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
- 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
- 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)
- 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)
- 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)
- 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
- 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
- On the Geometry of Interest Rate Models
SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (2)
2002
- 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)
- 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)
- 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
- A Geometric View of Interest Rate Theory
SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (6)
- 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)
- 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
- 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
- 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)
- Minimal Realizations of Forward Rates
SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (10)
1996
- 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)
- Interest Rate Theory - CIME Lectures 1996
SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (1)
- 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
- 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)
- 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
- On time-inconsistent stochastic control in continuous time
Finance and Stochastics, 2017, 21, (2), 331-360 View citations (79)
2014
- A theory of Markovian time-inconsistent stochastic control in discrete time
Finance and Stochastics, 2014, 18, (3), 545-592 View citations (45)
- MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION
Mathematical Finance, 2014, 24, (1), 1-24 View citations (71)
2010
- Optimal investment under partial information
Mathematical Methods of Operations Research, 2010, 71, (2), 371-399 View citations (52)
See also Working Paper (2010)
2007
- ON THE TIMING OPTION IN A FUTURES CONTRACT
Mathematical Finance, 2007, 17, (2), 267-283 View citations (4)
See also Working Paper (2005)
- Term Structure Models with Parallel and Proportional Shifts
Applied Mathematical Finance, 2007, 14, (3), 243-260 
See also Working Paper (2005)
2006
- 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)
- 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
- 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
- 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
- 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
- Interest Rate Dynamics and Consistent Forward Rate Curves
Mathematical Finance, 1999, 9, (4), 323-348 View citations (120)
See also Working Paper (1997)
- Minimal realizations of interest rate models
Finance and Stochastics, 1999, 3, (4), 413-432 View citations (21)
1998
- Diversified Portfolios in Continuous Time
Review of Finance, 1998, 1, (3), 361-387 View citations (3)
See also Working Paper (1996)
- Some system theoretic aspects of interest rate theory
Insurance: Mathematics and Economics, 1998, 22, (1), 17-23
1997
- Bond Market Structure in the Presence of Marked Point Processes
Mathematical Finance, 1997, 7, (2), 211-239 View citations (113)
- Towards a general theory of bond markets (*)
Finance and Stochastics, 1997, 1, (2), 141-174 View citations (14)
See also Working Paper (1996)
1996
- Parameter estimation and reverse martingales
Stochastic Processes and their Applications, 1996, 63, (2), 235-263 
See also Working Paper (1995)
1992
- Adaptive prediction and reverse martingales
Stochastic Processes and their Applications, 1992, 43, (2), 191-222 View citations (2)
Books
2009
- Arbitrage Theory in Continuous Time
OUP Catalogue, Oxford University Press View citations (52)
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