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Tomas Bjork

(deceased)

Personal Details

This person is deceased (Date: 31 Jan 2021)
First Name:Tomas
Middle Name:
Last Name:Bjork
Suffix:
RePEc Short-ID:pbj1
Department of Finance Stockholm School of Economics P.O. Box 6501 SE-113 83 Stockholm SWEDEN
+46-8-7369162

Research output

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Jump to: Working papers Articles Books

Working papers

  1. Björk, Tomas & Davis, Mark H.A. & Landén, Camilla, 2010. "Optimal Investment under Partial Information," SSE/EFI Working Paper Series in Economics and Finance 739, Stockholm School of Economics.
  2. Björk, Tomas & Hult, Henrik, 2005. "A Note on Wick Products and the Fractional Black-Scholes Model," SSE/EFI Working Paper Series in Economics and Finance 596, Stockholm School of Economics.
  3. Armerin, Frederik & Björk, Tomas & Jensen, Bjarne Astrup, 2005. "Term Structure Models with Parallel and Proportional Shifts," Working Papers 2005-5, Copenhagen Business School, Department of Finance.
  4. Björk, Tomas & Blix, Magnus & Landen, Camilla, 2005. "On finite dimensional realizations for the term structure of futures prices," SSE/EFI Working Paper Series in Economics and Finance 620, Stockholm School of Economics.
  5. Björk, Tomas & Biagini, Francesca, 2005. "On the Timing Option in a Futures Contract," SSE/EFI Working Paper Series in Economics and Finance 619, Stockholm School of Economics.
  6. Björk, Tomas & Slinko, Irina, 2004. "Towards a General Theory of Good Deal Bounds," SSE/EFI Working Paper Series in Economics and Finance 595, Stockholm School of Economics.
  7. Björk, Tomas, 2003. "On the Geometry of Interest Rate Models," SSE/EFI Working Paper Series in Economics and Finance 545, Stockholm School of Economics.
  8. Björk, Tomas & Clapham, Eric, 2002. "A Note on the Pricing of Real Estate Index Linked Swaps," SSE/EFI Working Paper Series in Economics and Finance 492, Stockholm School of Economics.
  9. Benninga, Simon & Björk, Tomas & Wiener, Zvi, 2002. "On the Use of Numeraires in Option pricing," SSE/EFI Working Paper Series in Economics and Finance 484, Stockholm School of Economics.
  10. Björk, Tomas & Landén, Camilla & Svensson, Lars, 2002. "Finite dimensional Markovian realizations for stochastic volatility forward rate models," SSE/EFI Working Paper Series in Economics and Finance 498, Stockholm School of Economics, revised 07 May 2002.
  11. Björk, Tomas & Landen, Camilla, 2000. "On the Term Structure of Futures and Forward Prices," SSE/EFI Working Paper Series in Economics and Finance 0417, Stockholm School of Economics, revised 20 Dec 2000.
  12. Björk, Tomas, 2000. "A Geometric View of Interest Rate Theory," SSE/EFI Working Paper Series in Economics and Finance 419, Stockholm School of Economics, revised 21 Dec 2000.
  13. Björk, Tomas & Landen, Camilla, 2000. "On the construction of finite dimensional realizations for nonlinear forward rate models," SSE/EFI Working Paper Series in Economics and Finance 420, Stockholm School of Economics.
  14. Björk, Tomas & Svensson, Lars, 1999. "On the Existence of Finite Dimensional Realizations for Nonlinear Forward Rate Models," SSE/EFI Working Paper Series in Economics and Finance 338, Stockholm School of Economics.
  15. Björk, Tomas & Christensen, Bent Jesper, 1997. "Interest Rate Dynamics and Consistent Forward Rate Curves," SSE/EFI Working Paper Series in Economics and Finance 209, Stockholm School of Economics.
  16. Björk, Tomas & Gombani, Andrea, 1997. "Minimal Realizations of Forward Rates," SSE/EFI Working Paper Series in Economics and Finance 182, Stockholm School of Economics.
  17. Björk, Tomas, 1996. "Interest Rate Theory - CIME Lectures 1996," SSE/EFI Working Paper Series in Economics and Finance 133, Stockholm School of Economics.
  18. Björk, Tomas & Näslund, Bertil, 1996. "Diversified Portfolios in Continuous Time," SSE/EFI Working Paper Series in Economics and Finance 122, Stockholm School of Economics.
  19. Björk, Tomas & di Masi, Giovanni & Kabanov, Yuri & Runggaldier, Wolfgang, 1996. "Towards a General Theory of Bond Markets," SSE/EFI Working Paper Series in Economics and Finance 143, Stockholm School of Economics.
  20. Björk, Tomas & Johansson, Bjorn, 1995. "Parameter Estimation and Reverse Martingales," SSE/EFI Working Paper Series in Economics and Finance 79, Stockholm School of Economics.
  21. Björk, T. & Kabanov, Y. & Runggaldier, W., 1995. "Bond markets where prices are driven by a general marked point process," SSE/EFI Working Paper Series in Economics and Finance 88, Stockholm School of Economics.

