In memoriam: Tomas Björk (1947--2021). On his career and beyond

DOI10.1007/s00780-023-00511-3zbMath1522.01063OpenAlexW4387117883MaRDI QIDQ6074004

Raquel M. Gaspar, Mariana Khapko

Publication date: 12 October 2023

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-023-00511-3

Mathematics Subject Classification ID

Biographies, obituaries, personalia, bibliographies (01A70)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A theory of Markovian time-inconsistent stochastic control in discrete time
• On time-inconsistent stochastic control in continuous time
• Interest rate theory and geometry
• Financial mathematics. Lectures given at the 3rd session of the Centro Internazionale Matematico Estivo (CIME), held in Bressanone, Italy, July 8--13, 1996
• Optimal investment under partial information
• Adaptive prediction and reverse martingales
• Some system theoretic aspects of interest rate theory
• Parameter estimation and reverse martingales
• Towards a general theory of bond markets
• On the construction of finite dimensional realizations for nonlinear forward rate models
• Minimal realizations in interest rate models
• Monte Carlo Euler approximations of HJM term structure financial models
• A note on Wick products and the fractional Black-Scholes model
• Interest Rate Dynamics and Consistent Forward Rate Curves
• On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models
• Finite–dimensional Markovian realizations for stochastic volatility forward–rate models
• An Overview of Interest Rate Theory
• Optimal consumption with stochastic prices in continuous time
• Exponential inequalities for ruin probabilities in the Cox case
• Finite dimensional optimal filters for a class of ltô- processes with jumping parameters
• Finite optimal filters for a class of nonlinear diffusions with jumping parameters
• Bond Market Structure in the Presence of Marked Point Processes
• An insensitivity property of the ruin probability
• Diversified Portfolios in Continuous Time *
• Point Processes and Jump Diffusions
• Time-Inconsistent Control Theory with Finance Applications
• Arbitrage Theory in Continuous Time
• Term Structure Models with Parallel and Proportional Shifts
• MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
• ON THE TIMING OPTION IN A FUTURES CONTRACT
• ON FINITE DIMENSIONAL REALIZATIONS FOR THE TERM STRUCTURE OF FUTURES PRICES
• Towards a General Theory of Good-Deal Bounds*
• Arbitrage Theory in Continuous Time

This page was built for publication: In memoriam: Tomas Björk (1947--2021). On his career and beyond