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Bjarne Astrup Jensen

professor with special responsibilities , Research Professor, M.Sc. (Mathematics and economics)
Bjarne Astrup Jensen

Department of Finance

Solbjerg Plads 3, A5
2000 Frederiksberg
Denmark

Tel.: +45 3815 3614
Fax:+45 3815 3600
E-mail: ba.fi@cbs.dk



Link to this homepage: uk.cbs.dk/staff/bjarne_astrup


Primary research areas

  • Mathematical finance
  • Fixed income securities
  • Taxation and asset pricing
  • Energy markets and financial contracts

Administrative functions

Course Koordinator for the MSc program in Business Administration & Management Science


Selected publications

"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?” (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.



Last updated by Betina Thestrup 22/10/2009