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Tomas Bjork

(deceased)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Björk, Tomas & Davis, Mark H.A. & Landén, Camilla, 2010. "Optimal Investment under Partial Information," SSE/EFI Working Paper Series in Economics and Finance 739, Stockholm School of Economics.

    Cited by:

    1. Li, Yongwu & Qiao, Han & Wang, Shouyang & Zhang, Ling, 2015. "Time-consistent investment strategy under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 187-197.
    2. Junna Bi & Jun Cai & Yan Zeng, 2021. "Equilibrium reinsurance-investment strategies with partial information and common shock dependence," Annals of Operations Research, Springer, vol. 307(1), pages 1-24, December.
    3. Ahmed Bel Hadj Ayed & Gr'egoire Loeper & Fr'ed'eric Abergel, 2016. "Robustness of mathematical models and technical analysis strategies," Papers 1605.00173, arXiv.org.
    4. Dongmei Zhu & Harry Zheng, 2022. "Effective Approximation Methods for Constrained Utility Maximization with Drift Uncertainty," Journal of Optimization Theory and Applications, Springer, vol. 194(1), pages 191-219, July.
    5. Bäuerle Nicole & Chen An, 2019. "Optimal retirement planning under partial information," Statistics & Risk Modeling, De Gruyter, vol. 36(1-4), pages 37-55, December.
    6. Xiang Yu, 2011. "An Explicit Example Of Optimal Portfolio-Consumption Choices With Habit Formation And Partial Observations," Papers 1112.2939, arXiv.org, revised Aug 2014.
    7. Michele Longo & Alessandra Mainini, 2017. "Welfare effects of information and rationality in portfolio decisions under parameter uncertainty," Papers 1709.04387, arXiv.org.
    8. Fontana, Claudio & Grbac, Zorana & Jeanblanc, Monique & Li, Qinghua, 2014. "Information, no-arbitrage and completeness for asset price models with a change point," Stochastic Processes and their Applications, Elsevier, vol. 124(9), pages 3009-3030.
    9. Suhan Altay & Katia Colaneri & Zehra Eksi, 2017. "Portfolio optimization for a large investor controlling market sentiment under partial information," Papers 1706.03567, arXiv.org.
    10. Ahmed Belhadjayed & Grégoire Loeper & Sofiene El Aoud & Frédéric Abergel, 2017. "Performance analysis of the optimal strategy under partial information," Post-Print hal-01512432, HAL.
    11. Zehra Eksi & Hyejin Ku, 2017. "Portfolio optimization for a large investor under partial information and price impact," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 86(3), pages 601-623, December.
    12. Claudio Fontana & Zorana Grbac & Monique Jeanblanc & Qinghua Li, 2013. "Information, no-arbitrage and completeness for asset price models with a change point," Papers 1304.0923, arXiv.org, revised Apr 2014.
    13. Xing, Jie & Ma, Jingtang & Yang, Wensheng, 2023. "Optimal entry decision of unemployment insurance under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 110(C), pages 31-52.
    14. Claudio Fontana & Bernt {O}ksendal & Agn`es Sulem, 2013. "Market viability and martingale measures under partial information," Papers 1302.4254, arXiv.org, revised Oct 2013.
    15. Andrew Papanicolaou, 2018. "Backward SDEs for Control with Partial Information," Papers 1807.08222, arXiv.org.
    16. Lijun Bo & Agostino Capponi, 2016. "Optimal Investment under Information Driven Contagious Distress," Papers 1612.06133, arXiv.org.
    17. Claus Munk & Alexey Rubtsov, 2014. "Portfolio management with stochastic interest rates and inflation ambiguity," Annals of Finance, Springer, vol. 10(3), pages 419-455, August.
    18. Hening Liu, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Post-Print hal-00781344, HAL.
    19. Kristoffer Lindensjö, 2016. "Optimal investment and consumption under partial information," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 83(1), pages 87-107, February.
    20. Branger, Nicole & Kraft, Holger & Meinerding, Christoph, 2013. "Partial information about contagion risk, self-exciting processes and portfolio optimization," SAFE Working Paper Series 28, Leibniz Institute for Financial Research SAFE.
    21. Huang, Jia & Chen, Zheng, 2021. "Optimal risk asset allocation of a loss-averse bank with partial information under inflation risk," Finance Research Letters, Elsevier, vol. 38(C).
    22. Ahmed Bel Hadj Ayed & Gr'egoire Loeper & Sofiene El Aoud & Fr'ed'eric Abergel, 2015. "Performance analysis of the optimal strategy under partial information," Papers 1510.03596, arXiv.org.
    23. Kazufumi Fujimoto & Hideo Nagai & Wolfgang Runggaldier, 2014. "Expected Log-Utility Maximization Under Incomplete Information and with Cox-Process Observations," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(1), pages 35-66, March.
    24. Palczewski, Jan & Poulsen, Rolf & Schenk-Hoppé, Klaus Reiner & Wang, Huamao, 2015. "Dynamic portfolio optimization with transaction costs and state-dependent drift," European Journal of Operational Research, Elsevier, vol. 243(3), pages 921-931.
    25. Chao Deng & Xizhi Su & Chao Zhou, 2020. "Relative wealth concerns with partial information and heterogeneous priors," Papers 2007.11781, arXiv.org.
    26. Sangmin Lee & Andrew Papanicolaou, 2016. "Pairs Trading Of Two Assets With Uncertainty In Co-Integration'S Level Of Mean Reversion," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(08), pages 1-36, December.
    27. Jan Obłój & Thaleia Zariphopoulou, 2021. "In memoriam: Mark H. A. Davis and his contributions to mathematical finance," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1099-1110, October.
    28. Tiziano De Angelis & Erik Ekstrom & Kristoffer Glover, 2018. "Dynkin games with incomplete and asymmetric information," Papers 1810.07674, arXiv.org, revised Jul 2020.
    29. Katia Colaneri & Stefano Herzel & Marco Nicolosi, 2019. "The value of knowing the market price of risk," Papers 1909.07837, arXiv.org, revised Sep 2019.
    30. Suhan Altay & Katia Colaneri & Zehra Eksi, 2017. "Pairs Trading under Drift Uncertainty and Risk Penalization," Papers 1704.06697, arXiv.org, revised Sep 2018.
    31. Petajisto, Antti, 2011. "The index premium and its hidden cost for index funds," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 271-288, March.
    32. Silvia Centanni & Immacolata Oliva & Paola Tardelli, 2017. "Credit Risk in an Economy with New Firms Arrivals," Methodology and Computing in Applied Probability, Springer, vol. 19(3), pages 891-912, September.
    33. Nicole Bauerle & Stefanie Grether, 2017. "Extremal Behavior of Long-Term Investors with Power Utility," Papers 1703.04423, arXiv.org, revised Jun 2017.
    34. Claudio Fontana & Bernt Øksendal & Agnès Sulem, 2015. "Market Viability and Martingale Measures under Partial Information," Methodology and Computing in Applied Probability, Springer, vol. 17(1), pages 15-39, March.
    35. Sühan Altay & Katia Colaneri & Zehra Eksi, 2021. "Optimal convergence trading with unobservable pricing errors," Annals of Operations Research, Springer, vol. 299(1), pages 133-161, April.
    36. Raquel M. Gaspar & Mariana Khapko, 2023. "In memoriam: Tomas Björk (1947–2021)," Finance and Stochastics, Springer, vol. 27(4), pages 867-885, October.
    37. Caroline HILLAIRET & Cody HYNDMAN & Ying JIAO & Renjie WANG, 2017. "Trading against disorderly liquidation of a large position under asymmetric information and market impact," Working Papers 2017-76, Center for Research in Economics and Statistics.
    38. Michele Longo & Alessandra Mainini, 2016. "Learning And Portfolio Decisions For Crra Investors," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(03), pages 1-21, May.
    39. Kristoffer Lindensjö, 2016. "Optimal investment and consumption under partial information," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 83(1), pages 87-107, February.
    40. Sühan Altay & Katia Colaneri & Zehra Eksi, 2018. "Pairs Trading Under Drift Uncertainty And Risk Penalization," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(07), pages 1-24, November.
    41. Flavio Angelini & Katia Colaneri & Stefano Herzel & Marco Nicolosi, 2021. "Implicit incentives for fund managers with partial information," Computational Management Science, Springer, vol. 18(4), pages 539-561, October.
    42. Caroline Hillairet & Cody Hyndman & Ying Jiao & Renjie Wang, 2016. "Trading against disorderly liquidation of a large position under asymmetric information and market impact," Papers 1610.01937, arXiv.org.
    43. Nicole Bäuerle & Stefanie Grether, 2017. "Extremal Behavior Of Long-Term Investors With Power Utility," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(05), pages 1-13, August.
    44. Ahmed Bel Hadj Ayed & Grégoire Loeper & Sofiene El Aoud & Frédéric Abergel, 2017. "Performance Analysis Of The Optimal Strategy Under Partial Information," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-21, March.
    45. Morita, Hiroshi & Okimoto, Tatsuyoshi, 2021. "The interest rate determination when economic variables are partially observable," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    46. Nicole Bauerle & An Chen, 2022. "Optimal investment under partial information and robust VaR-type constraint," Papers 2212.04394, arXiv.org, revised Sep 2023.
    47. Erik Ekstrom & Juozas Vaicenavicius, 2015. "Optimal liquidation of an asset under drift uncertainty," Papers 1509.00686, arXiv.org.
    48. Suhan Altay & Katia Colaneri & Zehra Eksi, 2019. "Optimal Convergence Trading with Unobservable Pricing Errors," Papers 1910.01438, arXiv.org, revised Oct 2019.
    49. Liu, Hening, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 623-640, April.
    50. Yue Yang & Xiang Yu, 2019. "Optimal Entry and Consumption under Habit Formation," Papers 1903.04257, arXiv.org, revised Jul 2021.
    51. Manli Ban & Hua He & Xiaoqing Liang, 2022. "Optimal Investment Strategy for DC Pension Schemes under Partial Information," Risks, MDPI, vol. 10(11), pages 1-20, November.

  2. Björk, Tomas & Biagini, Francesca, 2005. "On the Timing Option in a Futures Contract," SSE/EFI Working Paper Series in Economics and Finance 619, Stockholm School of Economics.

    Cited by:

    1. Kevin Guo & Tim Leung, 2016. "Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options," Papers 1610.09403, arXiv.org, revised Apr 2017.
    2. Michèle Breton & Ramzi Ben‐Abdallah, 2018. "Time is money: An empirical investigation of delivery behavior in the U.S. T‐Bond futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(1), pages 22-37, January.
    3. Kristoffer Lindensjö, 2016. "The End of the Month Option and Other Embedded Options in Futures Contracts," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(1), pages 69-83, March.
    4. Raquel M. Gaspar & Mariana Khapko, 2023. "In memoriam: Tomas Björk (1947–2021)," Finance and Stochastics, Springer, vol. 27(4), pages 867-885, October.

  3. Björk, Tomas & Hult, Henrik, 2005. "A Note on Wick Products and the Fractional Black-Scholes Model," SSE/EFI Working Paper Series in Economics and Finance 596, Stockholm School of Economics.

    Cited by:

