Details about Tomas Bjork

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

Access statistics for papers by Tomas Bjork.

Last updated 2023-03-10. 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 in Mathematical Methods of Operations Research (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 (44)
   See also Journal Article in Finance and Stochastics (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 in International Journal of Theoretical and Applied Finance (IJTAF) (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 in Mathematical Finance (2007)
5. Term Structure Models with Parallel and Proportional Shifts
   Working Papers, Copenhagen Business School, Department of Finance
   See also Journal Article in Applied Mathematical Finance (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 in Review of Finance (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 (14)

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 in Finance and Stochastics (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 in Mathematical Finance (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 in Mathematical Finance (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 in Review of Finance (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 in Finance and Stochastics (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 (3)
21. Parameter Estimation and Reverse Martingales
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics
    See also Journal Article in Stochastic Processes and their Applications (1996)

Journal Articles

2017

1. On time-inconsistent stochastic control in continuous time
   Finance and Stochastics, 2017, 21, (2), 331-360 View citations (79)

2014

2. A theory of Markovian time-inconsistent stochastic control in discrete time
   Finance and Stochastics, 2014, 18, (3), 545-592 View citations (45)
3. MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION
   Mathematical Finance, 2014, 24, (1), 1-24 View citations (71)

2010

4. Optimal investment under partial information
   Mathematical Methods of Operations Research, 2010, 71, (2), 371-399 View citations (52)
   See also Working Paper (2010)

2007

5. ON THE TIMING OPTION IN A FUTURES CONTRACT
   Mathematical Finance, 2007, 17, (2), 267-283 View citations (4)
   See also Working Paper (2005)
6. Term Structure Models with Parallel and Proportional Shifts
   Applied Mathematical Finance, 2007, 14, (3), 243-260
   See also Working Paper (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 (3)
   See also Working Paper (2005)
8. Towards a General Theory of Good-Deal Bounds
   Review of Finance, 2006, 10, (2), 221-260 View citations (14)
   See also Working Paper (2004)

2005

9. A note on Wick products and the fractional Black-Scholes model
   Finance and Stochastics, 2005, 9, (2), 197-209 View citations (46)
   See also Working Paper (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 (16)
    See also Working Paper (2000)

2001

11. On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models
    Mathematical Finance, 2001, 11, (2), 205-243 View citations (40)
    See also Working Paper (1999)

1999

12. Interest Rate Dynamics and Consistent Forward Rate Curves
    Mathematical Finance, 1999, 9, (4), 323-348 View citations (120)
    See also Working Paper (1997)
13. Minimal realizations of interest rate models
    Finance and Stochastics, 1999, 3, (4), 413-432 View citations (21)

1998

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

1997

16. Bond Market Structure in the Presence of Marked Point Processes
    Mathematical Finance, 1997, 7, (2), 211-239 View citations (113)
17. Towards a general theory of bond markets (*)
    Finance and Stochastics, 1997, 1, (2), 141-174 View citations (14)
    See also Working Paper (1996)

1996

18. Parameter estimation and reverse martingales
    Stochastic Processes and their Applications, 1996, 63, (2), 235-263
    See also Working Paper (1995)

1992

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

Books

2009

1. Arbitrage Theory in Continuous Time
   OUP Catalogue, Oxford University Press View citations (52)