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Bjarne Astrup Jensen

Professor med særlige opgaver (mso)
Bjarne Astrup Jensen

Institut for Finansiering

Solbjerg Plads 3, A5
2000 Frederiksberg
Tlf.: +45 3815 3614
Fax:+45 3815 3600
E-mail: ba.fi@cbs.dk



Link til denne hjemmeside: www.cbs.dk/staff/bjarne_astrup


Primære forskningsområder

  • Matematisk Finansiering
  • Rentestrukturteori
  • Generel obligationsmarkedsteori
  • Skatteforhold og asset pricing
  • Energimarkeder og finansielle kontrakter

Administrative funktioner

Koordinator for erhvervsøkonomi-matematik studiet


Udvalgte publikationer

"Option pricing bounds and the pricing of bond options." (Joint with Jørgen Aase Nielsen). Journal of Business Finance and Accounting, 1996.

Pricing by “No Arbitrage”. Invited lectures for ``Oxford 1994 Seminaire Europeen de Statistique: Likelihood, Time Series, with Econometric and Other Applications''. (Joint with Jørgen Aase Nielsen). In Cox, Hinkley\& Barndorff-Nielsen(eds.): Time Series Models. In econometrics, finance and other fields', Monographs on Statistics and Applied Probability, vol. 65. Chapman&Hall, 1996.

Rentesregning. Jurist- og Økonomforbundets Forlag, Copenhagen. 1st edition 1996, 4th edition 2005.

"The structure of binomial lattice models for bonds". (With Jørgen Aase Nielsen). Statistics and Control of Random Processes, vol. 5, no. 2, 1998.

”Paying for Minimum Interest Rate Guarantees: Who should compensate who?” (Joint with Carsten Sørensen). In European Financial Management, 2001.

"Term structure models with parallel and proportional shifts.” (With F. Armerin and T. Björk). Applied Mathematical Finance, vol. 14, no. 3, July 2007.

 “Valuation before and after tax in the discrete time., finite state no arbitrage model.” Annals of Finance, vol. 5, January 2009.


Sidst opdateret af Betina Thestrup 25.10.2011