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~institution:"Economics Institute for Research (SIR), Handelshögskolan i Stockholm"
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arbitrage
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bond markets
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index linked swaps
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interest rates
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Björk, T.
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Näslund, Bertil
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Economics Institute for Research (SIR), Handelshögskolan i Stockholm
World Trade Organization
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National Bureau of Economic Research
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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HAL
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C.E.P.R. Discussion Papers
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International Monetary Fund (IMF)
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International Chamber of Commerce
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London School of Economics (LSE)
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International Monetary Fund
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Institut für Schweizerisches Bankwesen <Zürich>
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Permanent Court of Arbitration
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Université Paris-Dauphine
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Board of Arbitration in the Controversy between the Western Railroads and the Brotherhood of Locomotive Engineers and the Brotherhood of Locomotive Firemen and Enginemen, 1914-1915
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Brotherhood of Locomotive Engineers (U.S.)
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Brotherhood of Locomotive Firemen and Enginemen
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Department of Economics, University of California-Santa Barbara (UCSB)
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
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1
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
Saved in:
2
Towards a General Theory of Good Deal Bounds
Björk, Tomas
;
Slinko, Irina
-
Economics Institute for Research (SIR), …
-
2004
framework we study
arbitrage
free good deal pricing bounds for derivative assets along the lines of Cochrane and Saa … standard multidimensional Wiener process. Within this framework we study
arbitrage
free good deal pricing bounds for derivative … martingale measure (or a unique stochastic discount factor). Thus there will exist infinitely many
arbitrage
free price processes …
Persistent link: https://www.econbiz.de/10005771162
Saved in:
3
A Note on the Pricing of Real Estate Index Linked Swaps
Björk, Tomas
;
Clapham, Eric
-
Economics Institute for Research (SIR), …
-
2002
theoretical as well as from a numerical point of view. Key words: Real estate; index linked swaps;
arbitrage
JEL Classi cation … interest rate, and the model was then used to calculate the
arbitrage
free value of a CREILS. For this concrete application … results in Buttimer et al. (1997) are only approximatively true, in the sense that the
arbitrage
free theoretical value of the …
Persistent link: https://www.econbiz.de/10005649388
Saved in:
4
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
Saved in:
5
Diversified Portfolios in Continuous Time
Björk, Tomas
;
Näslund, Bertil
-
Economics Institute for Research (SIR), …
-
1996
is of Poisson type. We also present a simple martingale based theory for absence of asymptotic
arbitrage
. …
Persistent link: https://www.econbiz.de/10005649358
Saved in:
6
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
Saved in:
7
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
Saved in:
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