    1. Panumart Sawangtong & Kamonchat Trachoo & Wannika Sawangtong & Benchawan Wiwattanapataphee, 2018. "The Analytical Solution for the Black-Scholes Equation with Two Assets in the Liouville-Caputo Fractional Derivative Sense," Mathematics, MDPI, vol. 6(8), pages 1-14, July.
    2. Lieberman, Offer & Phillips, Peter C.B., 2017. "A multivariate stochastic unit root model with an application to derivative pricing," Journal of Econometrics, Elsevier, vol. 196(1), pages 99-110.
    3. Prakasa Rao, B.L.S., 2016. "Pricing geometric Asian power options under mixed fractional Brownian motion environment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 446(C), pages 92-99.
    4. Simone Farinelli & Hideyuki Takada, 2019. "The Black-Scholes Equation in Presence of Arbitrage," Papers 1904.11565, arXiv.org, revised Oct 2021.
    5. Wang, Xiao-Tian, 2011. "Scaling and long-range dependence in option pricing V: Multiscaling hedging and implied volatility smiles under the fractional Black–Scholes model with transaction costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(9), pages 1623-1634.
    6. Lahiri, Ananya & Sen, Rituparna, 2020. "Fractional Brownian markets with time-varying volatility and high-frequency data," Econometrics and Statistics, Elsevier, vol. 16(C), pages 91-107.
    7. He, Xinjiang & Chen, Wenting, 2014. "The pricing of credit default swaps under a generalized mixed fractional Brownian motion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 404(C), pages 26-33.
    8. Xiao, Weilin & Zhang, Weiguo & Xu, Weijun & Zhang, Xili, 2012. "The valuation of equity warrants in a fractional Brownian environment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1742-1752.
    9. Cai, Chunhao & Cheng, Xuwen & Xiao, Weilin & Wu, Xiang, 2019. "Parameter identification for mixed fractional Brownian motions with the drift parameter," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
    10. Nikita Ratanov & Alexander Melnikov, 2007. "On Financial Markets Based on Telegraph Processes," Papers 0712.3428, arXiv.org.
    11. Kim, Kyong-Hui & Kim, Nam-Ung & Ju, Dong-Chol & Ri, Ju-Hyang, 2020. "Efficient hedging currency options in fractional Brownian motion model with jumps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
    12. Changhong Guo & Shaomei Fang & Yong He, 2023. "Derivation and Application of Some Fractional Black–Scholes Equations Driven by Fractional G-Brownian Motion," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1681-1705, April.
    13. Stoyan V. Stoyanov & Svetlozar T. Rachev & Stefan Mittnik & Frank J. Fabozzi, 2017. "Pricing derivatives in Hermite markets," Papers 1709.09068, arXiv.org.
    14. Kasper Larsen & Gordan Zitkovic, 2007. "On the semimartingale property via bounded logarithmic utility," Papers 0706.0468, arXiv.org.
    15. Høg, Espen P. & Frederiksen, Per H., 2006. "The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application," Finance Research Group Working Papers F-2006-01, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    16. Azmoodeh Ehsan & Mishura Yuliya & Valkeila Esko, 2009. "On hedging European options in geometric fractional Brownian motion market model," Statistics & Risk Modeling, De Gruyter, vol. 27(2), pages 129-144, December.
    17. Changhong Guo & Shaomei Fang & Yong He, 2023. "A Generalized Stochastic Process: Fractional G-Brownian Motion," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-34, March.
    18. Ballestra, Luca Vincenzo & Pacelli, Graziella & Radi, Davide, 2016. "A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion," Chaos, Solitons & Fractals, Elsevier, vol. 87(C), pages 240-248.
    19. Mikko S. Pakkanen & Jani Lukkarinen, 2016. "Arbitrage without borrowing or short selling?," CREATES Research Papers 2016-13, Department of Economics and Business Economics, Aarhus University.
    20. Simone Farinelli & Hideyuki Takada, 2015. "Can You hear the Shape of a Market? Geometric Arbitrage and Spectral Theory," Papers 1509.03264, arXiv.org, revised Sep 2021.
    21. Zhang, Pu & Sun, Qi & Xiao, Wei-Lin, 2014. "Parameter identification in mixed Brownian–fractional Brownian motions using Powell's optimization algorithm," Economic Modelling, Elsevier, vol. 40(C), pages 314-319.
    22. Xiao, Wei-Lin & Zhang, Wei-Guo & Zhang, Xili & Zhang, Xiaoli, 2012. "Pricing model for equity warrants in a mixed fractional Brownian environment and its algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(24), pages 6418-6431.
    23. Calisse, Frank, 2019. "The impact of long-range dependence in the capital stock on interest rate and wealth distribution," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203591, Verein für Socialpolitik / German Economic Association.
    24. Rostek, Stefan & Schöbel, Rainer, 2006. "Risk preference based option pricing in a fractional Brownian market," Tübinger Diskussionsbeiträge 299, University of Tübingen, School of Business and Economics.
    25. Høg, Esben & Frederiksen, Per & Schiemert, Daniel, 2008. "On the Generalized Brownian Motion and its Applications in Finance," Finance Research Group Working Papers F-2008-07, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    26. H. Mesgarani & M. Bakhshandeh & Y. Esmaeelzade Aghdam & J. F. Gómez-Aguilar, 2023. "The Convergence Analysis of the Numerical Calculation to Price the Time-Fractional Black–Scholes Model," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1845-1856, December.
    27. Ahmad Golbabai & Omid Nikan, 2020. "A Computational Method Based on the Moving Least-Squares Approach for Pricing Double Barrier Options in a Time-Fractional Black–Scholes Model," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 119-141, January.
    28. Raquel M. Gaspar & Mariana Khapko, 2023. "In memoriam: Tomas Björk (1947–2021)," Finance and Stochastics, Springer, vol. 27(4), pages 867-885, October.
    29. Wang, Xiao-Tian & Wu, Min & Zhou, Ze-Min & Jing, Wei-Shu, 2012. "Pricing European option with transaction costs under the fractional long memory stochastic volatility model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1469-1480.
    30. Wang, Xiao-Tian, 2010. "Scaling and long-range dependence in option pricing I: Pricing European option with transaction costs under the fractional Black–Scholes model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(3), pages 438-444.
    31. Ehsan Azmoodeh, 2010. "On the fractional Black-Scholes market with transaction costs," Papers 1005.0211, arXiv.org.
    32. Simone Farinelli & Hideyuki Takada, 2014. "Credit Bubbles in Arbitrage Markets: The Geometric Arbitrage Approach to Credit Risk," Papers 1406.6805, arXiv.org, revised Jul 2021.
    33. Stoyan V. Stoyanov & Yong Shin Kim & Svetlozar T. Rachev & Frank J. Fabozzi, 2017. "Option pricing for Informed Traders," Papers 1711.09445, arXiv.org.
    34. Arias-Calluari, Karina & Najafi, Morteza. N. & Harré, Michael S. & Tang, Yaoyue & Alonso-Marroquin, Fernando, 2022. "Testing stationarity of the detrended price return in stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 587(C).
    35. Tapiero, Charles S. & Vallois, Pierre, 2018. "Fractional Randomness and the Brownian Bridge," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 835-843.
    36. Jani Lukkarinen & Mikko S. Pakkanen, 2016. "Arbitrage without borrowing or short selling?," Papers 1604.07690, arXiv.org, revised Oct 2016.
    37. Axel A. Araneda, 2019. "The fractional and mixed-fractional CEV model," Papers 1903.05747, arXiv.org, revised Jun 2019.
    38. Grzegorz Krzy.zanowski & Marcin Magdziarz & {L}ukasz P{l}ociniczak, 2019. "A weighted finite difference method for subdiffusive Black Scholes Model," Papers 1907.00297, arXiv.org, revised Apr 2020.
    39. Farshid Mehrdoust & Ali Reza Najafi, 2018. "Pricing European Options under Fractional Black–Scholes Model with a Weak Payoff Function," Computational Economics, Springer;Society for Computational Economics, vol. 52(2), pages 685-706, August.
    40. Christian Bender & Tommi Sottinen & Esko Valkeila, 2010. "Fractional processes as models in stochastic finance," Papers 1004.3106, arXiv.org.
    41. Hamza Guennoun & Antoine Jacquier & Patrick Roome & Fangwei Shi, 2014. "Asymptotic behaviour of the fractional Heston model," Papers 1411.7653, arXiv.org, revised Aug 2017.
    42. Rostek, S. & Schöbel, R., 2013. "A note on the use of fractional Brownian motion for financial modeling," Economic Modelling, Elsevier, vol. 30(C), pages 30-35.
    43. Vilela Mendes, R. & Oliveira, M.J. & Rodrigues, A.M., 2015. "No-arbitrage, leverage and completeness in a fractional volatility model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 470-478.
    44. Zhang, Xili & Xiao, Weilin, 2017. "Arbitrage with fractional Gaussian processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 620-628.
    45. Panhong Cheng & Zhihong Xu & Zexing Dai, 2023. "Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment," Mathematics and Financial Economics, Springer, volume 17, number 3, June.
    46. Chen, Wenting & Yan, Bowen & Lian, Guanghua & Zhang, Ying, 2016. "Numerically pricing American options under the generalized mixed fractional Brownian motion model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 180-189.
    47. Sun, Lin, 2013. "Pricing currency options in the mixed fractional Brownian motion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(16), pages 3441-3458.
    48. Kasper Larsen & Gordan Žitković, 2008. "On the semimartingale property via bounded logarithmic utility," Annals of Finance, Springer, vol. 4(2), pages 255-268, March.
    49. Alberto Ohashi, 2008. "Fractional term structure models: No-arbitrage and consistency," Papers 0802.1288, arXiv.org, revised Sep 2009.
    50. Nikolai Dokuchaev, 2015. "On the no-arbitrage market and continuity in the Hurst parameter," Papers 1509.06472, arXiv.org, revised Oct 2015.
    51. Foad Shokrollahi, 2017. "Pricing compound and extendible options under mixed fractional Brownian motion with jumps," Papers 1708.04829, arXiv.org.

  4. Armerin, Frederik & Björk, Tomas & Jensen, Bjarne Astrup, 2005. "Term Structure Models with Parallel and Proportional Shifts," Working Papers 2005-5, Copenhagen Business School, Department of Finance.

    Cited by:

    1. Raquel M. Gaspar & Mariana Khapko, 2023. "In memoriam: Tomas Björk (1947–2021)," Finance and Stochastics, Springer, vol. 27(4), pages 867-885, October.

  5. Björk, Tomas & Blix, Magnus & Landen, Camilla, 2005. "On finite dimensional realizations for the term structure of futures prices," SSE/EFI Working Paper Series in Economics and Finance 620, Stockholm School of Economics.

    Cited by:

    1. Chiarella, Carl & Kang, Boda & Nikitopoulos, Christina Sklibosios & Tô, Thuy-Duong, 2013. "Humps in the volatility structure of the crude oil futures market: New evidence," Energy Economics, Elsevier, vol. 40(C), pages 989-1000.
    2. Leif Andersen, 2010. "Markov models for commodity futures: theory and practice," Quantitative Finance, Taylor & Francis Journals, vol. 10(8), pages 831-854.
    3. Fred Benth & Jukka Lempa, 2014. "Optimal portfolios in commodity futures markets," Finance and Stochastics, Springer, vol. 18(2), pages 407-430, April.
    4. Cheng, Benjamin & Nikitopoulos, Christina Sklibosios & Schlögl, Erik, 2018. "Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 148-166.
    5. Raquel M. Gaspar & Mariana Khapko, 2023. "In memoriam: Tomas Björk (1947–2021)," Finance and Stochastics, Springer, vol. 27(4), pages 867-885, October.

  6. Björk, Tomas & Slinko, Irina, 2004. "Towards a General Theory of Good Deal Bounds," SSE/EFI Working Paper Series in Economics and Finance 595, Stockholm School of Economics.

    Cited by:

    1. Bayraktar, Erhan & Milevsky, Moshe A. & David Promislow, S. & Young, Virginia R., 2009. "Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 676-691, March.
    2. Josa-Fombellida, Ricardo & Rincón-Zapatero, Juan Pablo, 2012. "Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes," European Journal of Operational Research, Elsevier, vol. 220(2), pages 404-413.
    3. Laurence Carassus & Emmanuel Temam, 2010. "Pricing and Hedging Basis Risk under No Good Deal Assumption," Working Papers hal-00498479, HAL.
    4. Chen, Chang-Chih & Chang, Chia-Chien & Sun, Edward W. & Yu, Min-Teh, 2022. "Optimal decision of dynamic wealth allocation with life insurance for mitigating health risk under market incompleteness," European Journal of Operational Research, Elsevier, vol. 300(2), pages 727-742.
    5. Young, Virginia R., 2008. "Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 691-703, April.
    6. Josa-Fombellida, Ricardo & López-Casado, Paula, 2023. "A defined benefit pension plan game with Brownian and Poisson jumps uncertainty," European Journal of Operational Research, Elsevier, vol. 310(3), pages 1294-1311.
    7. Akuzawa, Toshinao & Nishiyama, Yoshihiko, 2013. "Implied Sharpe ratios of portfolios with options: Application to Nikkei futures and listed options," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 335-357.
    8. Hainaut, Donatien & Devolder, Pierre & Pelsser, Antoon, 2018. "Robust evaluation of SCR for participating life insurances under Solvency II," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 107-123.
    9. Ibáñez, Alfredo, 2008. "Factorization of European and American option prices under complete and incomplete markets," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 311-325, February.
    10. Jocelyne Bion-Nadal & Giulia Nunno, 2013. "Dynamic no-good-deal pricing measures and extension theorems for linear operators on L ∞," Finance and Stochastics, Springer, vol. 17(3), pages 587-613, July.
    11. Marroquı´n-Martı´nez, Naroa & Moreno, Manuel, 2013. "Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?," European Journal of Operational Research, Elsevier, vol. 225(3), pages 429-442.
    12. L. Carassus & E. Temam, 2014. "Pricing and hedging basis risk under no good deal assumption," Annals of Finance, Springer, vol. 10(1), pages 127-170, February.
    13. Bion-Nadal, Jocelyne, 2009. "Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk," Journal of Mathematical Economics, Elsevier, vol. 45(11), pages 738-750, December.
    14. Chen, An & Hieber, Peter & Nguyen, Thai, 2019. "Constrained non-concave utility maximization: An application to life insurance contracts with guarantees," European Journal of Operational Research, Elsevier, vol. 273(3), pages 1119-1135.
    15. Masaaki Fukasawa & Mitja Stadje, 2018. "Perfect hedging under endogenous permanent market impacts," Finance and Stochastics, Springer, vol. 22(2), pages 417-442, April.

  7. Björk, Tomas, 2003. "On the Geometry of Interest Rate Models," SSE/EFI Working Paper Series in Economics and Finance 545, Stockholm School of Economics.

    Cited by:

    1. Mark H. A. Davis & Vicente Mataix-Pastor, 2009. "Arbitrage-Free Interpolation Of The Swap Curve," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(07), pages 969-1005.
    2. Mikael Elhouar, 2008. "Finite-dimensional Realizations of Regime-switching HJM Models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(4), pages 331-354.

  8. Björk, Tomas & Clapham, Eric, 2002. "A Note on the Pricing of Real Estate Index Linked Swaps," SSE/EFI Working Paper Series in Economics and Finance 492, Stockholm School of Economics.

    Cited by:

    1. Gong, Pu & Zou, Dong & Wang, Jiayue, 2018. "Pricing and simulation for real estate index options: Radial basis point interpolation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 500(C), pages 177-188.
    2. Frank J. Fabozzi & Robert J. Shiller & Radu S. Tunaru, 2012. "A Pricing Framework for Real Estate Derivatives," European Financial Management, European Financial Management Association, vol. 18(5), pages 762-789, November.
    3. Gong, Pu & Dai, Jun, 2017. "Pricing real estate index options under stochastic interest rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 309-323.
    4. Frank Fabozzi & Robert Shiller & Radu Tunaru, 2009. "Property Derivatives for Managing European Real-Estate Risk," Yale School of Management Working Papers amz2652, Yale School of Management, revised 01 Sep 2009.
    5. Kanak Patel & Ricardo Pereira, 2008. "Pricing Property Index Linked Swaps with Counterparty Default Risk," The Journal of Real Estate Finance and Economics, Springer, vol. 36(1), pages 5-21, January.
    6. Colin Lizieri & Gianluca Marcato & Paul Ogden & Andrew Baum, 2012. "Pricing Inefficiencies in Private Real Estate Markets Using Total Return Swaps," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 774-803, October.
    7. Juerg Syz & Paolo Vanini, 2011. "Arbitrage Free Price Bounds for Property Derivatives," The Journal of Real Estate Finance and Economics, Springer, vol. 43(3), pages 281-298, October.
    8. Frank J. Fabozzi & Robert J. Shiller & Radu S. Tunaru, 2010. "Property Derivatives for Managing European Real†Estate Risk," European Financial Management, European Financial Management Association, vol. 16(1), pages 8-26, January.
    9. Pierre-Arnaud Drouhin & Arnaud Simon & Yasmine Essafi, 2016. "Forward Curve Risk Factors Analysis in the UK Real Estate Market," The Journal of Real Estate Finance and Economics, Springer, vol. 53(4), pages 494-526, November.
    10. Sebastian, Steffen P. & Steininger, Bertram I., 2021. "Real estate ETNs in strategic asset allocation," Working Paper Series 21/8, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance.
    11. Frank J. Fabozzi & Robert J. Shiller & Radu S. Tunaru, 2020. "A 30-Year Perspective on Property Derivatives: What Can Be Done to Tame Property Price Risk?," Journal of Economic Perspectives, American Economic Association, vol. 34(4), pages 121-145, Fall.
    12. Ming Pu & Gang-Zhi Fan & Seow Ong, 2012. "Heterogeneous Agents and the Indifference Pricing of Property Index Linked Swaps," The Journal of Real Estate Finance and Economics, Springer, vol. 44(4), pages 543-569, May.
    13. Frontczak, Robert & Rostek, Stefan, 2015. "Modeling loss given default with stochastic collateral," Economic Modelling, Elsevier, vol. 44(C), pages 162-170.
    14. Yoshiki Kago & Charles Ward, 2008. "Hedging Effectiveness of Total Returns Swaps: Application to the Japanese Market," Real Estate & Planning Working Papers rep-wp2008-05, Henley Business School, University of Reading.
    15. Drouhin, Pierre-Arnaud, 2012. "Caractéristiques statistiques et dynamique de prix des produits dérivés immobiliers," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/10918 edited by Batsch, Laurent.

