Similar Search Results

Towards a General Theory of Bond Markets.

Björk, Tomas; di Masi, Giovanni; Kabanov, Yuri; … - Economics Institute for Research (SIR), … - 1996

The main purpose of the paper is to provide a mathematical background for the theory of bond markets similar to that available for stock markets. We suggest two constructions of stochastic integrals with respect to processes taking values in a space of continuous functions. Such integrals are...

Persistent link: https://www.econbiz.de/10005207189

Bond markets where prices are driven by a general marked point process

Björk, T.; Kabanov, Y.; Runggaldier, W. - Economics Institute for Research (SIR), … - 1995

We investigate the term structure for the case when interest rates are allowed to be driven by a general marked point process as well as by a Wiener process. Developing a theory which allows for measure-valued trading portfolios we study existence and uniqueness of a martingale measure, as well...

Persistent link: https://www.econbiz.de/10005649381

A Note on the Pricing of Real Estate Index Linked Swaps

Björk, Tomas; Clapham, Eric - Economics Institute for Research (SIR), … - 2002

In this paper we discuss the pricing of commercial real estate index linked swaps (CREILS). This particular pricing problem has been studied by Buttimer et al. (1997) in a previous paper. <p> We show that their results are only approximately correct and that the true theoretical price of the swap...</p>

Persistent link: https://www.econbiz.de/10005649388

A Note on Wick Products and the Fractional Black-Scholes Model

Björk, Tomas; Hult, Henrik - Economics Institute for Research (SIR), … - 2005

, and proofs has been presented that these fractional Black-Scholes models are free of arbitrage. These results on absence … of arbitrage complelety contradict a number of earlier results in the literature which prove that the fractional Black …-Scholes model (and related models) will in fact admit arbitrage. <p> The object of the present paper is to resolve this …

Persistent link: https://www.econbiz.de/10005649515

Interest Rate Theory - CIME Lectures 1996

Björk, Tomas - Economics Institute for Research (SIR), … - 1996

covered include: Bond markets, interest rates, arbitrage, martingale measures, completeness, short rate models, affine term …, minimization of arbitrage information. …

Persistent link: https://www.econbiz.de/10005651503