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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


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Working Papers

2010

  1. Optimal Investment under Partial Information
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (48)
    See also Journal Article Optimal investment under partial information, Mathematical Methods of Operations Research, Springer (2010) Downloads View citations (55) (2010)

2005

  1. A Note on Wick Products and the Fractional Black-Scholes Model
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (47)
    See also Journal Article A note on Wick products and the fractional Black-Scholes model, Finance and Stochastics, Springer (2005) Downloads View citations (52) (2005)
  2. On finite dimensional realizations for the term structure of futures prices
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads
    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) Downloads View citations (6) (2006)
  3. On the Timing Option in a Futures Contract
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads
    See also Journal Article ON THE TIMING OPTION IN A FUTURES CONTRACT, Mathematical Finance, Wiley Blackwell (2007) Downloads View citations (5) (2007)
  4. Term Structure Models with Parallel and Proportional Shifts
    Working Papers, Copenhagen Business School, Department of Finance Downloads
    See also Journal Article Term Structure Models with Parallel and Proportional Shifts, Applied Mathematical Finance, Taylor & Francis Journals (2007) Downloads View citations (1) (2007)

2004

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

2003

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

2002

  1. A Note on the Pricing of Real Estate Index Linked Swaps
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (16)
  2. Finite dimensional Markovian realizations for stochastic volatility forward rate models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (3)
  3. On the Use of Numeraires in Option pricing
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (15)

2000

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

1999

  1. 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 Downloads View citations (26)
    See also Journal Article On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models, Mathematical Finance, Wiley Blackwell (2001) Downloads View citations (43) (2001)

1997

  1. Interest Rate Dynamics and Consistent Forward Rate Curves
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (51)
    See also Journal Article Interest Rate Dynamics and Consistent Forward Rate Curves, Mathematical Finance, Wiley Blackwell (1999) Downloads View citations (128) (1999)
  2. Minimal Realizations of Forward Rates
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (10)

1996

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

1995

  1. 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 Downloads View citations (3)
  2. Parameter Estimation and Reverse Martingales
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads
    See also Journal Article Parameter estimation and reverse martingales, Stochastic Processes and their Applications, Elsevier (1996) Downloads View citations (1) (1996)

Journal Articles

2017

  1. On time-inconsistent stochastic control in continuous time
    Finance and Stochastics, 2017, 21, (2), 331-360 Downloads View citations (92)

2014

  1. A theory of Markovian time-inconsistent stochastic control in discrete time
    Finance and Stochastics, 2014, 18, (3), 545-592 Downloads View citations (55)
  2. MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION
    Mathematical Finance, 2014, 24, (1), 1-24 Downloads View citations (85)

2010

  1. Optimal investment under partial information
    Mathematical Methods of Operations Research, 2010, 71, (2), 371-399 Downloads View citations (55)
    See also Working Paper Optimal Investment under Partial Information, SSE/EFI Working Paper Series in Economics and Finance (2010) Downloads View citations (48) (2010)

2007

  1. ON THE TIMING OPTION IN A FUTURES CONTRACT
    Mathematical Finance, 2007, 17, (2), 267-283 Downloads 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) Downloads (2005)
  2. Term Structure Models with Parallel and Proportional Shifts
    Applied Mathematical Finance, 2007, 14, (3), 243-260 Downloads View citations (1)
    See also Working Paper Term Structure Models with Parallel and Proportional Shifts, Working Papers (2005) Downloads (2005)

2006

  1. ON FINITE DIMENSIONAL REALIZATIONS FOR THE TERM STRUCTURE OF FUTURES PRICES
    International Journal of Theoretical and Applied Finance (IJTAF), 2006, 09, (03), 281-314 Downloads 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) Downloads (2005)
  2. Towards a General Theory of Good-Deal Bounds
    Review of Finance, 2006, 10, (2), 221-260 Downloads 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) Downloads (2004)

2005

  1. A note on Wick products and the fractional Black-Scholes model
    Finance and Stochastics, 2005, 9, (2), 197-209 Downloads View citations (52)
    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) Downloads View citations (47) (2005)

2002

  1. On the construction of finite dimensional realizations for nonlinear forward rate models
    Finance and Stochastics, 2002, 6, (3), 303-331 Downloads 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) Downloads View citations (16) (2000)

2001

  1. On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models
    Mathematical Finance, 2001, 11, (2), 205-243 Downloads View citations (43)
    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) Downloads View citations (26) (1999)

1999

  1. Interest Rate Dynamics and Consistent Forward Rate Curves
    Mathematical Finance, 1999, 9, (4), 323-348 Downloads View citations (128)
    See also Working Paper Interest Rate Dynamics and Consistent Forward Rate Curves, SSE/EFI Working Paper Series in Economics and Finance (1997) Downloads View citations (51) (1997)
  2. Minimal realizations of interest rate models
    Finance and Stochastics, 1999, 3, (4), 413-432 Downloads View citations (24)

1998

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

1997

  1. Bond Market Structure in the Presence of Marked Point Processes
    Mathematical Finance, 1997, 7, (2), 211-239 Downloads View citations (115)
  2. Towards a general theory of bond markets (*)
    Finance and Stochastics, 1997, 1, (2), 141-174 Downloads View citations (14)
    See also Working Paper Towards a General Theory of Bond Markets, SSE/EFI Working Paper Series in Economics and Finance (1996) Downloads View citations (4) (1996)

1996

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

1992

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

Books

2021

  1. Point Processes and Jump Diffusions
    Cambridge Books, Cambridge University Press

2009

  1. Arbitrage Theory in Continuous Time
    OUP Catalogue, Oxford University Press View citations (56)
 
Page updated 2024-07-14