    Ekström, Erik
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Applied Mathematics and Statistics.
    Tysk, Johan
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics.
    Dupire's equation for bubbles2012In: International Journal of Theoretical and Applied Finance, ISSN 0219-0249Article in journal (Refereed)
  • 6.
    Eriksson, Jonatan
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics.
    Monotonicity in the volatility of single-barrier option prices2006In: International Journal of Theoretical and Applied Finance, ISSN 0219-0249, Vol. 9, no 6, p. 987-996Article in journal (Refereed)
    Abstract [en]

    We generalize earlier results on barrier options for puts and calls and log-normal stock processes to general local volatility models and convex contracts. We show that Γ ≥ 0, that Δ has a unique sign and that the option price is increasing with the volatility for convex contracts in the following cases:

    If the risk-free rate of return dominates the dividend rate, then it holds for up-and-out options if the contract function is zero at the barrier and for down-and-in options in general.

    If the risk-free rate of return is dominated by the dividend rate, then it holds for down-and-out options if the contract function is zero at the barrier and for up-and-in options in general.

    We apply our results to show that a hedger who misspecifies the volatility using a time-and-level dependent volatility will super-replicate any claim satisfying the above conditions if the misspecified volatility dominates the true (possibly stochastic) volatility almost surely.

  • 7.
    Hambly, Ben
    et al.
    Radcliffe Observ Quarter, Math Inst, Oxford OX2 6GG, England..
    Vaicenavicius, Juozas
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics.
    The 3/2 Model As A Stochastic Volatility Approximation For A Large-Basket Price-Weighted Index2015In: International Journal of Theoretical and Applied Finance, ISSN 0219-0249, Vol. 18, no 6, article id 1550041Article in journal (Refereed)
    Abstract [en]

    We derive large-basket approximations of a price-weighted index whose component prices follow a single sector jump-diffusion model. As the basket size approaches infinity, a suitable average converges to a Black-Scholes model driven by the common factor process. We extend this by considering the behavior of the residual idiosyncratic noise and show that a version of the 3/2 model emerges as a natural stochastic volatility model approximation. This provides a theoretical justification for its use as a model for jointly pricing index and volatility derivatives.

  • 8. Itkin, Andrey
    et al.
    Shcherbakov, Victor
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Veygman, Alexander
    New model for pricing quanto credit default swaps2019In: International Journal of Theoretical and Applied Finance, ISSN 0219-0249, Vol. 22, no 3, article id 1950003Article in journal (Refereed)
  • 9.
    Janson, Svante
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Analysis and Applied Mathematics.
    M'Baye, Sokhna
    Protter, Philip
    Absolutely continuous compensators2011In: International Journal of Theoretical and Applied Finance, ISSN 0219-0249, Vol. 14, p. 335-351Article in journal (Refereed)
  • 10.
    Nyström, Kaj
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Analysis and Applied Mathematics.
    Ould Aly, Sidi Mohamed
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Analysis and Applied Mathematics.
    Zhang, Changyong
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Analysis and Applied Mathematics.
    Market Making and Portfolio Liquidation under Uncertainty2014In: International Journal of Theoretical and Applied Finance, ISSN 0219-0249, Vol. 17, no 5, article id 1450034Article in journal (Refereed)
    Abstract [en]

    Market making and optimal portfolio liquidation in the context of electronic limit order books are of considerably practical importance for high-frequency (HF) market makers as well as more traditional brokerage firms supplying optimal execution services for clients. In general the two problems are based on probabilistic models defined on certain reference probability spaces. However, in periods of extreme market turmoil, ambiguity concerning the correct underlying probability measure may appear and an assessment of model risk, as well as the uncertainty on the choice of the model itself, becomes important, as for a market maker or a trader attempting to liquidate large positions, the uncertainty may result in unexpected consequences due to severe mispricing. This paper focuses on the market making and the optimal liquidation problems using limit orders, accounting for model risk or uncertainty. Both are formulated as stochastic optimal control problems, with the controls being the spreads, relative to a reference price, at which orders are placed. The models consider uncertainty in both the drift and volatility of the underlying reference price, for the study of the effect of the uncertainty on the behavior of the market maker, accounting also for inventory restriction, as well as on the optimal liquidation using limit orders.

  • 11. Ould Aly, Sidi Mohamed
    Monotonicity of prices in Heston model2013In: International Journal of Theoretical and Applied Finance, ISSN 0219-0249, Vol. 16, p. 1350016-Article in journal (Refereed)
    Abstract [en]

    In this article, we study the price monotonicity in the parameters of the Heston model for a contract with a convex pay-off function; in particular we consider European put options. We show that the price is increasing in the constant term in the drift of the variance process and decreasing in the coefficient of the linear term in the drift of variance process. We also show that the price is increasing in the correlation for small values of the stock and decreasing for the large values.

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