Tomas Bjork

Stockholm School of Economics - Swedish House of Finance

Drottninggatan 98

111 60 Stockholm

Sweden

  • Stockholm School of Economics - Swedish House of Finance

SCHOLARLY PAPERS

12

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199

Scholarly Papers (12)

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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 Independent
Downloads 2,078 (16,674)
Citation 130

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

2.

On the Use of Numeraires in Option Pricing

Downloads 966 (52,283)
Citation 9

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 966 (51,427)
Citation 9

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

On the Use of Numeraires in Option Pricing

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.

Interest Rate Theory and Geometry

Portugaliae Mathematica, Vol. 67, No. 3, pp. 321-367, 2010
Number of pages: 47 Posted: 10 Dec 2010 Last Revised: 19 Sep 2023
Tomas Bjork and Raquel M. Gaspar
Stockholm School of Economics - Swedish House of Finance and ISEG and Cemapre/REM, Universidade de Lisboa
Downloads 384 (168,072)
Citation 1

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

4.

Towards a General Theory of Good Deal Bounds

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 340 (191,676)
Citation 6

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Incomplete markets, good deal bounds, derivatives pricing

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 Independent
Downloads 274 (241,164)
Citation 6

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

6.

Equilibrium Theory in Continuous Time

Swedish House of Finance Research Paper No. 20-22
Number of pages: 179 Posted: 04 May 2020 Last Revised: 28 Sep 2020
Tomas Bjork
Stockholm School of Economics - Swedish House of Finance
Downloads 260 (254,279)
Citation 2

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Equilibrium, Martingale, Dynamic Programming, Asset Pricing, Filtering, Control

7.

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 Independent
Downloads 215 (306,473)

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

8.

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 Independent
Downloads 164 (392,129)
Citation 45

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

9.

Minimal Realizations of Interest Rate Models

Posted: 21 Sep 1999
Tomas Bjork and Andrea Gombani
Stockholm School of Economics - Swedish House of Finance and National Research Council (CNR) - Institute for Systems Science and Biomedical Engineering (LADSEB)

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10.

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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11.

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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12.

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

WPS88-12/95
Posted: 27 Nov 1996
Tomas Bjork, Youri Kabanov and Comte W. Runggaldier
Stockholm School of Economics - Swedish House of Finance, Universite de Franche-Comte and Universita de Padova

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