Browsing by Author "Astrup Jensen, Bjarne"
Now showing items 1-8 of 8
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Lyse Hansen, Thomas; Astrup Jensen, Bjarne (København, 2004)[More information][Less information]
Abstract: It is a delicate matter to trade spot products and financial derivatives in energy markets. Op- posite to bond and stock markets, the underlying assets are real products and a significant part of the demand for them represents a real need for the products, which can only be substituted away with some difficulties or, in some cases, only in a prohibitively costly manner. This is particularly true in the spot market, where the demand is almost always met, but where the spot price processes can be quite different from the spot price processes conventionally used in the pricing of derivatives. This pattern of real demand is also the main reason for the existence of the well-known convenience yield in energy markets. URI: http://hdl.handle.net/10398/7185 Files in this item: 1
endeligt_wp__2004_10_.pdf (365.3Kb) -
a review of some portfolio selection criteria of Elton, Gruber and PadbergAstrup Jensen, Bjarne (København, 2001)[More information][Less information]
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Astrup Jensen, Bjarne (København, 2004)[More information][Less information]
Abstract: We describe the background and the basic funding mechanisms for the type of adjustable rate mortgage loans that were introduced in the Danish market in 1996. Each loan is funded separately by tap issuing pass-through mortgage bonds ("strict balance principle"). The novelty is a funding mechanism that uses a roll-over strategy, where long term loans are funded by sequentially issuing short term pass-through bonds, and the first issuer of these loans obtained a patent on the funding principles in 1999. Publicly available descriptions of the principles leave an impression of very complicated numerical algorithms. The algorithms described here show that the essentials can be reduced to a "back of an envelope" complexity. Keywords: Adjustable rate mortgages, balance principle, patent, yield curve riding URI: http://hdl.handle.net/10398/7173 Files in this item: 1
endeligt_wp_2004_11.pdf (244.1Kb) -
Astrup Jensen, Bjarne (København, 1999)[More information][Less information]
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tax neutrality in the discrete time modelAstrup Jensen, Bjarne (København, 2002)[More information][Less information]
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who should compensate who?Astrup Jensen, Bjarne; Sørensen, Carsten (København, 2000)[More information][Less information]
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Udarbejdet for Penge- og PensionspaneletChristiansen, Charlotte; Hasager, Leif; Astrup Jensen, Bjarne (København, 2011)[More information][Less information]
Abstract: Denne rapport er udarbejdet efter anmodning fra Penge- og Pensionspanelet (PPP). Ifølge udvalgets kommissorium har udvalget haft til opgave at udarbejde en rapport indeholdende forslag til anbefalinger om investering i obligationer og obligationsbaserede investeringsforeninger. M algruppen er fastlagt som danske ikke-professionelle investorer, og anbefalingerne forventes at være operationelle og letforst aelige samt veldokumenterede. URI: http://hdl.handle.net/10398/8535 Files in this item: 1
Astrup_Rapport_2011.pdf (390.1Kb) -
Armerin, Frederik; Björk, Tomas; Astrup Jensen, Bjarne (København, 2005)[More information][Less information]
Abstract: We investigate the possibility of an arbitrage free model for the term structure of interest rates where the yield curve only changes through a parallel shift. We consider HJM type forward rate models driven by a multidimensionalWiener process as well as by a general marked point process. Within this general framework we show that there does indeed exist a large variety of nontrivial parallel shift term structure models, and we also describe these in detail. We also show that there exists no nontrivial flat term structure model. The same analysis is repeated for the similar case, where the yield curve only changes through proportional shifts. Key words: bond market, term structure of interest rates, flat term structures. URI: http://hdl.handle.net/10398/7137 Files in this item: 1
Now showing items 1-8 of 8