Details about Tomas Bjork

This author is deceased (2021-01-31).

Access statistics for papers by Tomas Bjork.

Last updated 2025-04-28. Update your information in the RePEc Author Service.

Short-id: pbj1

Working Papers

2010

1. Optimal Investment under Partial Information
   SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (48)
   See also Journal Article Optimal investment under partial information, Mathematical Methods of Operations Research, Springer (2010) View citations (57) (2010)

2005

2. A Note on Wick Products and the Fractional Black-Scholes Model
   SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (48)
   See also Journal Article A note on Wick products and the fractional Black-Scholes model, Finance and Stochastics, Springer (2005) View citations (54) (2005)
3. On finite dimensional realizations for the term structure of futures prices
   SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics
   See also Journal Article ON FINITE DIMENSIONAL REALIZATIONS FOR THE TERM STRUCTURE OF FUTURES PRICES, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2006) View citations (6) (2006)
4. On the Timing Option in a Futures Contract
   SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics
   See also Journal Article ON THE TIMING OPTION IN A FUTURES CONTRACT, Mathematical Finance, Wiley Blackwell (2007) View citations (5) (2007)
5. Term Structure Models with Parallel and Proportional Shifts
   Working Papers, Copenhagen Business School, Department of Finance
   See also Journal Article Term Structure Models with Parallel and Proportional Shifts, Applied Mathematical Finance, Taylor & Francis Journals (2007) View citations (2) (2007)

2004

6. Towards a General Theory of Good Deal Bounds
   SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics
   See also Journal Article Towards a General Theory of Good-Deal Bounds, Review of Finance, European Finance Association (2006) View citations (15) (2006)

2003

7. On the Geometry of Interest Rate Models
   SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (2)

2002

8. A Note on the Pricing of Real Estate Index Linked Swaps
   SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (16)
9. Finite dimensional Markovian realizations for stochastic volatility forward rate models
   SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (3)
10. On the Use of Numeraires in Option pricing
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (16)

2000

11. A Geometric View of Interest Rate Theory
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (6)
12. On the Term Structure of Futures and Forward Prices
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (6)
13. On the construction of finite dimensional realizations for nonlinear forward rate models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (16)
    See also Journal Article On the construction of finite dimensional realizations for nonlinear forward rate models, Finance and Stochastics, Springer (2002) View citations (17) (2002)

1999

14. On the Existence of Finite Dimensional Realizations for Nonlinear Forward Rate Models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (26)
    See also Journal Article On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models, Mathematical Finance, Wiley Blackwell (2001) View citations (44) (2001)

1997

15. Interest Rate Dynamics and Consistent Forward Rate Curves
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (51)
    See also Journal Article Interest Rate Dynamics and Consistent Forward Rate Curves, Mathematical Finance, Wiley Blackwell (1999) View citations (132) (1999)
16. Minimal Realizations of Forward Rates
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (10)

1996

17. Diversified Portfolios in Continuous Time
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics
    See also Journal Article Diversified Portfolios in Continuous Time, Review of Finance, European Finance Association (1998) View citations (3) (1998)
18. Interest Rate Theory - CIME Lectures 1996
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (1)
19. Towards a General Theory of Bond Markets
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (4)
    See also Journal Article Towards a general theory of bond markets (*), Finance and Stochastics, Springer (1997) View citations (14) (1997)

1995

20. Bond markets where prices are driven by a general marked point process
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (2)
21. Parameter Estimation and Reverse Martingales
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics
    See also Journal Article Parameter estimation and reverse martingales, Stochastic Processes and their Applications, Elsevier (1996) View citations (1) (1996)

Journal Articles

2017

1. On time-inconsistent stochastic control in continuous time
   Finance and Stochastics, 2017, 21, (2), 331-360 View citations (109)

2014

2. A theory of Markovian time-inconsistent stochastic control in discrete time
   Finance and Stochastics, 2014, 18, (3), 545-592 View citations (60)
3. MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION
   Mathematical Finance, 2014, 24, (1), 1-24 View citations (100)

2010

4. Optimal investment under partial information
   Mathematical Methods of Operations Research, 2010, 71, (2), 371-399 View citations (57)
   See also Working Paper Optimal Investment under Partial Information, SSE/EFI Working Paper Series in Economics and Finance (2010) View citations (48) (2010)

2007

5. ON THE TIMING OPTION IN A FUTURES CONTRACT
   Mathematical Finance, 2007, 17, (2), 267-283 View citations (5)
   See also Working Paper On the Timing Option in a Futures Contract, SSE/EFI Working Paper Series in Economics and Finance (2005) (2005)
6. Term Structure Models with Parallel and Proportional Shifts
   Applied Mathematical Finance, 2007, 14, (3), 243-260 View citations (2)
   See also Working Paper Term Structure Models with Parallel and Proportional Shifts, Working Papers (2005) (2005)

