Johan Tysk
Adviser at University Board and Chief Officers; Advisers to the Vice-Chancellor
- Mobile phone:
- +46 70 895 01 07
- E-mail:
- johan.tysk@uu.se
Professor at Department of Mathematics; Academic staff
- Telephone:
- +46 18 471 32 08
- Mobile phone:
- +46 70 895 01 07
- E-mail:
- Johan.Tysk@math.uu.se
- Visiting address:
- Ångströmlaboratoriet, Regementsvägen 10
- Postal address:
- Box 480
751 06 UPPSALA
Download contact information for Johan Tysk at Department of Mathematics; Academic staff
Professor at Department of Mathematics; Probability Theory and Combinatorics
- Telephone:
- +46 18 471 32 08
- Mobile phone:
- +46 70 895 01 07
- E-mail:
- johan.tysk@math.uu.se
- Visiting address:
- Ångströmlaboratoriet, Regementsvägen 10
- Postal address:
- Box 480
751 06 UPPSALA
- CV:
- Download CV
Short presentation
I study parabolic PDE's and stochastic differential equations, often in connection with problems in finance. Previously, I have done research in differential geometry.
Adviser to the Vice-Chancellor on External Relations from July 1, 2023. Vice-rector of the Disciplinary Domain of Science and Technology from July 1, 2014 to June 30, 2023.
Member of the Royal Academy of Arts and Sciences of Uppsala and of the Royal Society of Sciences.

Publications
Recent publications
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Feynman-Kac Theorems for Generalized Diffusions
Part of Transactions of the American Mathematical Society, p. 8051-8070, 2015
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Pricing equations in jump-to-default models
Part of International Journal of Theoretical and Applied Finance, 2014
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Can time-homogeneous diffusions produce any distribution?
Part of Probability theory and related fields, p. 493-520, 2013
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Part of International Journal of Theoretical and Applied Finance, 2012
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Comparison of two methods for superreplication
Part of Applied Mathematical Finance, 2012
All publications
Articles in journal
-
Feynman-Kac Theorems for Generalized Diffusions
Part of Transactions of the American Mathematical Society, p. 8051-8070, 2015
-
Pricing equations in jump-to-default models
Part of International Journal of Theoretical and Applied Finance, 2014
-
Can time-homogeneous diffusions produce any distribution?
Part of Probability theory and related fields, p. 493-520, 2013
-
Part of International Journal of Theoretical and Applied Finance, 2012
-
Comparison of two methods for superreplication
Part of Applied Mathematical Finance, 2012
-
Boundary conditions for the single-factor term structure equation
Part of The Annals of Applied Probability, p. 332-350, 2011
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Numerical option pricing in the presence of bubbles
Part of Quantitative finance (Print), p. 1125-1128, 2011
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The Black-Scholes equation in stochastic volatility models
Part of Journal of Mathematical Analysis and Applications, p. 498-507, 2010
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Optimal liquidation of a call spread
Part of Journal of Applied Probability, p. 586-593, 2010
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Bubbles, convexity and the Black-Scholes equation
Part of The Annals of Applied Probability, p. 1369-1384, 2009
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Boundary values and finite difference methods for the single factor term structure equation
Part of Applied Mathematical Finance, p. 253-259, 2009
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Convexity theory for the term structure equation
Part of Finance and Stochastics, p. 117-147, 2008
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Space-time adaptive finite difference method for European multi-asset options
Part of Computers and Mathematics with Applications, p. 1159-1180, 2007
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Properties of option prices in models with jumps
Part of Mathematical Finance, p. 381-397, 2007
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Convexity preserving jump-diffusion models for option pricing
Part of Journal of Mathematical Analysis and Applications, p. 715-728, 2007
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The American put is log-concave in the log-price
Part of J. Math. Anal. Appl., p. 710-723, 2006
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A boundary point lemma for Black-Scholes type operators
Part of Commun Pur Appl. Anal, 2006
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Feynman-Kac formulas for Black-Scholes type operators
Part of Bull. London Math. Soc., p. 269-282, 2006
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Superreplication of options on several underlying assets
Part of Journal of Applied Probability, p. 27-38, 2005
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Options written on stocks with known dividends
Part of Int. J. Theor. Appl. Finance, p. 901-907, 2004
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Preservation of convexity of solutions to parabolic equations
Part of J. Diff. Eqs. 206 (2004), 182-226., p. 182-226, 2004
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Upper bounds for the Poincaré metric near a fractal boundary
Part of Trends Math.: Progress in Inverse Spectral Geometry, p. 51-62, 1997
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Schrödinger operators and index bounds for minimal submanifolds
Part of Rocky Mountain Journal of Mathematics, p. 977-996, 1994
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Behavior of the Poincaré metric near a fractal boundary
Part of Complex variables, p. 257-267, 1993
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Eigenvalue estimates and isoperimetric inequalities for cone-manifolds
Part of Bull. Australian Math. Soc., p. 127-144, 1993
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Eigenvalue problems for manifolds with singularities
Part of Proc. Symposia in Pure Math., p. 637-677, 1993
Chapters in book
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Optimal liquidation of a pairs trade
Part of Advanced Mathematical Methods in Finance, Springer-Verlag New York, 2011