Similar Search Results

Optimal Investment under Partial Information

Björk, Tomas; Davis, Mark H.A.; Landén, Camilla - Economics Institute for Research (SIR), … - 2010

We consider the problem of maximizing terminal utility in a model where asset prices are driven by Wiener processes, but where the various rates of returns are allowed to be arbitrary semimartingales. The only information available to the investor is the one generated by the asset prices and, in...

Persistent link: https://www.econbiz.de/10010611627

On the Use of Numeraires in Option Pricing

Benninga, Simon; Björk, Tomas; Wiener, Zvi - In: The journal of derivatives : the official publication … 10 (2002) 2, pp. 43-58

Persistent link: https://www.econbiz.de/10005938799

BOOK REVIEWS - Arbitrage Theory in Continuous Times

Björk, Tomas; Protter, Philip - In: The journal of finance : the journal of the American … 55 (2000) 1, pp. 518-520

Persistent link: https://www.econbiz.de/10006571121

BOOK REVIEWS - Arbitrage Theory in Continuous Times

Björk, Tomas; Protter, Philip - In: The journal of finance : the journal of the American … 55 (2000) 1, pp. 518-520

Persistent link: https://www.econbiz.de/10006571141

A simpler characterization of a spectral lower bound on the clique number

Björk, Tomas; Davis, Mark H. A.; Landén, Camilla - In: Mathematical methods of operations research 71 (2010) 2, pp. 267-282

Persistent link: https://www.econbiz.de/10008395229

A note on Wick products and the fractional Black-Scholes model

Björk, Tomas; Hult, Henrik - In: Finance and stochastics 9 (2005) 2, pp. 197-210

Persistent link: https://www.econbiz.de/10008214424

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

Björk, Tomas; Landén, Camilla - In: Finance and stochastics 6 (2002) 3, pp. 303-332

Persistent link: https://www.econbiz.de/10008216351

On the Existence of Finite-Dimensional Realizations for Nonlinear Forward Rate Models

Björk, Tomas; Svensson, Lars - In: Mathematical finance : an international journal of … 11 (2001) 2, pp. 205-244

Persistent link: https://www.econbiz.de/10008217115

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/10008218047

Bond Market Structure in the Presence of Marked Point Processes

Björk, Tomas; Kabanov, Yuri; Runggaldier, Wolfgang - In: Mathematical finance : an international journal of … 7 (1997) 2, pp. 211

Persistent link: https://www.econbiz.de/10008220053