  9. Benninga, Simon & Björk, Tomas & Wiener, Zvi, 2002. "On the Use of Numeraires in Option pricing," SSE/EFI Working Paper Series in Economics and Finance 484, Stockholm School of Economics.

    Cited by:

    1. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.
    2. Yoram Landskroner & Alon Raviv, 2008. "The valuation of inflation‐indexed and FX convertible bonds," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(7), pages 634-655, July.
    3. Jui‐Jane Chang & Son‐Nan Chen & Ting‐Pin Wu, 2013. "Currency‐Protected Swaps and Swaptions with Nonzero Spreads in a Multicurrency LMM," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(9), pages 827-867, September.
    4. Sergei Belkov & Igor V. Evstigneev & Thorsten Hens, 2020. "An evolutionary finance model with a risk-free asset," Annals of Finance, Springer, vol. 16(4), pages 593-607, December.
    5. Ravi Kashyap, 2022. "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Annals of Operations Research, Springer, vol. 315(2), pages 1175-1215, August.
    6. Markus Leippold & Zvi Wiener, 2005. "Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models," Review of Derivatives Research, Springer, vol. 7(3), pages 213-239, October.
    7. Nikolai Dokuchaev, 2018. "On the implied market price of risk under the stochastic numéraire," Annals of Finance, Springer, vol. 14(2), pages 223-251, May.
    8. Raquel M. Gaspar & Mariana Khapko, 2023. "In memoriam: Tomas Björk (1947–2021)," Finance and Stochastics, Springer, vol. 27(4), pages 867-885, October.
    9. Hyong-chol O & Yong-hwa Ro & Ning Wan, 2014. "A Method of Reducing Dimension of Space Variables in Multi-dimensional Black-Scholes Equations," Papers 1406.2053, arXiv.org.
    10. Carr, Peter & Wu, Liuren, 2004. "Time-changed Levy processes and option pricing," Journal of Financial Economics, Elsevier, vol. 71(1), pages 113-141, January.
    11. Nikolai Dokuchaev, 2011. "On martingale measures and pricing for continuous bond-stock market with stochastic bond," Papers 1108.0719, arXiv.org, revised Sep 2014.
    12. Ravi Kashyap, 2016. "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Papers 1609.01274, arXiv.org, revised Mar 2022.
    13. Hyong-Chol O & Dae-Sung Choe, 2019. "Pricing Formulae of Power Binary and Normal Distribution Standard Options and Applications," Papers 1903.04106, arXiv.org.
    14. Hyong-chol O & Yong-hwa Ro & Ning Wan, 2013. "The Use of Numeraires in Multi-dimensional Black-Scholes Partial Differential Equations," Papers 1310.8296, arXiv.org, revised Jul 2014.
    15. Massoud Heidari & Liuren WU, 2002. "Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?," Finance 0207013, University Library of Munich, Germany.

  10. Björk, Tomas & Landén, Camilla & Svensson, Lars, 2002. "Finite dimensional Markovian realizations for stochastic volatility forward rate models," SSE/EFI Working Paper Series in Economics and Finance 498, Stockholm School of Economics, revised 07 May 2002.

    Cited by:

    1. Björk, Tomas, 2003. "On the Geometry of Interest Rate Models," SSE/EFI Working Paper Series in Economics and Finance 545, Stockholm School of Economics.
    2. Raoul Pietersz & Antoon Pelsser & Marcel van Regenmortel, 2005. "Fast drift approximated pricing in the BGM model," Finance 0502005, University Library of Munich, Germany.
    3. Stoyan Valchev, 2004. "Stochastic volatility Gaussian Heath-Jarrow-Morton models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 11(4), pages 347-368.

  11. Björk, Tomas & Landen, Camilla, 2000. "On the Term Structure of Futures and Forward Prices," SSE/EFI Working Paper Series in Economics and Finance 0417, Stockholm School of Economics, revised 20 Dec 2000.

    Cited by:

    1. Tomas Björk & Magnus Blix & Camilla Landén, 2006. "On Finite Dimensional Realizations For The Term Structure Of Futures Prices," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(03), pages 281-314.
    2. Abdullah Almansour & Margaret Insley, 2013. "The impact of stochastic extraction cost on the value of an exhaustible resource: An application to the Alberta oil sands," Working Papers 1303, University of Waterloo, Department of Economics, revised Jun 2013.
    3. Deng, S.J. & Oren, S.S., 2006. "Electricity derivatives and risk management," Energy, Elsevier, vol. 31(6), pages 940-953.
    4. Esquível, Manuel L. & Veiga, Carlos & Wystup, Uwe, 2010. "Unifying exotic option closed formulas," CPQF Working Paper Series 23, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
    5. Anatoliy Swishchuk, 2013. "Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8660, January.
    6. Almeida, Caio & Ardison, Kym & Kubudi, Daniela, 2014. "Approximating Risk Premium on a Parametric Arbitrage-free Term Structure Model," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 34(2), November.

  12. Björk, Tomas, 2000. "A Geometric View of Interest Rate Theory," SSE/EFI Working Paper Series in Economics and Finance 419, Stockholm School of Economics, revised 21 Dec 2000.

    Cited by:

    1. Carl Chiarella & Sara Pasquali & Wolfgang Runggaldier, 2001. "On Filtering in Markovian Term Structure Models (An Approximation Approach)," Research Paper Series 65, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Francis X. Diebold & Canlin Li, 2002. "Forecasting the Term Structure of Government Bond Yields," Center for Financial Institutions Working Papers 02-34, Wharton School Center for Financial Institutions, University of Pennsylvania.
    3. Dorje C. Brody & Lane P. Hughston, 2011. "Interest Rates and Information Geometry," Papers 1111.3757, arXiv.org.
    4. Carl Chiarella & Sara Pasquali & Wolfgang J. Runggaldier, 2001. "On Filtering in Markovian Term Structure Models," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 12, pages 139-150, World Scientific Publishing Co. Pte. Ltd..
    5. Xu, Hai Yan & Ward, Bert D. & Nartea, Gilbert V., 2007. "An Empirical Study of the Chinese Short-Term Interest Rate: A Comparison of the Predictive Power of Rival One-Factor Models," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 3(1-2), pages 1-18.

  13. Björk, Tomas & Landen, Camilla, 2000. "On the construction of finite dimensional realizations for nonlinear forward rate models," SSE/EFI Working Paper Series in Economics and Finance 420, Stockholm School of Economics.

    Cited by:

    1. Björk, Tomas, 2003. "On the Geometry of Interest Rate Models," SSE/EFI Working Paper Series in Economics and Finance 545, Stockholm School of Economics.
    2. Eckhard Platen & Stefan Tappe, 2011. "Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics," Research Paper Series 289, Quantitative Finance Research Centre, University of Technology, Sydney.
    3. Björk, Tomas & Svensson, Lars, 1999. "On the Existence of Finite Dimensional Realizations for Nonlinear Forward Rate Models," SSE/EFI Working Paper Series in Economics and Finance 338, Stockholm School of Economics.
    4. Tomas Björk & Magnus Blix & Camilla Landén, 2006. "On Finite Dimensional Realizations For The Term Structure Of Futures Prices," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(03), pages 281-314.
    5. Fred Espen Benth & Paul Kruhner, 2015. "Approximation of forward curve models in commodity markets with arbitrage-free finite dimensional models," Papers 1512.05983, arXiv.org.
    6. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.
    7. Fred Benth & Jukka Lempa, 2014. "Optimal portfolios in commodity futures markets," Finance and Stochastics, Springer, vol. 18(2), pages 407-430, April.
    8. Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2011.
    9. Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos-Sklibosios, 2010. "Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility," Research Paper Series 283, Quantitative Finance Research Centre, University of Technology, Sydney.
    10. Gaspar, Raquel M., 2004. "On Finite Dimensional Realizations of Forward Price Term Structure Models," SSE/EFI Working Paper Series in Economics and Finance 569, Stockholm School of Economics.
    11. Mikael Elhouar, 2008. "Finite-dimensional Realizations of Regime-switching HJM Models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(4), pages 331-354.
    12. Yassine El Qalli, 2010. "Recursive Bayesian Estimation In Forward Price Models Implied By Fair Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(02), pages 301-333.
    13. Christina Nikitopoulos-Sklibosios, 2005. "A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2005.
    14. Maria B. Chiarolla & Tiziano De Angelis, 2012. "Analytical Pricing of American Bond Options in the Heath-Jarrow-Morton Model," Papers 1212.0781, arXiv.org, revised Mar 2014.
    15. Alberto Ohashi & Alexandre B Simas, 2015. "Principal Components Analysis for Semimartingales and Stochastic PDE," Papers 1503.05909, arXiv.org, revised Mar 2016.

  14. Björk, Tomas & Svensson, Lars, 1999. "On the Existence of Finite Dimensional Realizations for Nonlinear Forward Rate Models," SSE/EFI Working Paper Series in Economics and Finance 338, Stockholm School of Economics.

    Cited by:

    1. Haitao Li & Xiaoxia Ye, 2013. "A Type of HJM Based Affine Model: Theory and Empirical Evidence," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    2. Barbara Forster & Eva Luetkebohmert & Josef Teichmann, 2005. "Absolutely continuous laws of Jump-Diffusions in finite and infinite dimensions with applications to mathematical Finance," Papers math/0509016, arXiv.org, revised Oct 2008.
    3. Eckhard Platen & Stefan Tappe, 2011. "Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics," Research Paper Series 289, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. Björk, Tomas, 2000. "A Geometric View of Interest Rate Theory," SSE/EFI Working Paper Series in Economics and Finance 419, Stockholm School of Economics, revised 21 Dec 2000.
    5. Carl Chiarella & Sara Pasquali & Wolfgang Runggaldier, 2001. "On Filtering in Markovian Term Structure Models (An Approximation Approach)," Research Paper Series 65, Quantitative Finance Research Centre, University of Technology, Sydney.
    6. Tomas Björk & Magnus Blix & Camilla Landén, 2006. "On Finite Dimensional Realizations For The Term Structure Of Futures Prices," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(03), pages 281-314.
    7. Fred Espen Benth & Paul Kruhner, 2015. "Approximation of forward curve models in commodity markets with arbitrage-free finite dimensional models," Papers 1512.05983, arXiv.org.
    8. Antje Berndt & Peter Ritchken & Zhiqiang Sun, 2010. "On Correlation and Default Clustering in Credit Markets," The Review of Financial Studies, Society for Financial Studies, vol. 23(7), pages 2680-2729, July.
    9. Björk, Tomas & Landen, Camilla, 2000. "On the construction of finite dimensional realizations for nonlinear forward rate models," SSE/EFI Working Paper Series in Economics and Finance 420, Stockholm School of Economics.
    10. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.
    11. Eckhard Platen & Steffan Tappe, 2015. "Real-World Forward Rate Dynamics With Affine Realizations," Published Paper Series 2015-7, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    12. Carl Chiarella & Oh Kwon, 2003. "Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields," Review of Derivatives Research, Springer, vol. 6(2), pages 129-155, May.
    13. Antje Berndt & Peter Ritchken & Zhiqiang Sun, "undated". "On Correlation Effects and Default Clustering in Credit Models," GSIA Working Papers 2008-E36, Carnegie Mellon University, Tepper School of Business.
    14. Jan de Kort, 2018. "A note on the long rate in factor models of the term structure," Mathematical Finance, Wiley Blackwell, vol. 28(2), pages 656-667, April.
    15. Fredrik Armerin & Bjarne Astrup Jensen & Tomas Bjork, 2007. "Term Structure Models with Parallel and Proportional Shifts," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(3), pages 243-260.
    16. A. Falco & LL. Navarro & J. Nave, 2010. "On the calibration of a Gaussian Heath-Jarrow-Morton model using consistent forward rate curves," Quantitative Finance, Taylor & Francis Journals, vol. 11(4), pages 495-504.
    17. Dorje C. Brody & Lane P. Hughston, 2011. "Interest Rates and Information Geometry," Papers 1111.3757, arXiv.org.
    18. Carl Chiarella & Sara Pasquali & Wolfgang J. Runggaldier, 2001. "On Filtering in Markovian Term Structure Models," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 12, pages 139-150, World Scientific Publishing Co. Pte. Ltd..
    19. Dennis Schroers, 2024. "Robust Functional Data Analysis for Stochastic Evolution Equations in Infinite Dimensions," Papers 2401.16286, arXiv.org.
    20. Hans Buehler, 2006. "Consistent Variance Curve Models," Finance and Stochastics, Springer, vol. 10(2), pages 178-203, April.
    21. Tappe, Stefan, 2016. "Affine realizations with affine state processes for stochastic partial differential equations," Stochastic Processes and their Applications, Elsevier, vol. 126(7), pages 2062-2091.
    22. Stefan Tappe, 2019. "Existence of affine realizations for stochastic partial differential equations driven by L\'evy processes," Papers 1907.00335, arXiv.org.
    23. Dai, Qiang & Singleton, Kenneth J., 2003. "Fixed-income pricing," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 20, pages 1207-1246, Elsevier.
    24. Fred Benth & Jukka Lempa, 2014. "Optimal portfolios in commodity futures markets," Finance and Stochastics, Springer, vol. 18(2), pages 407-430, April.
    25. Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2011.
    26. Carl Chiarella & Oh-Kang Kwon, 1999. "Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model," Research Paper Series 5, Quantitative Finance Research Centre, University of Technology, Sydney.
    27. Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos-Sklibosios, 2010. "Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility," Research Paper Series 283, Quantitative Finance Research Centre, University of Technology, Sydney.
    28. Stefan Tappe, 2019. "Affine realizations with affine state processes for stochastic partial differential equations," Papers 1907.00336, arXiv.org.
    29. Carl Chiarella & Oh-Kang Kwon, 2001. "State Variables and the Affine Nature of Markovian HJM Term Structure Models," Research Paper Series 52, Quantitative Finance Research Centre, University of Technology, Sydney.
    30. Gapeev Pavel V. & Küchler Uwe, 2006. "On Markovian short rates in term structure models driven by jump-diffusion processes," Statistics & Risk Modeling, De Gruyter, vol. 24(2), pages 1-17, December.
    31. Li, Haitao & Ye, Xiaoxia & Yu, Fan, 2020. "Unifying Gaussian dynamic term structure models from a Heath–Jarrow–Morton perspective," European Journal of Operational Research, Elsevier, vol. 286(3), pages 1153-1167.
    32. Fred Espen Benth & Paul Krühner, 2018. "Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models," Finance and Stochastics, Springer, vol. 22(2), pages 327-366, April.
    33. Damir Filipovi'c & Stefan Tappe, 2019. "Existence of L\'evy term structure models," Papers 1907.03561, arXiv.org.
    34. Likuan Qin & Vadim Linetsky, 2018. "Long-term factorization in Heath–Jarrow–Morton models," Finance and Stochastics, Springer, vol. 22(3), pages 621-641, July.
    35. Raquel M. Gaspar & Mariana Khapko, 2023. "In memoriam: Tomas Björk (1947–2021)," Finance and Stochastics, Springer, vol. 27(4), pages 867-885, October.
    36. Stefan Tappe, 2019. "An alternative approach on the existence of affine realizations for HJM term structure models," Papers 1907.03256, arXiv.org.
    37. Mikael Elhouar, 2008. "Finite-dimensional Realizations of Regime-switching HJM Models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(4), pages 331-354.
    38. Christina Nikitopoulos-Sklibosios, 2005. "A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2005.
    39. Gapeev, Pavel V. & Küchler, Uwe, 2003. "On Markovian Short Rates in Term Structure Models Driven by Jump-Diffusion Processes," SFB 373 Discussion Papers 2003,44, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    40. Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
    41. Stefan Tappe, 2019. "Existence of affine realizations for L\'evy term structure models," Papers 1907.02363, arXiv.org.
    42. Ingo Beyna, 2013. "Interest Rate Derivatives," Lecture Notes in Economics and Mathematical Systems, Springer, edition 127, number 978-3-642-34925-6, December.
    43. Claudio Fontana & Giacomo Lanaro & Agatha Murgoci, 2024. "The geometry of multi-curve interest rate models," Papers 2401.11619, arXiv.org.
    44. Alberto Ohashi & Alexandre B Simas, 2015. "Principal Components Analysis for Semimartingales and Stochastic PDE," Papers 1503.05909, arXiv.org, revised Mar 2016.
    45. Yalc{c}in Aktar & Erik Taflin, 2014. "A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities," Papers 1405.3566, arXiv.org.