2006

7. ON FINITE DIMENSIONAL REALIZATIONS FOR THE TERM STRUCTURE OF FUTURES PRICES
   International Journal of Theoretical and Applied Finance (IJTAF), 2006, 09, (03), 281-314 View citations (6)
   See also Working Paper On finite dimensional realizations for the term structure of futures prices, SSE/EFI Working Paper Series in Economics and Finance (2005) (2005)
8. Towards a General Theory of Good-Deal Bounds
   Review of Finance, 2006, 10, (2), 221-260 View citations (15)
   See also Working Paper Towards a General Theory of Good Deal Bounds, SSE/EFI Working Paper Series in Economics and Finance (2004) (2004)

2005

9. A note on Wick products and the fractional Black-Scholes model
   Finance and Stochastics, 2005, 9, (2), 197-209 View citations (54)
   See also Working Paper A Note on Wick Products and the Fractional Black-Scholes Model, SSE/EFI Working Paper Series in Economics and Finance (2005) View citations (48) (2005)

2002

10. On the construction of finite dimensional realizations for nonlinear forward rate models
    Finance and Stochastics, 2002, 6, (3), 303-331 View citations (17)
    See also Working Paper On the construction of finite dimensional realizations for nonlinear forward rate models, SSE/EFI Working Paper Series in Economics and Finance (2000) View citations (16) (2000)

2001

11. On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models
    Mathematical Finance, 2001, 11, (2), 205-243 View citations (44)
    See also Working Paper On the Existence of Finite Dimensional Realizations for Nonlinear Forward Rate Models, SSE/EFI Working Paper Series in Economics and Finance (1999) View citations (26) (1999)

1999

12. Interest Rate Dynamics and Consistent Forward Rate Curves
    Mathematical Finance, 1999, 9, (4), 323-348 View citations (132)
    See also Working Paper Interest Rate Dynamics and Consistent Forward Rate Curves, SSE/EFI Working Paper Series in Economics and Finance (1997) View citations (51) (1997)
13. Minimal realizations of interest rate models
    Finance and Stochastics, 1999, 3, (4), 413-432 View citations (24)

1998

14. Diversified Portfolios in Continuous Time
    Review of Finance, 1998, 1, (3), 361-387 View citations (3)
    See also Working Paper Diversified Portfolios in Continuous Time, SSE/EFI Working Paper Series in Economics and Finance (1996) (1996)
15. Some system theoretic aspects of interest rate theory
    Insurance: Mathematics and Economics, 1998, 22, (1), 17-23 View citations (1)

1997

16. Bond Market Structure in the Presence of Marked Point Processes
    Mathematical Finance, 1997, 7, (2), 211-239 View citations (118)
17. Towards a general theory of bond markets (*)
    Finance and Stochastics, 1997, 1, (2), 141-174 View citations (14)
    See also Working Paper Towards a General Theory of Bond Markets, SSE/EFI Working Paper Series in Economics and Finance (1996) View citations (4) (1996)

1996

18. Parameter estimation and reverse martingales
    Stochastic Processes and their Applications, 1996, 63, (2), 235-263 View citations (1)
    See also Working Paper Parameter Estimation and Reverse Martingales, SSE/EFI Working Paper Series in Economics and Finance (1995) (1995)

1992

19. Adaptive prediction and reverse martingales
    Stochastic Processes and their Applications, 1992, 43, (2), 191-222 View citations (3)

Books

2021

1. Point Processes and Jump Diffusions
   Cambridge Books, Cambridge University Press
2. Time-Inconsistent Control Theory with Finance Applications
   Springer Finance, Springer

2009

3. Arbitrage Theory in Continuous Time
   OUP Catalogue, Oxford University Press View citations (59)

Chapters

2021

1. A Simple Equilibrium Model
   Springer
   Also in Springer (2021)
2. A Time-Inconsistent Equilibrium Model
   Springer
   Also in Springer (2021)
3. Dynamic Programming Theory
   Springer
   Also in Springer (2021)
4. Extensions and Further Results
   Springer
5. Introduction
   Springer
6. Mean-Variance Control
   Springer
7. Mean-Variance Portfolios
   Springer
8. Non-exponential Discounting
   Springer
   Also in Springer (2021)
9. Optimal Consumption and Investment
   Springer
10. Optimal Stopping in Continuous Time
    Springer
11. Optimal Stopping in Discrete Time
    Springer
12. Special Cases and Extensions
    Springer
13. The Continuous-Time Linear Quadratic Regulator
    Springer
14. The Inconsistent Linear Quadratic Regulator
    Springer
15. The Linear Quadratic Regulator
    Springer
16. Time-Inconsistent Control Theory
    Springer
    Also in Springer (2021)
17. Time-Inconsistent Regulator Problems
    Springer
18. Time-Inconsistent Stopping Under Distorted Probabilities
    Springer
19. Time-Inconsistent Stopping in Continuous Time
    Springer
20. Time-Inconsistent Stopping in Discrete Time
    Springer