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Towards a general theory of bond markets

Björk, Tomas; DiMasi, Giovanni; Kabanov, Jurij M.; … - 1996

Persistent link: https://www.econbiz.de/10000955624

Minimal realizations of forward rates

Björk, Tomas; Gombani, Andrea - 1997

Persistent link: https://www.econbiz.de/10000969940

Parameter estimation and reverse martingales

Björk, Tomas; Johansson, Björn - 1995

Persistent link: https://www.econbiz.de/10000921862

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

Björk, Tomas; Kabanov, Jurij M.; Runggaldier, Wolfgang J. - 1995

Persistent link: https://www.econbiz.de/10000928616

A note on the pricing of real estate index linked swaps

Björk, Tomas (contributor); Clapham, Eric (contributor) - 2002 - [Elektronische Ressource]

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. We show that their results are only approximately correct and that the true theoretical price of the swap is...

Persistent link: https://www.econbiz.de/10001645586

Finite dimensional Markovian realizations for stochastic volatility forward rate models

Björk, Tomas (contributor); Landén, Camilla (contributor); … - 2002 - [Elektronische Ressource], This version: May 6, 2002

we use the previously developed Hilbert space realization theory in order provide general necessary and sufficent … the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward …

Persistent link: https://www.econbiz.de/10001664233