User profiles for T. Björk
Tomas BjörkStockholm School of Economics Verified email at hhs.se Cited by 9106 |
[BOOK][B] Arbitrage theory in continuous time
T Björk - 2009 - books.google.com
… X at time t by Π(t;X), then it can be seen that at time t = 1 … t running from t = 0 to t = T, where
the horizon T is fixed. As before we have two underlying assets, a bond with price process B t …
the horizon T is fixed. As before we have two underlying assets, a bond with price process B t …
Mean–variance portfolio optimization with state‐dependent risk aversion
… in time t we have one player—player number t—which we will denote by P t . Conceptually
… namely yourself, and P t as the incarnation of your own preferences at time t. Given a control …
… namely yourself, and P t as the incarnation of your own preferences at time t. Given a control …
Interest rate dynamics and consistent forward rate curves
T Björk, BJ Christensen - Mathematical Finance, 1999 - Wiley Online Library
… and let p(t, T) denote the price at time t ≥ 0 of a zero-coupon bond maturing at T ≥ t. We
assume frictionless markets and perfectly divisible bonds. The forward rates f (t, T) are as usual …
assume frictionless markets and perfectly divisible bonds. The forward rates f (t, T) are as usual …
Bond market structure in the presence of marked point processes
… We denote the price at time t of a bond maturing at time T (a “T-bond”) by p(t, T), where, for
… (t, T). Using standard notation we define the instantaneous forward rate at T, contracted at t, …
… (t, T). Using standard notation we define the instantaneous forward rate at T, contracted at t, …
Strategy for detection of prostate cancer based on relation between prostate specific antigen at age 40-55 and long term risk of metastasis: case-control study
Objective To determine the association between concentration of prostate specific antigen (PSA)
at age 40-55 and subsequent risk of prostate cancer metastasis and mortality in an …
at age 40-55 and subsequent risk of prostate cancer metastasis and mortality in an …
[HTML][HTML] On time-inconsistent stochastic control in continuous time
… In this paper, which is a continuation of the discrete-time paper (Björk and Murgoci in …
Also fix an arbitrarily chosen initial point \((t,x)\). Define the control law \({\mathbf{u}}_{h}\) by …
Also fix an arbitrarily chosen initial point \((t,x)\). Define the control law \({\mathbf{u}}_{h}\) by …
A general theory of Markovian time inconsistent stochastic control problems
… differs from a standard problem by the fact that the initial point in time t enters in the integral
(see Remark 1.1). Obviously; if ϕ is exponential so ϕ(s − t) = e−a(s−t then we can factor out …
(see Remark 1.1). Obviously; if ϕ is exponential so ϕ(s − t) = e−a(s−t then we can factor out …
Prostate specific antigen concentration at age 60 and death or metastasis from prostate cancer: case-control study
AJ Vickers, AM Cronin, T Björk, J Manjer, PM Nilsson… - Bmj, 2010 - bmj.com
Objective To determine the relation between concentrations of prostate specific antigen at
age 60 and subsequent diagnosis of clinically relevant prostate cancer in an unscreened …
age 60 and subsequent diagnosis of clinically relevant prostate cancer in an unscreened …
A note on Wick products and the fractional Black-Scholes model
… At t = 0 we put all our money into the bank account and wait until t = 1. Since the short
rate is equal to zero we still have the amount x in the account at t = 1. At …
rate is equal to zero we still have the amount x in the account at t = 1. At …
Towards a general theory of bond markets
… A strategy φ is called an ndimensional if for any t and almost all ω the measure φ(ω, t, dθ) is
concentrated at most in n points of T. We say that a strategy φ is n-reducible if there exists an …
concentrated at most in n points of T. We say that a strategy φ is n-reducible if there exists an …