Tomas Bjork

Stockholm School of Economics - Swedish House of Finance

Drottninggatan 98

111 60 Stockholm

Sweden

SCHOLARLY PAPERS

14

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CITATIONS
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58

Scholarly Papers (14)

1.

A General Theory of Markovian Time Inconsistent Stochastic Control Problems

Number of pages: 55 Posted: 20 Oct 2010
Tomas Bjork and Agatha Murgoci
Stockholm School of Economics - Swedish House of Finance and Aarhus University - School of Business and Social Sciences
Downloads 961 (22,008)
Citation 3

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Time consistency, time inconsistent control, dynamic programming, time inconsistency, stochastic control, hyperbolic discounting, meanvariance, Bellman equation, Hamilton-Jacobi-Bellman

2.
Downloads 847 ( 26,390)
Citation 8

On the Use of Numeraires in Option Pricing

Number of pages: 25 Posted: 20 Jan 2002
Tomas Bjork, Simon Benninga and Zvi Wiener
Stockholm School of Economics - Swedish House of Finance, Tel Aviv University - Faculty of Management and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 847 (25,972)
Citation 8

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Options, Numeraire, Convertible Bonds, Employee Stock Options, Currency Options

On the Use of Numeraires in Option Pricing

Journal of Derivatives, December 2002
Posted: 20 Jan 2003
Simon Benninga, Tomas Bjork and Zvi Wiener
Tel Aviv University - Faculty of Management, Stockholm School of Economics - Swedish House of Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration

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options, numeraire

3.

Towards a General Theory of Good Deal Bounds

EFA 2005 Moscow Meetings Paper
Number of pages: 34 Posted: 27 Feb 2005
Tomas Bjork and Irina Slinko
Stockholm School of Economics - Swedish House of Finance and Swedbank, Group Risk Control
Downloads 273 (107,521)
Citation 11

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Incomplete markets, good deal bounds, derivatives pricing

4.

Interest Rate Theory and Geometry

Portugaliae Mathematica, Vol. 67, No. 3, pp. 321-367, 2010
Number of pages: 43 Posted: 10 Dec 2010
Tomas Bjork and Raquel M. Gaspar
Stockholm School of Economics - Swedish House of Finance and ISEG and Cemapre, Universidade de Lisboa
Downloads 246 (119,766)
Citation 3

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Interest Rate Models, Arbitrage Theory, Stochastic Processes, Martingales,PDEs, ODEs, Manifolds, Potentials, Finite Dimensional Realizations

5.

A Theory of Markovian Time Inconsistent Stochastic Control in Continuous Time

Number of pages: 44 Posted: 04 Feb 2016
Tomas Bjork, Mariana Khapko and Agatha Murgoci
Stockholm School of Economics - Swedish House of Finance, University of Toronto - Finance Area and Aarhus University - School of Business and Social Sciences
Downloads 158 (180,635)

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Time consistency, time inconsistency, time inconsistent control, dynamic programming, stochastic control, Bellman equation, hyperbolic discounting, mean-variance, equilibrium

6.

On Time Inconsistent Stochastic Control in Continuous Time

Finance and Stochastics, Forthcoming
Number of pages: 32 Posted: 27 Dec 2016
Tomas Bjork, Mariana Khapko and Agatha Murgoci
Stockholm School of Economics - Swedish House of Finance, University of Toronto - Finance Area and Aarhus University - School of Business and Social Sciences
Downloads 74 (308,408)

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Time consistency, time inconsistency, time inconsistent control, dynamic programming

7.

Time Inconsistent Stochastic Control in Continuous Time: Theory and Examples

Finance Stochastics, Forthcoming, Rotman School of Management Working Paper No. 2887328
Number of pages: 58 Posted: 19 Dec 2016 Last Revised: 16 Mar 2019
Tomas Bjork, Mariana Khapko and Agatha Murgoci
Stockholm School of Economics - Swedish House of Finance, University of Toronto - Finance Area and Aarhus University - School of Business and Social Sciences
Downloads 73 (310,791)

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Time Consistency, Time Inconsistency, Time Inconsistent Control, Dynamic Programming, Equilibrium

8.

Interest Rate Dynamics and Consistent Forward Rate Curves

Mathematical Finance, Vol. 9, pp. 323-348, October 1999
Number of pages: 26 Posted: 03 Jun 2004
Tomas Bjork and Bent Jesper Christensen
Stockholm School of Economics - Swedish House of Finance and Aarhus University
Downloads 32 (442,191)
Citation 31
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9.

On the Timing Option in a Futures Contract

Mathematical Finance, Vol. 17, No. 2, pp. 267-283, April 2007
Number of pages: 17 Posted: 19 Mar 2007
Francesca Biagini and Tomas Bjork
University of Bologna - Department of Mathematics and Stockholm School of Economics - Swedish House of Finance
Downloads 13 (543,082)
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10.

Mean–Variance Portfolio Optimization with State‐Dependent Risk Aversion

Mathematical Finance, Vol. 24, Issue 1, pp. 1-24, 2014
Number of pages: 24 Posted: 13 Dec 2013
Tomas Bjork, Agatha Murgoci and Xun Yu Zhou
Stockholm School of Economics - Swedish House of Finance, Aarhus University - School of Business and Social Sciences and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 0 (640,195)
Citation 2
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mean–variance, time inconsistency, time‐inconsistent control, dynamic programming, stochastic control, Hamilton–Jacobi–Bellman equation

11.

Minimal Realizations of Interest Rate Models

Finance and Stochastics, Vol. 3, Iss. 4, August 1999
Posted: 21 Sep 1999
Tomas Bjork and Andrea Gombani
Stockholm School of Economics - Swedish House of Finance and Italian National Research Council (CNR) - Institute for Systems Science and Biomedical Engineering (LADSEB)

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12.

Parameter Estimation and Reverse Martingales

WPS79-10/95
Posted: 24 Apr 1998
Tomas Bjork and Bjorn Johansson
Stockholm School of Economics - Swedish House of Finance and Stockholm University

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13.

Diversified Portfolios in Continuous Time

Working Paper No. 122
Posted: 12 Feb 1997
Tomas Bjork and Bertil Näslund
Stockholm School of Economics - Swedish House of Finance and Stockholm School of Economics - Department of Finance

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14.

Bond Markets Where Prices are Driven by a General Marked Point Process

WPS88-12/95
Posted: 27 Nov 1996
Stockholm School of Economics - Swedish House of Finance, Universite de Franche-Comte and Universita de Padova

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