  15. Björk, Tomas & Christensen, Bent Jesper, 1997. "Interest Rate Dynamics and Consistent Forward Rate Curves," SSE/EFI Working Paper Series in Economics and Finance 209, Stockholm School of Economics.

    Cited by:

    1. Oliveira, Luís & Curto, José Dias & Nunes, João Pedro, 2012. "The determinants of sovereign credit spread changes in the Euro-zone," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(2), pages 278-304.
    2. Rafael Barros de Rezende, 2011. "Giving Flexibility to the Nelson-Siegel Class of Term Structure Models," Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(1), pages 27-49.
    3. Markus Leippold & Liuren Wu, 2002. "Asset Pricing Under The Quadratic Class," Finance 0207015, University Library of Munich, Germany.
    4. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, January.
    5. Björk, Tomas, 2003. "On the Geometry of Interest Rate Models," SSE/EFI Working Paper Series in Economics and Finance 545, Stockholm School of Economics.
    6. Coroneo, Laura & Nyholm, Ken & Vidova-Koleva, Rositsa, 2008. "How arbitrage-free is the Nelson-Siegel Model?," Working Paper Series 874, European Central Bank.
    7. Eckhard Platen & Stefan Tappe, 2011. "Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics," Research Paper Series 289, Quantitative Finance Research Centre, University of Technology, Sydney.
    8. Markus Leippold & Liuren Wu, 2002. "Design and Estimation of Quadratic Term Structure Models," Finance 0207014, University Library of Munich, Germany.
    9. Francis X. Diebold, & Rudebusch, Glenn D. & Aruoba, S. Boragan, 2003. "The Macroeconomy and the Yield Curve: A Nonstructural Analysis," CFS Working Paper Series 2003/31, Center for Financial Studies (CFS).
    10. Björk, Tomas, 2000. "A Geometric View of Interest Rate Theory," SSE/EFI Working Paper Series in Economics and Finance 419, Stockholm School of Economics, revised 21 Dec 2000.
    11. Björk, Tomas & Svensson, Lars, 1999. "On the Existence of Finite Dimensional Realizations for Nonlinear Forward Rate Models," SSE/EFI Working Paper Series in Economics and Finance 338, Stockholm School of Economics.
    12. Christensen, Bent Jesper & van der Wel, Michel, 2019. "An asset pricing approach to testing general term structure models," Journal of Financial Economics, Elsevier, vol. 134(1), pages 165-191.
    13. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," MPRA Paper 63844, University Library of Munich, Germany.
    14. Alexander Bogin & William Doerner, 2014. "Generating historically-based stress scenarios using parsimonious factorization," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 15(5), pages 591-611, November.
    15. Tomas Björk & Magnus Blix & Camilla Landén, 2006. "On Finite Dimensional Realizations For The Term Structure Of Futures Prices," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(03), pages 281-314.
    16. Francis X. Diebold & Canlin Li, 2002. "Forecasting the Term Structure of Government Bond Yields," Center for Financial Institutions Working Papers 02-34, Wharton School Center for Financial Institutions, University of Pennsylvania.
    17. Fabricio Tourrucôo & João F. Caldeira & Guilherme V. Moura & André A. P. Santos, 2016. "Forecasting The Yield Curve With The Arbitrage-Free Dynamic Nelson-Siegel Model: Brazilian Evidence," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting] 028, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    18. Antje Berndt & Peter Ritchken & Zhiqiang Sun, 2010. "On Correlation and Default Clustering in Credit Markets," The Review of Financial Studies, Society for Financial Studies, vol. 23(7), pages 2680-2729, July.
    19. Márcio Laurini, 2011. "Bayesian Factor Selection in Dynamic Term Structure Models," IBMEC RJ Economics Discussion Papers 2011-02, Economics Research Group, IBMEC Business School - Rio de Janeiro.
    20. Mr. Rodrigo Cabral & Mr. Richard Munclinger & Mr. Luiz Alves & Mr. Marco Rodriguez Waldo, 2011. "On Brazil’s Term Structure: Stylized Facts and Analysis of Macroeconomic Interactions," IMF Working Papers 2011/113, International Monetary Fund.
    21. Patricia Kisbye & Karem Meier, 2017. "Consistency of extended Nelson-Siegel curve families with the Ho-Lee and Hull and White short rate models," Papers 1707.02496, arXiv.org.
    22. Mark H. A. Davis & Vicente Mataix-Pastor, 2009. "Arbitrage-Free Interpolation Of The Swap Curve," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(07), pages 969-1005.
    23. Andrea Roncoroni & Stefano Galluccio & Paolo Guiotto, 2010. "Shape factors and cross-sectional risk," Post-Print hal-00736733, HAL.
    24. Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2008. "An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model," PIER Working Paper Archive 08-030, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    25. Martin M. Andreasen & Jens H.E. Christensen & Glenn D. Rudebusch, 2017. "Term Structure Analysis with Big Data," CREATES Research Papers 2017-31, Department of Economics and Business Economics, Aarhus University.
    26. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.
    27. Takamizawa, Hideyuki, 2022. "How arbitrage-free is the Nelson–Siegel model under stochastic volatility?," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 205-223.
    28. De Rossi, Giuliano, 2004. "Kalman filtering of consistent forward rate curves: a tool to estimate and model dynamically the term structure," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 277-308, March.
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    30. Antje Berndt & Peter Ritchken & Zhiqiang Sun, "undated". "On Correlation Effects and Default Clustering in Credit Models," GSIA Working Papers 2008-E36, Carnegie Mellon University, Tepper School of Business.
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    73. Leo Krippner, 2005. "Attributing Returns and Optimising United States Swaps Portfolios Using an Intertemporally-Consistent and Arbitrage-Free Model of the Yield Curve," Working Papers in Economics 05/03, University of Waikato.
    74. Rui Chen & Jiri Svec & Maurice Peat, 2016. "Forecasting the Government Bond Term Structure in Australia," Australian Economic Papers, Wiley Blackwell, vol. 55(2), pages 99-111, June.
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    76. McNeil, James, 2023. "Monetary policy and the term structure of inflation expectations with information frictions," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
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    81. Gaspar, Raquel M., 2004. "On Finite Dimensional Realizations of Forward Price Term Structure Models," SSE/EFI Working Paper Series in Economics and Finance 569, Stockholm School of Economics.
    82. Raquel M. Gaspar & Mariana Khapko, 2023. "In memoriam: Tomas Björk (1947–2021)," Finance and Stochastics, Springer, vol. 27(4), pages 867-885, October.
    83. Ranik Raaen Wahlstrøm & Florentina Paraschiv & Michael Schürle, 2022. "A Comparative Analysis of Parsimonious Yield Curve Models with Focus on the Nelson-Siegel, Svensson and Bliss Versions," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 967-1004, March.
    84. Matheus R Grasselli & Tsunehiro Tsujimoto, 2011. "Calibration of Chaotic Models for Interest Rates," Papers 1106.2478, arXiv.org.
    85. Chen, S. & Härdle, W.K. & Wang, W., 2016. "Inflation Co-movement across Countries in Multi-maturity Term Structure: An Arbitrage-Free Approach," Working Papers 16/06, Department of Economics, City University London.
    86. Anastasis Kratsios & Cody Hyndman, 2020. "Deep Arbitrage-Free Learning in a Generalized HJM Framework via Arbitrage-Regularization," Risks, MDPI, vol. 8(2), pages 1-30, April.
    87. Anastasis Kratsios & Cody B. Hyndman, 2017. "Deep Learning in a Generalized HJM-type Framework Through Arbitrage-Free Regularization," Papers 1710.05114, arXiv.org, revised Dec 2019.
    88. Aryo Sasongko & Cynthia Afriani Utama & Buddi Wibowo & Zaäfri Ananto Husodo, 2019. "Modifying Hybrid Optimisation Algorithms to Construct Spot Term Structure of Interest Rates and Proposing a Standardised Assessment," Computational Economics, Springer;Society for Computational Economics, vol. 54(3), pages 957-1003, October.
    89. Bjork, Tomas & Christensen, Bent Jesper & Gombani, Andrea, 1998. "Some system theoretic aspects of interest rate theory," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 17-23, May.
    90. Lauren Stagnol, 2019. "Extracting global factors from local yield curves," Journal of Asset Management, Palgrave Macmillan, vol. 20(5), pages 341-350, September.
    91. Virmani, Vineet, 2014. "Model Risk in Pricing Path-dependent Derivatives: An Illustration," IIMA Working Papers WP2014-03-22, Indian Institute of Management Ahmedabad, Research and Publication Department.
    92. Belal E. Baaquie & Marakani Srikant & Mitch Warachka, 2002. "A Quantum Field Theory Term Structure Model Applied to Hedging," Papers cond-mat/0206457, arXiv.org.
    93. Mikael Elhouar, 2008. "Finite-dimensional Realizations of Regime-switching HJM Models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(4), pages 331-354.
    94. Almeida, Caio & Ardison, Kym & Kubudi, Daniela, 2014. "Approximating Risk Premium on a Parametric Arbitrage-free Term Structure Model," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 34(2), November.
    95. Frestad, Dennis, 2008. "Common and unique factors influencing daily swap returns in the Nordic electricity market, 1997-2005," Energy Economics, Elsevier, vol. 30(3), pages 1081-1097, May.
    96. Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
    97. Andreasen, Martin M. & Christensen, Jens H.E. & Rudebusch, Glenn D., 2019. "Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices," Journal of Econometrics, Elsevier, vol. 212(1), pages 26-46.
    98. Albert K. Tsui & Junxiang Wu & Zhaoyong Zhang & Zhongxi Zheng, 2023. "Forecasting term structure of the Japanese bond yields in the presence of a liquidity trap," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(5), pages 1205-1227, August.
    99. Stefan Tappe, 2019. "Existence of affine realizations for L\'evy term structure models," Papers 1907.02363, arXiv.org.
    100. Maria B. Chiarolla & Tiziano De Angelis, 2012. "Analytical Pricing of American Bond Options in the Heath-Jarrow-Morton Model," Papers 1212.0781, arXiv.org, revised Mar 2014.
    101. Donati, Paola & Donati, Francesco, 2008. "Modelling and Forecasting the Yield Curve under Model uncertainty," Working Paper Series 917, European Central Bank.
    102. Leo Krippner, 2005. "An Intertemporally-Consistent and Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models," Working Papers in Economics 05/01, University of Waikato.
    103. Rihab Bedoui & Islem Kedidi, 2018. "Modeling Longevity Risk using Consistent Dynamics Affine Mortality Models," Working Papers hal-01678050, HAL.
    104. Hans Buehler, 2006. "Consistent Variance Curve Models," Finance and Stochastics, Springer, vol. 10(2), pages 178-203, April.
    105. Wali Ullah & Yasumasa Matsuda & Yoshihiko Tsukuda, 2015. "Generalized Nelson-Siegel term structure model: do the second slope and curvature factors improve the in-sample fit and out-of-sample forecasts?," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(4), pages 876-904, April.
    106. Leo Krippner, 2003. "Modelling the Yield Curve with Orthonomalised Laguerre Polynomials: An Intertemporally Consistent Approach with an Economic Interpretation," Working Papers in Economics 03/01, University of Waikato.
    107. Albeverio, Sergio & Lytvynov, Eugene & Mahnig, Andrea, 2004. "A model of the term structure of interest rates based on Lévy fields," Stochastic Processes and their Applications, Elsevier, vol. 114(2), pages 251-263, December.
    108. Shi Chen & Wolfgang Karl Härdle & Weining Wang, "undated". "Inflation Co-movement across Countries in Multi-maturity Term Structure: An Arbitrage-Free Approach," SFB 649 Discussion Papers SFB649DP2015-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    109. Karol Gellert & Erik Schlogl, 2021. "Short Rate Dynamics: A Fed Funds and SOFR perspective," Papers 2101.04308, arXiv.org.
    110. Michiel De Pooter, 2007. "Examining the Nelson-Siegel Class of Term Structure Models," Tinbergen Institute Discussion Papers 07-043/4, Tinbergen Institute.
    111. João Pedro Vidal Nunes & Luís Alberto Ferreira De Oliveira, 2007. "Multifactor and analytical valuation of treasury bond futures with an embedded quality option," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 27(3), pages 275-303, March.
    112. Dang-Nguyen, Stéphane & Le Caillec, Jean-Marc & Hillion, Alain, 2014. "The deterministic shift extension and the affine dynamic Nelson–Siegel model," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 402-417.
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    117. Frank J. Fabozzi & Francesco A. Fabozzi & Diana Tunaru, 2023. "A comparison of multi-factor term structure models for interbank rates," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 323-356, July.
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  16. Björk, Tomas & Gombani, Andrea, 1997. "Minimal Realizations of Forward Rates," SSE/EFI Working Paper Series in Economics and Finance 182, Stockholm School of Economics.

