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Minimal realizations of interest rate models

Björk, Tomas; Gombani, Andrea - In: Finance and stochastics 3 (1999) 4, pp. 413-432

Persistent link: https://www.econbiz.de/10001412162

On the existence of finite dimensional realizations for nonlinear forward rate models

Björk, Tomas; Svensson, Lars - 1999

Persistent link: https://www.econbiz.de/10001421847

On the term structure of futures and forward prices

Björk, Tomas; Landén, Camilla - In: Mathematical finance - Bachelier Congress, 2000 : …, (pp. 111-149). 2002

Persistent link: https://www.econbiz.de/10001679437

On the construction of finite dimensional realizations for nonlinear forward rate models

Björk, Tomas; Landén, Camilla - In: Finance and stochastics 6 (2002) 3, pp. 303-331

Persistent link: https://www.econbiz.de/10001680671

On the existence of finite-dimensional realizations for nonlinear forward rate models

Björk, Tomas; Svensson, Lars E. O. - In: Mathematical finance : an international journal of … 11 (2001) 2, pp. 205-243

Persistent link: https://www.econbiz.de/10001650926

Time inconsistent stochastic control in continuous time : theory and examples

Björk, Tomas; Khapko, Mariana; Murgoci, Agatha - 2016

In this paper, which is a continuation of a previous discrete time paper, we develop a theory for continuous time stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a Bellman optimality principle. We study these problems within a game...

Persistent link: https://www.econbiz.de/10011646331