Articles

  1. Tomas Björk & Mariana Khapko & Agatha Murgoci, 2017. "On time-inconsistent stochastic control in continuous time," Finance and Stochastics, Springer, vol. 21(2), pages 331-360, April.
  2. Tomas Björk & Agatha Murgoci, 2014. "A theory of Markovian time-inconsistent stochastic control in discrete time," Finance and Stochastics, Springer, vol. 18(3), pages 545-592, July.
  3. Tomas Björk & Agatha Murgoci & Xun Yu Zhou, 2014. "Mean–Variance Portfolio Optimization With State-Dependent Risk Aversion," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 1-24, January.
  4. Tomas Björk & Mark Davis & Camilla Landén, 2010. "Optimal investment under partial information," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(2), pages 371-399, April.
  5. Francesca Biagini & Tomas Björk, 2007. "On The Timing Option In A Futures Contract," Mathematical Finance, Wiley Blackwell, vol. 17(2), pages 267-283, April.
  6. Fredrik Armerin & Bjarne Astrup Jensen & Tomas Bjork, 2007. "Term Structure Models with Parallel and Proportional Shifts," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(3), pages 243-260.
  7. Tomas Björk & Magnus Blix & Camilla Landén, 2006. "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., vol. 9(03), pages 281-314.
  8. Tomas Björk & Irina Slinko, 2006. "Towards a General Theory of Good-Deal Bounds," Review of Finance, European Finance Association, vol. 10(2), pages 221-260.
  9. Tomas Björk & Henrik Hult, 2005. "A note on Wick products and the fractional Black-Scholes model," Finance and Stochastics, Springer, vol. 9(2), pages 197-209, April.
  10. Camilla Landén & Tomas Björk, 2002. "On the construction of finite dimensional realizations for nonlinear forward rate models," Finance and Stochastics, Springer, vol. 6(3), pages 303-331.
  11. Tomas Björk & Lars Svensson, 2001. "On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models," Mathematical Finance, Wiley Blackwell, vol. 11(2), pages 205-243, April.
  12. Tomas BjÃrk & Andrea Gombani, 1999. "Minimal realizations of interest rate models," Finance and Stochastics, Springer, vol. 3(4), pages 413-432.
  13. Tomas Björk & Bent Jesper Christensen, 1999. "Interest Rate Dynamics and Consistent Forward Rate Curves," Mathematical Finance, Wiley Blackwell, vol. 9(4), pages 323-348, October.
  14. Bjork, Tomas & Christensen, Bent Jesper & Gombani, Andrea, 1998. "Some system theoretic aspects of interest rate theory," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 17-23, May.
  15. Tomas Björk & Bertil Näslund, 1998. "Diversified Portfolios in Continuous Time," Review of Finance, European Finance Association, vol. 1(3), pages 361-387.
  16. Tomas Björk & Yuri Kabanov & Wolfgang Runggaldier, 1997. "Bond Market Structure in the Presence of Marked Point Processes," Mathematical Finance, Wiley Blackwell, vol. 7(2), pages 211-239, April.
  17. Giovanni Di Masi & Tomas Björk & Wolfgang Runggaldier & Yuri Kabanov, 1997. "Towards a general theory of bond markets (*)," Finance and Stochastics, Springer, vol. 1(2), pages 141-174.
  18. Björk, Tomas & Johansson, Björn, 1996. "Parameter estimation and reverse martingales," Stochastic Processes and their Applications, Elsevier, vol. 63(2), pages 235-263, November.
  19. Björk, Tomas & Johansson, Björn, 1992. "Adaptive prediction and reverse martingales," Stochastic Processes and their Applications, Elsevier, vol. 43(2), pages 191-222, December.

Books

  1. Björk,Tomas, 2021. "Point Processes and Jump Diffusions," Cambridge Books, Cambridge University Press, number 9781316518670, October.
  2. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.

More information

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 5 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FIN: Finance (3) 2003-11-30 2006-01-24 2006-02-05
  2. NEP-FMK: Financial Markets (3) 2002-05-14 2006-01-24 2006-02-05
  3. NEP-CBA: Central Banking (1) 2003-11-30
  4. NEP-IFN: International Finance (1) 2002-01-22
  5. NEP-MON: Monetary Economics (1) 2003-11-30
  6. NEP-RMG: Risk Management (1) 2003-11-30

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