    Cited by:

    1. Björk, Tomas & Svensson, Lars, 1999. "On the Existence of Finite Dimensional Realizations for Nonlinear Forward Rate Models," SSE/EFI Working Paper Series in Economics and Finance 338, Stockholm School of Economics.
    2. Carl Chiarella & Christina Nikitopoulos-Sklibosios, 2004. "A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework," Research Paper Series 132, Quantitative Finance Research Centre, University of Technology, Sydney.
    3. Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2011.
    4. Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos-Sklibosios, 2010. "Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility," Research Paper Series 283, Quantitative Finance Research Centre, University of Technology, Sydney.
    5. Gapeev Pavel V. & Küchler Uwe, 2006. "On Markovian short rates in term structure models driven by jump-diffusion processes," Statistics & Risk Modeling, De Gruyter, vol. 24(2), pages 1-17, December.
    6. Carl Chiarella & Erik Schlögl & Christina Nikitopoulos-Sklibosios, 2004. "A Markovian Defaultable Term Structure Model with State Dependent Volatilities," Research Paper Series 135, Quantitative Finance Research Centre, University of Technology, Sydney.
    7. Christina Nikitopoulos-Sklibosios, 2005. "A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2005.
    8. Gapeev, Pavel V. & Küchler, Uwe, 2003. "On Markovian Short Rates in Term Structure Models Driven by Jump-Diffusion Processes," SFB 373 Discussion Papers 2003,44, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

  17. Björk, Tomas, 1996. "Interest Rate Theory - CIME Lectures 1996," SSE/EFI Working Paper Series in Economics and Finance 133, Stockholm School of Economics.

    Cited by:

    1. Juri Hinz & Lutz Von Grafenstein & Michel Verschuere & Martina Wilhelm, 2005. "Pricing electricity risk by interest rate methods," Quantitative Finance, Taylor & Francis Journals, vol. 5(1), pages 49-60.

  18. Björk, Tomas & Näslund, Bertil, 1996. "Diversified Portfolios in Continuous Time," SSE/EFI Working Paper Series in Economics and Finance 122, Stockholm School of Economics.

    Cited by:

    1. Eckhard Platen, 2004. "Diversified Portfolios with Jumps in a Benchmark Framework," Research Paper Series 129, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Erdinc Akyildirim & Frank J. Fabozzi & Ahmet Goncu & Ahmet Sensoy, 2022. "Statistical arbitrage in jump-diffusion models with compound Poisson processes," Annals of Operations Research, Springer, vol. 313(2), pages 1357-1371, June.
    3. Lim Kian Guan & Liu Xiaoqing & Tsui Kai Chong, 2004. "Asymptotic dynamics and value-at-risk of large diversified portfolios in a jump-diffusion market," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 129-139.

  19. Björk, Tomas & di Masi, Giovanni & Kabanov, Yuri & Runggaldier, Wolfgang, 1996. "Towards a General Theory of Bond Markets," SSE/EFI Working Paper Series in Economics and Finance 143, Stockholm School of Economics.

    Cited by:

    1. Ernst Eberlein & Jean Jacod & Sebastian Raible, 2005. "Lévy term structure models: No-arbitrage and completeness," Finance and Stochastics, Springer, vol. 9(1), pages 67-88, January.
    2. Michal Barski & Jerzy Zabczyk, 2010. "Heath-Jarrow-Morton-Musiela equation with linear volatility," Papers 1010.5808, arXiv.org, revised Nov 2010.
    3. Hinnerich, Mia, 2008. "Inflation-indexed swaps and swaptions," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2293-2306, November.
    4. Gapeev, Pavel V., 2004. "On arbitrage and Markovian short rates in fractional bond markets," Statistics & Probability Letters, Elsevier, vol. 70(3), pages 211-222, December.
    5. Kühn, Christoph & Stroh, Maximilian, 2013. "Continuous time trading of a small investor in a limit order market," Stochastic Processes and their Applications, Elsevier, vol. 123(6), pages 2011-2053.
    6. Laurence Carassus & Emmanuel Temam, 2010. "Pricing and Hedging Basis Risk under No Good Deal Assumption," Working Papers hal-00498479, HAL.
    7. Wolfgang Kluge & Antonis Papapantoleon, 2009. "On the valuation of compositions in Levy term structure models," Quantitative Finance, Taylor & Francis Journals, vol. 9(8), pages 951-959.
    8. Farshid Jamshidian, 1997. "LIBOR and swap market models and measures (*)," Finance and Stochastics, Springer, vol. 1(4), pages 293-330.
    9. Marek Rutkowski & Marek Musiela, 1997. "Continuous-time term structure models: Forward measure approach (*)," Finance and Stochastics, Springer, vol. 1(4), pages 261-291.
    10. Fontana, Claudio & Schmidt, Thorsten, 2018. "General dynamic term structures under default risk," Stochastic Processes and their Applications, Elsevier, vol. 128(10), pages 3353-3386.
    11. Gapeev Pavel V. & Küchler Uwe, 2006. "On Markovian short rates in term structure models driven by jump-diffusion processes," Statistics & Risk Modeling, De Gruyter, vol. 24(2), pages 1-17, December.
    12. L. Steinruecke & R. Zagst & A. Swishchuk, 2015. "The Markov-switching jump diffusion LIBOR market model," Quantitative Finance, Taylor & Francis Journals, vol. 15(3), pages 455-476, March.
    13. Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
    14. Ernst Eberlein & Fehmi Özkan, 2005. "The Lévy LIBOR model," Finance and Stochastics, Springer, vol. 9(3), pages 327-348, July.
    15. Albeverio, Sergio & Lytvynov, Eugene & Mahnig, Andrea, 2004. "A model of the term structure of interest rates based on Lévy fields," Stochastic Processes and their Applications, Elsevier, vol. 114(2), pages 251-263, December.

  20. Björk, Tomas & Johansson, Bjorn, 1995. "Parameter Estimation and Reverse Martingales," SSE/EFI Working Paper Series in Economics and Finance 79, Stockholm School of Economics.

    Cited by:

    1. Raquel M. Gaspar & Mariana Khapko, 2023. "In memoriam: Tomas Björk (1947–2021)," Finance and Stochastics, Springer, vol. 27(4), pages 867-885, October.

  21. Björk, T. & Kabanov, Y. & Runggaldier, W., 1995. "Bond markets where prices are driven by a general marked point process," SSE/EFI Working Paper Series in Economics and Finance 88, Stockholm School of Economics.

    Cited by:

    1. Philipp J. Schonbucher, 1997. "Team Structure Modelling of Defaultable Bonds," FMG Discussion Papers dp272, Financial Markets Group.
    2. C. Mancini, 2002. "The European options hedge perfectly in a Poisson-Gaussian stock market model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(2), pages 87-102.
    3. Vilimir Yordanov, 2012. "The Bulgarian Foreign and Domestic Debt ??? A No-Arbitrage Macrofinancial View," William Davidson Institute Working Papers Series wp1032, William Davidson Institute at the University of Michigan.

Articles

  1. Tomas Björk & Mariana Khapko & Agatha Murgoci, 2017. "On time-inconsistent stochastic control in continuous time," Finance and Stochastics, Springer, vol. 21(2), pages 331-360, April.

    Cited by:

    1. Yu-Jui Huang & Zhou Zhou, 2018. "Strong and Weak Equilibria for Time-Inconsistent Stochastic Control in Continuous Time," Papers 1809.09243, arXiv.org, revised Aug 2019.
    2. Guan, Guohui & Li, Bin, 2022. "Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
    3. Yu-Jui Huang & Zhou Zhou, 2017. "Optimal Equilibria for Time-Inconsistent Stopping Problems in Continuous Time," Papers 1712.07806, arXiv.org, revised Oct 2018.
    4. Yu-Jui Huang & Zhou Zhou, 2017. "The Optimal Equilibrium for Time-Inconsistent Stopping Problems -- the Discrete-Time Case," Papers 1707.04981, arXiv.org, revised Dec 2018.
    5. Junna Bi & Jun Cai & Yan Zeng, 2021. "Equilibrium reinsurance-investment strategies with partial information and common shock dependence," Annals of Operations Research, Springer, vol. 307(1), pages 1-24, December.
    6. Yu-Jui Huang & Adrien Nguyen-Huu & Xun Yu Zhou, 2018. "General stopping behaviors of naïve and non-committed sophisticated agents, with application to probability distortion," Working Papers hal-01954926, HAL.
    7. Qian Lei & Chi Seng Pun, 2021. "Nonlocality, Nonlinearity, and Time Inconsistency in Stochastic Differential Games," Papers 2112.14409, arXiv.org, revised Sep 2023.
    8. Guohui Guan & Zongxia Liang & Yilun Song, 2022. "A Stackelberg reinsurance-investment game under $\alpha$-maxmin mean-variance criterion and stochastic volatility," Papers 2212.14327, arXiv.org.
    9. Samuel N. Cohen & Tanut Treetanthiploet, 2019. "Gittins' theorem under uncertainty," Papers 1907.05689, arXiv.org, revised Jun 2021.
    10. Zhiping Chen & Liyuan Wang & Ping Chen & Haixiang Yao, 2019. "Continuous-Time Mean–Variance Optimization For Defined Contribution Pension Funds With Regime-Switching," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(06), pages 1-33, September.
    11. Zhang, Liming & Li, Bin, 2021. "Optimal reinsurance under the α-maxmin mean-variance criterion," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 225-239.
    12. Doruk Cetemen & Felix Zhiyu Feng & Can Urgun, 2021. "Renegotiation and Dynamic Inconsistency: Contracting with Non-Exponential Discounting," Working Papers 2021-58, Princeton University. Economics Department..
    13. Lv Chen & David Landriault & Bin Li & Danping Li, 2021. "Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion," Mathematical Finance, Wiley Blackwell, vol. 31(2), pages 649-682, April.
    14. Alain Bensoussan & Guiyuan Ma & Chi Chung Siu & Sheung Chi Phillip Yam, 2022. "Dynamic mean–variance problem with frictions," Finance and Stochastics, Springer, vol. 26(2), pages 267-300, April.
    15. Yu-Jui Huang & Adrien Nguyen-Huu, 2018. "Time-consistent stopping under decreasing impatience," Post-Print hal-01950058, HAL.
    16. Min Dai & Hanqing Jin & Steven Kou & Yuhong Xu, 2021. "A Dynamic Mean-Variance Analysis for Log Returns," Management Science, INFORMS, vol. 67(2), pages 1093-1108, February.
    17. Yumo Zhang, 2021. "Dynamic Optimal Mean-Variance Investment with Mispricing in the Family of 4/2 Stochastic Volatility Models," Mathematics, MDPI, vol. 9(18), pages 1-25, September.
    18. Kristoffer Lindensjo & Filip Lindskog, 2019. "Optimal dividends and capital injection under dividend restrictions," Papers 1902.06294, arXiv.org.
    19. Erhan Bayraktar & Zhenhua Wang & Zhou Zhou, 2023. "Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 797-841, July.
    20. Zongxia Liang & Jianming Xia & Keyu Zhang, 2023. "Equilibrium stochastic control with implicitly defined objective functions," Papers 2312.15173, arXiv.org, revised Dec 2023.
    21. Francesco Menoncin & Elena Vigna, 2019. "Mean-variance dynamic optimality for DC pension schemes," Carlo Alberto Notebooks 587, Collegio Carlo Alberto.
    22. Chen, An & Hentschel, Felix & Steffensen, Mogens, 2021. "On retirement time decision making," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 107-129.
    23. Xue Dong He & Zhaoli Jiang & Steven Kou, 2020. "Portfolio Selection under Median and Quantile Maximization," Papers 2008.10257, arXiv.org, revised Mar 2021.
    24. Anna Jaśkiewicz & Andrzej S. Nowak, 2021. "Markov decision processes with quasi-hyperbolic discounting," Finance and Stochastics, Springer, vol. 25(2), pages 189-229, April.
    25. Marcos Escobar-Anel & Andreas Lichtenstern & Rudi Zagst, 2020. "Behavioral portfolio insurance strategies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(4), pages 353-399, December.
    26. Soren Christensen & Kristoffer Lindensjo, 2019. "Time-inconsistent stopping, myopic adjustment & equilibrium stability: with a mean-variance application," Papers 1909.11921, arXiv.org, revised Jan 2020.
    27. Łukasz Delong, 2018. "Time-inconsistent stochastic optimal control problems in insurance and finance," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 51, pages 229-254.
    28. Cao, Jingyi & Landriault, David & Li, Bin, 2020. "Optimal reinsurance-investment strategy for a dynamic contagion claim model," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 206-215.
    29. Fahrenwaldt, Matthias Albrecht & Jensen, Ninna Reitzel & Steffensen, Mogens, 2020. "Nonrecursive separation of risk and time preferences," Journal of Mathematical Economics, Elsevier, vol. 90(C), pages 95-108.
    30. Denis Belomestny & Tobias Hübner & Volker Krätschmer, 2022. "Solving optimal stopping problems under model uncertainty via empirical dual optimisation," Finance and Stochastics, Springer, vol. 26(3), pages 461-503, July.
    31. Yu‐Jui Huang & Zhou Zhou, 2020. "Optimal equilibria for time‐inconsistent stopping problems in continuous time," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 1103-1134, July.
    32. Zongxia Liang & Keyu Zhang, 2023. "Time-inconsistent mean field and n-agent games under relative performance criteria," Papers 2312.14437, arXiv.org.
    33. Johan Burgaard & Mogens Steffensen, 2020. "Eliciting Risk Preferences and Elasticity of Substitution," Decision Analysis, INFORMS, vol. 17(4), pages 314-329, December.
    34. Bingyan Han & Chi Seng Pun & Hoi Ying Wong, 2021. "Robust state-dependent mean–variance portfolio selection: a closed-loop approach," Finance and Stochastics, Springer, vol. 25(3), pages 529-561, July.
    35. Mariana Khapko, 2023. "Asset pricing with dynamically inconsistent agents," Finance and Stochastics, Springer, vol. 27(4), pages 1017-1046, October.
    36. Bingyan Han & Hoi Ying Wong, 2019. "Time-inconsistency with rough volatility," Papers 1907.11378, arXiv.org, revised Dec 2021.
    37. Liyuan Wang & Zhiping Chen, 2019. "Stochastic Game Theoretic Formulation for a Multi-Period DC Pension Plan with State-Dependent Risk Aversion," Mathematics, MDPI, vol. 7(1), pages 1-16, January.
    38. Wang, Hao & Wang, Rongming & Wei, Jiaqin, 2019. "Time-consistent investment-proportional reinsurance strategy with random coefficients for mean–variance insurers," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 104-114.
    39. Bian, Lihua & Li, Zhongfei & Yao, Haixiang, 2018. "Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause," Insurance: Mathematics and Economics, Elsevier, vol. 81(C), pages 78-94.
    40. Erhan Bayraktar & Jingjie Zhang & Zhou Zhou, 2019. "Equilibrium concepts for time-inconsistent stopping problems in continuous time," Papers 1909.01112, arXiv.org, revised Oct 2020.
    41. Ben-Zhang Yang & Xin-Jiang He & Song-Ping Zhu, 2020. "Continuous time mean-variance-utility portfolio problem and its equilibrium strategy," Papers 2005.06782, arXiv.org, revised Nov 2020.
    42. Li, Danping & Young, Virginia R., 2022. "Stackelberg differential game for reinsurance: Mean-variance framework and random horizon," Insurance: Mathematics and Economics, Elsevier, vol. 102(C), pages 42-55.
    43. Yuan, Yu & Han, Xia & Liang, Zhibin & Yuen, Kam Chuen, 2023. "Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework," European Journal of Operational Research, Elsevier, vol. 311(2), pages 581-595.
    44. Camilo Hern'andez & Dylan Possamai, 2020. "Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents," Papers 2002.12572, arXiv.org, revised Jul 2021.
    45. Qian Lei & Chi Seng Pun, 2023. "On the Well-posedness of Hamilton-Jacobi-Bellman Equations of the Equilibrium Type," Papers 2307.01986, arXiv.org.
    46. Chen, Kexin & Wong, Hoi Ying, 2019. "Time-consistent mean-variance hedging of an illiquid asset with a cointegrated liquid asset," Finance Research Letters, Elsevier, vol. 29(C), pages 184-192.
    47. Ying Hu & Hanqing Jin & Xun Yu Zhou, 2021. "Consistent investment of sophisticated rank‐dependent utility agents in continuous time," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 1056-1095, July.
    48. Ling Wang & Mei Choi Chiu & Hoi Ying Wong, 2021. "Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate," Papers 2112.06602, arXiv.org.
    49. Pun, Chi Seng, 2018. "Time-consistent mean-variance portfolio selection with only risky assets," Economic Modelling, Elsevier, vol. 75(C), pages 281-292.
    50. Yu-Jui Huang & Zhou Zhou, 2021. "A Time-Inconsistent Dynkin Game: from Intra-personal to Inter-personal Equilibria," Papers 2101.00343, arXiv.org, revised Dec 2021.
    51. Yu-Jui Huang & Zhou Zhou, 2022. "A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria," Finance and Stochastics, Springer, vol. 26(2), pages 301-334, April.
    52. Camilo Hern'andez & Dylan Possamai, 2023. "Time-inconsistent contract theory," Papers 2303.01601, arXiv.org.
    53. Łukasz Delong, 2019. "Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 89(1), pages 73-113, February.
    54. Zhou, Zhou & Jin, Zhuo, 2020. "Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 100-108.
    55. Kristoffer Lindensjö & Filip Lindskog, 2020. "Optimal dividends and capital injection under dividend restrictions," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 92(3), pages 461-487, December.
    56. Raquel M. Gaspar & Mariana Khapko, 2023. "In memoriam: Tomas Björk (1947–2021)," Finance and Stochastics, Springer, vol. 27(4), pages 867-885, October.
    57. Huyên Pham & Xiaoli Wei & Chao Zhou, 2022. "Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 349-404, January.
    58. Xue Dong He & Xun Yu Zhou, 2021. "Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation," Papers 2105.01829, arXiv.org.
    59. Doruk Cetemen & Felix Zhiyu Feng & Can Urgun, 2019. "Contracting with Non-Exponential Discounting: Moral Hazard and Dynamic Inconsistency," Working Papers 2019-17, Princeton University. Economics Department..
    60. Marcel Nutz & Yuchong Zhang, 2019. "Conditional Optimal Stopping: A Time-Inconsistent Optimization," Papers 1901.05802, arXiv.org, revised Oct 2019.
    61. Ali Lazrak & Hanxiao Wang & Jiongmin Yong, 2023. "Present-biased lobbyists in linear–quadratic stochastic differential games," Finance and Stochastics, Springer, vol. 27(4), pages 947-984, October.
    62. Shigeta, Yuki, 2022. "Quasi-hyperbolic discounting under recursive utility and consumption–investment decisions," Journal of Economic Theory, Elsevier, vol. 204(C).
    63. Guohui Guan & Zongxia Liang & Yilun Song, 2022. "The continuous-time pre-commitment KMM problem in incomplete markets," Papers 2210.13833, arXiv.org, revised Feb 2023.
    64. Kristoffer Andersson & Cornelis W. Oosterlee, 2023. "D-TIPO: Deep time-inconsistent portfolio optimization with stocks and options," Papers 2308.10556, arXiv.org, revised Sep 2023.
    65. Yumo Zhang, 2022. "Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate," Annals of Finance, Springer, vol. 18(4), pages 511-544, December.
    66. Min Dai & Hanqing Jin & Steven Kou & Yuhong Xu, 2021. "Robo-advising: a dynamic mean-variance approach," Digital Finance, Springer, vol. 3(2), pages 81-97, June.
    67. Christensen, Sören & Lindensjö, Kristoffer, 2020. "On time-inconsistent stopping problems and mixed strategy stopping times," Stochastic Processes and their Applications, Elsevier, vol. 130(5), pages 2886-2917.
    68. Bingyan Han & Chi Seng Pun & Hoi Ying Wong, 2023. "Robust Time-inconsistent Linear-Quadratic Stochastic Controls: A Stochastic Differential Game Approach," Papers 2306.16982, arXiv.org.
    69. Shuzhen Yang, 2020. "Bellman type strategy for the continuous time mean-variance model," Papers 2005.01904, arXiv.org, revised Jul 2020.
    70. Yumo Zhang, 2021. "Dynamic Optimal Mean-Variance Portfolio Selection with a 3/2 Stochastic Volatility," Risks, MDPI, vol. 9(4), pages 1-21, March.
    71. Marcos Escobar-Anel, 2022. "A dynamic programming approach to path-dependent constrained portfolios," Annals of Operations Research, Springer, vol. 315(1), pages 141-157, August.
    72. Liyuan Lin & Fangda Liu & Jingzhen Liu abd Luyang Yu, 2023. "The optimal reinsurance strategy with price-competition between two reinsurers," Papers 2305.00509, arXiv.org.
    73. Wang, Ling & Wong, Hoi Ying, 2021. "Time-consistent longevity hedging with long-range dependence," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 25-41.
    74. Yumo Zhang, 2023. "Robust Optimal Investment Strategies for Mean-Variance Asset-Liability Management Under 4/2 Stochastic Volatility Models," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-32, March.
    75. Soren Christensen & Kristoffer Lindensjo, 2019. "Moment constrained optimal dividends: precommitment \& consistent planning," Papers 1909.10749, arXiv.org.
    76. Yu-Jui Huang & Adrien Nguyen-Huu & Xun Yu Zhou, 2017. "Stopping Behaviors of Naïve and Non-Committed Sophisticated Agents when They Distort Probability [Comportement d'arrêt des agents naïfs et sophistiqués sous distorsion des probabilités perçues]," Working Papers hal-01586655, HAL.
    77. Shuoqing Deng & Xiang Yu & Jiacheng Zhang, 2023. "On time-consistent equilibrium stopping under aggregation of diverse discount rates," Papers 2302.07470, arXiv.org, revised Dec 2023.
    78. Pieter M. van Staden & Peter A. Forsyth & Yuying Li, 2023. "A parsimonious neural network approach to solve portfolio optimization problems without using dynamic programming," Papers 2303.08968, arXiv.org.
    79. Jiaqi Zhu & Shenghong Li, 2020. "Time-Consistent Investment and Reinsurance Strategies for Mean-Variance Insurers under Stochastic Interest Rate and Stochastic Volatility," Mathematics, MDPI, vol. 8(12), pages 1-22, December.
    80. Yushi Hamaguchi, 2019. "Time-inconsistent consumption-investment problems in incomplete markets under general discount functions," Papers 1912.01281, arXiv.org, revised Mar 2021.
    81. Zongxia Liang & Fengyi Yuan, 2021. "Weak equilibria for time-inconsistent control: with applications to investment-withdrawal decisions," Papers 2105.06607, arXiv.org, revised Jun 2023.
    82. Yan, Tingjin & Wong, Hoi Ying, 2020. "Open-loop equilibrium reinsurance-investment strategy under mean–variance criterion with stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 105-119.
    83. Balter, Anne G. & Mahayni, Antje & Schweizer, Nikolaus, 2021. "Time-consistency of optimal investment under smooth ambiguity," European Journal of Operational Research, Elsevier, vol. 293(2), pages 643-657.
    84. Zongxia Liang & Fengyi Yuan, 2021. "Equilibrium master equations for time-inconsistent problems with distribution dependent rewards," Papers 2112.14462, arXiv.org, revised Apr 2022.
    85. Esben Kryger & Maj-Britt Nordfang & Mogens Steffensen, 2020. "Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 91(3), pages 405-438, June.
    86. Yu-Jui Huang & Zhenhua Wang, 2020. "Optimal Equilibria for Multi-dimensional Time-inconsistent Stopping Problems," Papers 2006.00754, arXiv.org, revised Jan 2021.

  2. Tomas Björk & Agatha Murgoci, 2014. "A theory of Markovian time-inconsistent stochastic control in discrete time," Finance and Stochastics, Springer, vol. 18(3), pages 545-592, July.

    Cited by:

    1. Li, Yongwu & Qiao, Han & Wang, Shouyang & Zhang, Ling, 2015. "Time-consistent investment strategy under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 187-197.
    2. Junna Bi & Jun Cai & Yan Zeng, 2021. "Equilibrium reinsurance-investment strategies with partial information and common shock dependence," Annals of Operations Research, Springer, vol. 307(1), pages 1-24, December.
    3. Qian Lei & Chi Seng Pun, 2021. "Nonlocality, Nonlinearity, and Time Inconsistency in Stochastic Differential Games," Papers 2112.14409, arXiv.org, revised Sep 2023.
    4. Samuel N. Cohen & Tanut Treetanthiploet, 2019. "Gittins' theorem under uncertainty," Papers 1907.05689, arXiv.org, revised Jun 2021.
    5. Zhiping Chen & Liyuan Wang & Ping Chen & Haixiang Yao, 2019. "Continuous-Time Mean–Variance Optimization For Defined Contribution Pension Funds With Regime-Switching," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(06), pages 1-33, September.
    6. Lv Chen & David Landriault & Bin Li & Danping Li, 2021. "Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion," Mathematical Finance, Wiley Blackwell, vol. 31(2), pages 649-682, April.
    7. Alain Bensoussan & Guiyuan Ma & Chi Chung Siu & Sheung Chi Phillip Yam, 2022. "Dynamic mean–variance problem with frictions," Finance and Stochastics, Springer, vol. 26(2), pages 267-300, April.
    8. Van Staden, Pieter M. & Dang, Duy-Minh & Forsyth, Peter A., 2018. "Time-consistent mean–variance portfolio optimization: A numerical impulse control approach," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 9-28.
    9. Yu-Jui Huang & Adrien Nguyen-Huu, 2018. "Time-consistent stopping under decreasing impatience," Post-Print hal-01950058, HAL.
    10. Gabriela Kov'av{c}ov'a & Birgit Rudloff, 2018. "Time consistency of the mean-risk problem," Papers 1806.10981, arXiv.org, revised Jan 2020.
    11. Chen, An & Hentschel, Felix & Steffensen, Mogens, 2021. "On retirement time decision making," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 107-129.
    12. Anna Jaśkiewicz & Andrzej S. Nowak, 2021. "Markov decision processes with quasi-hyperbolic discounting," Finance and Stochastics, Springer, vol. 25(2), pages 189-229, April.
    13. Guan, Guohui & Hu, Xiang, 2022. "Equilibrium mean–variance reinsurance and investment strategies for a general insurance company under smooth ambiguity," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    14. Soren Christensen & Kristoffer Lindensjo, 2019. "Time-inconsistent stopping, myopic adjustment & equilibrium stability: with a mean-variance application," Papers 1909.11921, arXiv.org, revised Jan 2020.
    15. Łukasz Delong, 2018. "Time-inconsistent stochastic optimal control problems in insurance and finance," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 51, pages 229-254.
    16. Fahrenwaldt, Matthias Albrecht & Jensen, Ninna Reitzel & Steffensen, Mogens, 2020. "Nonrecursive separation of risk and time preferences," Journal of Mathematical Economics, Elsevier, vol. 90(C), pages 95-108.
    17. Denis Belomestny & Tobias Hübner & Volker Krätschmer, 2022. "Solving optimal stopping problems under model uncertainty via empirical dual optimisation," Finance and Stochastics, Springer, vol. 26(3), pages 461-503, July.
    18. Miles B. Gietzmann & Adam J. Ostaszewski, 2016. "The Sound of Silence: equilibrium filtering and optimal censoring in financial markets," Papers 1606.04039, arXiv.org.
    19. Bingyan Han & Chi Seng Pun & Hoi Ying Wong, 2021. "Robust state-dependent mean–variance portfolio selection: a closed-loop approach," Finance and Stochastics, Springer, vol. 25(3), pages 529-561, July.
    20. Mariana Khapko, 2023. "Asset pricing with dynamically inconsistent agents," Finance and Stochastics, Springer, vol. 27(4), pages 1017-1046, October.
    21. Bingyan Han & Hoi Ying Wong, 2019. "Time-inconsistency with rough volatility," Papers 1907.11378, arXiv.org, revised Dec 2021.
    22. Tomas Björk & Mariana Khapko & Agatha Murgoci, 2017. "On time-inconsistent stochastic control in continuous time," Finance and Stochastics, Springer, vol. 21(2), pages 331-360, April.
    23. Bian, Lihua & Li, Zhongfei & Yao, Haixiang, 2018. "Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause," Insurance: Mathematics and Economics, Elsevier, vol. 81(C), pages 78-94.
    24. Erhan Bayraktar & Jingjie Zhang & Zhou Zhou, 2019. "Equilibrium concepts for time-inconsistent stopping problems in continuous time," Papers 1909.01112, arXiv.org, revised Oct 2020.
    25. Hanwen Zhang & Duy-Minh Dang, 2023. "A monotone numerical integration method for mean-variance portfolio optimization under jump-diffusion models," Papers 2309.05977, arXiv.org.
    26. Qian Lei & Chi Seng Pun, 2023. "On the Well-posedness of Hamilton-Jacobi-Bellman Equations of the Equilibrium Type," Papers 2307.01986, arXiv.org.
    27. Helu Xiao & Tiantian Ren & Yanfei Bai & Zhongbao Zhou, 2019. "Time-Consistent Investment-Reinsurance Strategies for the Insurer and the Reinsurer under the Generalized Mean-Variance Criteria," Mathematics, MDPI, vol. 7(9), pages 1-25, September.
    28. Tan, Ken Seng & Weng, Chengguo & Zhang, Jinggong, 2022. "Optimal dynamic longevity hedge with basis risk," European Journal of Operational Research, Elsevier, vol. 297(1), pages 325-337.
    29. Wu, Huiling & Zeng, Yan, 2015. "Equilibrium investment strategy for defined-contribution pension schemes with generalized mean–variance criterion and mortality risk," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 396-408.
    30. Alain Bensoussan & Kwok Chuen Wong & Sheung Chi Phillip Yam, 2019. "A paradox in time-consistency in the mean–variance problem?," Finance and Stochastics, Springer, vol. 23(1), pages 173-207, January.
    31. Yu Yang & Yonghong Wu & Benchawan Wiwatanapataphee, 2020. "Time-consistent mean–variance asset-liability management in a regime-switching jump-diffusion market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(4), pages 401-427, December.
    32. De Gennaro Aquino, Luca & Sornette, Didier & Strub, Moris S., 2023. "Portfolio selection with exploration of new investment assets," European Journal of Operational Research, Elsevier, vol. 310(2), pages 773-792.
    33. Raquel M. Gaspar & Mariana Khapko, 2023. "In memoriam: Tomas Björk (1947–2021)," Finance and Stochastics, Springer, vol. 27(4), pages 867-885, October.
    34. Yuanyuan Zhang & Xiang Li & Sini Guo, 2018. "Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature," Fuzzy Optimization and Decision Making, Springer, vol. 17(2), pages 125-158, June.
    35. Xue Dong He & Xun Yu Zhou, 2021. "Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation," Papers 2105.01829, arXiv.org.
    36. Marcel Nutz & Yuchong Zhang, 2019. "Conditional Optimal Stopping: A Time-Inconsistent Optimization," Papers 1901.05802, arXiv.org, revised Oct 2019.
    37. Ali Lazrak & Hanxiao Wang & Jiongmin Yong, 2023. "Present-biased lobbyists in linear–quadratic stochastic differential games," Finance and Stochastics, Springer, vol. 27(4), pages 947-984, October.
    38. Chi Kin Lam & Yuhong Xu & Guosheng Yin, 2016. "Dynamic portfolio selection without risk-free assets," Papers 1602.04975, arXiv.org.
    39. Christensen, Sören & Lindensjö, Kristoffer, 2020. "On time-inconsistent stopping problems and mixed strategy stopping times," Stochastic Processes and their Applications, Elsevier, vol. 130(5), pages 2886-2917.
    40. Bingyan Han & Chi Seng Pun & Hoi Ying Wong, 2023. "Robust Time-inconsistent Linear-Quadratic Stochastic Controls: A Stochastic Differential Game Approach," Papers 2306.16982, arXiv.org.
    41. Erhan Bayraktar & Jingjie Zhang & Zhou Zhou, 2018. "Time Consistent Stopping For The Mean-Standard Deviation Problem --- The Discrete Time Case," Papers 1802.08358, arXiv.org, revised Apr 2019.
    42. Liyuan Lin & Fangda Liu & Jingzhen Liu abd Luyang Yu, 2023. "The optimal reinsurance strategy with price-competition between two reinsurers," Papers 2305.00509, arXiv.org.
    43. Munk, Claus, 2020. "A mean-variance benchmark for household portfolios over the life cycle," Journal of Banking & Finance, Elsevier, vol. 116(C).
    44. Soren Christensen & Kristoffer Lindensjo, 2019. "Moment constrained optimal dividends: precommitment \& consistent planning," Papers 1909.10749, arXiv.org.
    45. Zhang, Jingong & Tan, Ken Seng & Weng, Chengguo, 2017. "Optimal hedging with basis risk under mean–variance criterion," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 1-15.
    46. Tomasz R. Bielecki & Tao Chen & Igor Cialenco, 2020. "Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection," Papers 2002.02604, arXiv.org, revised Sep 2020.
    47. Pieter M. van Staden & Peter A. Forsyth & Yuying Li, 2023. "A parsimonious neural network approach to solve portfolio optimization problems without using dynamic programming," Papers 2303.08968, arXiv.org.
    48. Marc Chen & Mohammad Shirazi & Peter A. Forsyth & Yuying Li, 2023. "Machine Learning and Hamilton-Jacobi-Bellman Equation for Optimal Decumulation: a Comparison Study," Papers 2306.10582, arXiv.org.
    49. Forsyth, Peter A., 2022. "Short term decumulation strategies for underspending retirees," Insurance: Mathematics and Economics, Elsevier, vol. 102(C), pages 56-74.
    50. Balter, Anne G. & Mahayni, Antje & Schweizer, Nikolaus, 2021. "Time-consistency of optimal investment under smooth ambiguity," European Journal of Operational Research, Elsevier, vol. 293(2), pages 643-657.
    51. Cui, Xiangyu & Gao, Jianjun & Shi, Yun & Zhu, Shushang, 2019. "Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection," European Journal of Operational Research, Elsevier, vol. 276(2), pages 781-789.
    52. van Staden, Pieter M. & Dang, Duy-Minh & Forsyth, Peter A., 2021. "The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors," European Journal of Operational Research, Elsevier, vol. 289(2), pages 774-792.

  3. Tomas Björk & Agatha Murgoci & Xun Yu Zhou, 2014. "Mean–Variance Portfolio Optimization With State-Dependent Risk Aversion," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 1-24, January.

    Cited by:

    1. Yu-Jui Huang & Zhou Zhou, 2018. "Strong and Weak Equilibria for Time-Inconsistent Stochastic Control in Continuous Time," Papers 1809.09243, arXiv.org, revised Aug 2019.
    2. Li, Yongwu & Qiao, Han & Wang, Shouyang & Zhang, Ling, 2015. "Time-consistent investment strategy under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 187-197.
    3. Xiang Meng, 2019. "Dynamic Mean-Variance Portfolio Optimisation," Papers 1907.03093, arXiv.org.
    4. Yu-Jui Huang & Zhou Zhou, 2017. "Optimal Equilibria for Time-Inconsistent Stopping Problems in Continuous Time," Papers 1712.07806, arXiv.org, revised Oct 2018.
    5. Junna Bi & Jun Cai & Yan Zeng, 2021. "Equilibrium reinsurance-investment strategies with partial information and common shock dependence," Annals of Operations Research, Springer, vol. 307(1), pages 1-24, December.
    6. David Landriault & Bin Li & Dongchen Li & Yumin Wang, 2021. "High‐water mark fee structure in variable annuities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(4), pages 1057-1094, December.
    7. Zhang, Liming & Li, Bin, 2021. "Optimal reinsurance under the α-maxmin mean-variance criterion," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 225-239.
    8. Van Staden, Pieter M. & Dang, Duy-Minh & Forsyth, Peter A., 2018. "Time-consistent mean–variance portfolio optimization: A numerical impulse control approach," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 9-28.
    9. Felix Fie{ss}inger & Mitja Stadje, 2023. "Time-Consistent Asset Allocation for Risk Measures in a L\'evy Market," Papers 2305.09471, arXiv.org, revised Jun 2023.
    10. Yu-Jui Huang & Adrien Nguyen-Huu, 2018. "Time-consistent stopping under decreasing impatience," Post-Print hal-01950058, HAL.
    11. Yongwu Li & Zhongfei Li & Yan Zeng, 2016. "Equilibrium Dividend Strategy with Non-exponential Discounting in a Dual Model," Journal of Optimization Theory and Applications, Springer, vol. 168(2), pages 699-722, February.
    12. Min Dai & Hanqing Jin & Steven Kou & Yuhong Xu, 2021. "A Dynamic Mean-Variance Analysis for Log Returns," Management Science, INFORMS, vol. 67(2), pages 1093-1108, February.
    13. Chen, Lv & Shen, Yang, 2019. "Stochastic Stackelberg differential reinsurance games under time-inconsistent mean–variance framework," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 120-137.
    14. Li, Danping & Rong, Ximin & Zhao, Hui & Yi, Bo, 2017. "Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 6-20.
    15. Chen, Zhiping & Yang, Peng, 2020. "Robust optimal reinsurance–investment strategy with price jumps and correlated claims," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 27-46.
    16. Zongxia Liang & Sheng Wang & Jianming Xia & Fengyi Yuan, 2024. "Dynamic portfolio selection under generalized disappointment aversion," Papers 2401.08323, arXiv.org, revised Mar 2024.
    17. Sukono & Dedi Rosadi & Di Asih I Maruddani & Riza Andrian Ibrahim & Muhamad Deni Johansyah, 2024. "Mechanisms of Stock Selection and Its Capital Weighing in the Portfolio Design Based on the MACD-K-Means-Mean-VaR Model," Mathematics, MDPI, vol. 12(2), pages 1-22, January.
    18. Gabriela Kov'av{c}ov'a & Birgit Rudloff, 2018. "Time consistency of the mean-risk problem," Papers 1806.10981, arXiv.org, revised Jan 2020.
    19. Huiling Wu & Chengguo Weng & Yan Zeng, 2018. "Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 40(2), pages 541-582, March.
    20. Li, Yuying & Forsyth, Peter A., 2019. "A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 189-204.
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    22. Salih Çam, 2023. "Asset Allocation with Combined Models Based on Game-Theory Approach and Markov Chain Models," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(39), pages 26-36, December.
    23. Bingyan Han & Hoi Ying Wong, 2019. "Time-inconsistency with rough volatility," Papers 1907.11378, arXiv.org, revised Dec 2021.
    24. Liyuan Wang & Zhiping Chen, 2019. "Stochastic Game Theoretic Formulation for a Multi-Period DC Pension Plan with State-Dependent Risk Aversion," Mathematics, MDPI, vol. 7(1), pages 1-16, January.
    25. Zhang, Caibin & Liang, Zhibin, 2022. "Optimal time-consistent reinsurance and investment strategies for a jump–diffusion financial market without cash," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
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    27. Yuan, Yu & Han, Xia & Liang, Zhibin & Yuen, Kam Chuen, 2023. "Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework," European Journal of Operational Research, Elsevier, vol. 311(2), pages 581-595.
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    42. Pun, Chi Seng, 2018. "Time-consistent mean-variance portfolio selection with only risky assets," Economic Modelling, Elsevier, vol. 75(C), pages 281-292.
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    44. Yu-Jui Huang & Zhou Zhou, 2021. "A Time-Inconsistent Dynkin Game: from Intra-personal to Inter-personal Equilibria," Papers 2101.00343, arXiv.org, revised Dec 2021.
    45. Oumar Mbodji & Traian A. Pirvu, 2023. "Portfolio Time Consistency and Utility Weighted Discount Rates," Papers 2402.05113, arXiv.org.
    46. Łukasz Delong, 2019. "Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 89(1), pages 73-113, February.
    47. De Gennaro Aquino, Luca & Sornette, Didier & Strub, Moris S., 2023. "Portfolio selection with exploration of new investment assets," European Journal of Operational Research, Elsevier, vol. 310(2), pages 773-792.
    48. Zhou, Zhou & Jin, Zhuo, 2020. "Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 100-108.
    49. Omid Momen & Akbar Esfahanipour & Abbas Seifi, 2020. "A robust behavioral portfolio selection: model with investor attitudes and biases," Operational Research, Springer, vol. 20(1), pages 427-446, March.
    50. Adusumilli, Naveen & Wang, Hua & Dodla, Syam & Deliberto, Michael, 2020. "Estimating risk premiums for adopting no-till and cover crops management practices in soybean production system using stochastic efficiency approach," Agricultural Systems, Elsevier, vol. 178(C).
    51. Yuanyuan Zhang & Xiang Li & Sini Guo, 2018. "Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature," Fuzzy Optimization and Decision Making, Springer, vol. 17(2), pages 125-158, June.
    52. Yang Shen & Bin Zou, 2021. "Mean-Variance Portfolio Selection in Contagious Markets," Papers 2110.09417, arXiv.org.
    53. Xue Dong He & Xun Yu Zhou, 2021. "Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation," Papers 2105.01829, arXiv.org.
    54. Marcel Nutz & Yuchong Zhang, 2019. "Conditional Optimal Stopping: A Time-Inconsistent Optimization," Papers 1901.05802, arXiv.org, revised Oct 2019.
    55. Yu-Jui Huang & Zhou Zhou, 2021. "Strong and Weak Equilibria for Time-Inconsistent Stochastic Control in Continuous Time," Mathematics of Operations Research, INFORMS, vol. 46(2), pages 428-451, May.
    56. Sun, Jingyun & Li, Zhongfei & Zeng, Yan, 2016. "Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump–diffusion model," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 158-172.
    57. Chi Kin Lam & Yuhong Xu & Guosheng Yin, 2016. "Dynamic portfolio selection without risk-free assets," Papers 1602.04975, arXiv.org.
    58. Min Dai & Hanqing Jin & Steven Kou & Yuhong Xu, 2021. "Robo-advising: a dynamic mean-variance approach," Digital Finance, Springer, vol. 3(2), pages 81-97, June.
    59. Christensen, Sören & Lindensjö, Kristoffer, 2020. "On time-inconsistent stopping problems and mixed strategy stopping times," Stochastic Processes and their Applications, Elsevier, vol. 130(5), pages 2886-2917.
    60. Bingyan Han & Chi Seng Pun & Hoi Ying Wong, 2023. "Robust Time-inconsistent Linear-Quadratic Stochastic Controls: A Stochastic Differential Game Approach," Papers 2306.16982, arXiv.org.
    61. Agostino Capponi & Sveinn Ólafsson & Thaleia Zariphopoulou, 2022. "Personalized Robo-Advising: Enhancing Investment Through Client Interaction," Management Science, INFORMS, vol. 68(4), pages 2485-2512, April.
    62. Mengge Li & Shuaijie Qian & Chao Zhou, 2023. "Robust Equilibrium Strategy for Mean-Variance Portfolio Selection," Papers 2305.07166, arXiv.org, revised May 2023.
    63. Ying Hu & Hanqing Jin & Xun Yu Zhou, 2020. "Consistent Investment of Sophisticated Rank-Dependent Utility Agents in Continuous Time," Papers 2006.01979, arXiv.org.
    64. Zhao, Qian & Shen, Yang & Wei, Jiaqin, 2014. "Consumption–investment strategies with non-exponential discounting and logarithmic utility," European Journal of Operational Research, Elsevier, vol. 238(3), pages 824-835.
    65. Haiyang Wang & Ruimin Xu, 2023. "Time-Inconsistent LQ Games for Large-Population Systems and Applications," Journal of Optimization Theory and Applications, Springer, vol. 197(3), pages 1249-1268, June.
    66. Zeng, Yan & Li, Danping & Gu, Ailing, 2016. "Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 138-152.
    67. Ebert, Sebastian & Wei, Wei & Zhou, Xun Yu, 2020. "Weighted discounting—On group diversity, time-inconsistency, and consequences for investment," Journal of Economic Theory, Elsevier, vol. 189(C).
    68. Ying Hu & Hanqing Jin & Xun Yu Zhou, 2017. "Time-Inconsistent Stochastic Linear--Quadratic Control: Characterization and Uniqueness of Equilibrium," Post-Print hal-01139343, HAL.
    69. Jiaqi Zhu & Shenghong Li, 2020. "Time-Consistent Investment and Reinsurance Strategies for Mean-Variance Insurers under Stochastic Interest Rate and Stochastic Volatility," Mathematics, MDPI, vol. 8(12), pages 1-22, December.
    70. Li, Danping & Li, Dongchen & Young, Virginia R., 2017. "Optimality of excess-loss reinsurance under a mean–variance criterion," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 82-89.
    71. Elena Vigna, 2016. "On time consistency for mean-variance portfolio selection," Carlo Alberto Notebooks 476, Collegio Carlo Alberto.
    72. Zhou, Zhongbao & Xiao, Helu & Yin, Jialing & Zeng, Ximei & Lin, Ling, 2016. "Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 187-202.
    73. Yan, Tingjin & Wong, Hoi Ying, 2020. "Open-loop equilibrium reinsurance-investment strategy under mean–variance criterion with stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 105-119.
    74. Chen, Dengsheng & He, Yong & Li, Ziqiang, 2023. "Robust optimal reinsurance–investment for α-maxmin mean–variance utility under Heston’s SV model," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    75. Shi, Yun & Cui, Xiangyu & Li, Duan, 2015. "Discrete-time behavioral portfolio selection under cumulative prospect theory," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 283-302.
    76. Wei, Jiaqin & Wang, Tianxiao, 2017. "Time-consistent mean–variance asset–liability management with random coefficients," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 84-96.
    77. Zongxia Liang & Fengyi Yuan, 2021. "Equilibrium master equations for time-inconsistent problems with distribution dependent rewards," Papers 2112.14462, arXiv.org, revised Apr 2022.
    78. Esben Kryger & Maj-Britt Nordfang & Mogens Steffensen, 2020. "Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 91(3), pages 405-438, June.
    79. Cong, F. & Oosterlee, C.W., 2016. "On pre-commitment aspects of a time-consistent strategy for a mean-variance investor," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 178-193.
    80. Yu-Jui Huang & Zhenhua Wang, 2020. "Optimal Equilibria for Multi-dimensional Time-inconsistent Stopping Problems," Papers 2006.00754, arXiv.org, revised Jan 2021.
    81. Dong-Mei Zhu & Jia-Wen Gu & Feng-Hui Yu & Tak-Kuen Siu & Wai-Ki Ching, 2021. "Optimal pairs trading with dynamic mean-variance objective," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 94(1), pages 145-168, August.
    82. van Staden, Pieter M. & Dang, Duy-Minh & Forsyth, Peter A., 2021. "The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors," European Journal of Operational Research, Elsevier, vol. 289(2), pages 774-792.
    83. Liang, Zongxia & Zhao, Xiaoyang, 2016. "Optimal mean–variance efficiency of a family with life insurance under inflation risk," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 164-178.

  4. Tomas Björk & Mark Davis & Camilla Landén, 2010. "Optimal investment under partial information," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(2), pages 371-399, April.
    See citations under working paper version above.
  5. Fredrik Armerin & Bjarne Astrup Jensen & Tomas Bjork, 2007. "Term Structure Models with Parallel and Proportional Shifts," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(3), pages 243-260.
    See citations under working paper version above.
  6. Francesca Biagini & Tomas Björk, 2007. "On The Timing Option In A Futures Contract," Mathematical Finance, Wiley Blackwell, vol. 17(2), pages 267-283, April.
    See citations under working paper version above.
  7. Tomas Björk & Magnus Blix & Camilla Landén, 2006. "On Finite Dimensional Realizations For The Term Structure Of Futures Prices," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(03), pages 281-314.
    See citations under working paper version above.
  8. Tomas Björk & Irina Slinko, 2006. "Towards a General Theory of Good-Deal Bounds," Review of Finance, European Finance Association, vol. 10(2), pages 221-260.
    See citations under working paper version above.
  9. Tomas Björk & Henrik Hult, 2005. "A note on Wick products and the fractional Black-Scholes model," Finance and Stochastics, Springer, vol. 9(2), pages 197-209, April.
    See citations under working paper version above.
  10. Camilla Landén & Tomas Björk, 2002. "On the construction of finite dimensional realizations for nonlinear forward rate models," Finance and Stochastics, Springer, vol. 6(3), pages 303-331.
    See citations under working paper version above.
  11. Tomas Björk & Lars Svensson, 2001. "On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models," Mathematical Finance, Wiley Blackwell, vol. 11(2), pages 205-243, April.
    See citations under working paper version above.
  12. Tomas BjÃrk & Andrea Gombani, 1999. "Minimal realizations of interest rate models," Finance and Stochastics, Springer, vol. 3(4), pages 413-432.

    Cited by:

    1. Haitao Li & Xiaoxia Ye, 2013. "A Type of HJM Based Affine Model: Theory and Empirical Evidence," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    2. Björk, Tomas, 2003. "On the Geometry of Interest Rate Models," SSE/EFI Working Paper Series in Economics and Finance 545, Stockholm School of Economics.
    3. Eckhard Platen & Stefan Tappe, 2011. "Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics," Research Paper Series 289, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. Björk, Tomas, 2000. "A Geometric View of Interest Rate Theory," SSE/EFI Working Paper Series in Economics and Finance 419, Stockholm School of Economics, revised 21 Dec 2000.
    5. Björk, Tomas & Landen, Camilla, 2000. "On the construction of finite dimensional realizations for nonlinear forward rate models," SSE/EFI Working Paper Series in Economics and Finance 420, Stockholm School of Economics.
    6. Gombani, Andrea & Jaschke, Stefan R. & Runggaldier, Wolfgang J., 2005. "A filtered no arbitrage model for term structures from noisy data," Stochastic Processes and their Applications, Elsevier, vol. 115(3), pages 381-400, March.
    7. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.
    8. Fred Espen Benth & Paul Kruhner, 2014. "Representation of infinite dimensional forward price models in commodity markets," Papers 1403.4111, arXiv.org.
    9. Björk, Tomas & Landén, Camilla & Svensson, Lars, 2002. "Finite dimensional Markovian realizations for stochastic volatility forward rate models," SSE/EFI Working Paper Series in Economics and Finance 498, Stockholm School of Economics, revised 07 May 2002.
    10. Fred Benth & Jukka Lempa, 2014. "Optimal portfolios in commodity futures markets," Finance and Stochastics, Springer, vol. 18(2), pages 407-430, April.
    11. Carl Chiarella & Oh-Kang Kwon, 1999. "Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model," Research Paper Series 5, Quantitative Finance Research Centre, University of Technology, Sydney.
    12. Andrea Gombani & Wolfgang J. Runggaldier, 2001. "A Filtering Approach To Pricing In Multifactor Term Structure Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 4(02), pages 303-320.
    13. Carl Chiarella & Oh-Kang Kwon, 2001. "State Variables and the Affine Nature of Markovian HJM Term Structure Models," Research Paper Series 52, Quantitative Finance Research Centre, University of Technology, Sydney.
    14. Li, Haitao & Ye, Xiaoxia & Yu, Fan, 2020. "Unifying Gaussian dynamic term structure models from a Heath–Jarrow–Morton perspective," European Journal of Operational Research, Elsevier, vol. 286(3), pages 1153-1167.
    15. Likuan Qin & Vadim Linetsky, 2018. "Long-term factorization in Heath–Jarrow–Morton models," Finance and Stochastics, Springer, vol. 22(3), pages 621-641, July.
    16. Raquel M. Gaspar & Mariana Khapko, 2023. "In memoriam: Tomas Björk (1947–2021)," Finance and Stochastics, Springer, vol. 27(4), pages 867-885, October.
    17. Stefan Tappe, 2019. "An alternative approach on the existence of affine realizations for HJM term structure models," Papers 1907.03256, arXiv.org.
    18. Stefan Tappe, 2019. "Existence of affine realizations for L\'evy term structure models," Papers 1907.02363, arXiv.org.
    19. Leitner, Johannes, 2000. "Convergence of Arbitrage-free Discrete Time Markovian Market Models," CoFE Discussion Papers 00/07, University of Konstanz, Center of Finance and Econometrics (CoFE).
    20. C. D. D. Neumann, 2007. "On the structure of Gaussian pricing models and Gaussian Markov functional models," Quantitative Finance, Taylor & Francis Journals, vol. 7(5), pages 487-496.
    21. Claudio Fontana & Giacomo Lanaro & Agatha Murgoci, 2024. "The geometry of multi-curve interest rate models," Papers 2401.11619, arXiv.org.
    22. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.

  13. Tomas Björk & Bent Jesper Christensen, 1999. "Interest Rate Dynamics and Consistent Forward Rate Curves," Mathematical Finance, Wiley Blackwell, vol. 9(4), pages 323-348, October.
    See citations under working paper version above.
  14. Bjork, Tomas & Christensen, Bent Jesper & Gombani, Andrea, 1998. "Some system theoretic aspects of interest rate theory," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 17-23, May.

    Cited by:

    1. Raquel M. Gaspar & Mariana Khapko, 2023. "In memoriam: Tomas Björk (1947–2021)," Finance and Stochastics, Springer, vol. 27(4), pages 867-885, October.

  15. Tomas Björk & Bertil Näslund, 1998. "Diversified Portfolios in Continuous Time," Review of Finance, European Finance Association, vol. 1(3), pages 361-387.
    See citations under working paper version above.
  16. Tomas Björk & Yuri Kabanov & Wolfgang Runggaldier, 1997. "Bond Market Structure in the Presence of Marked Point Processes," Mathematical Finance, Wiley Blackwell, vol. 7(2), pages 211-239, April.

    Cited by:

    1. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2010. "Real-world jump-diffusion term structure models," Quantitative Finance, Taylor & Francis Journals, vol. 10(1), pages 23-37.
    2. Camilla LandÊn, 2000. "Bond pricing in a hidden Markov model of the short rate," Finance and Stochastics, Springer, vol. 4(4), pages 371-389.
    3. Chenghu Ma, 2003. "Term Structure of Interest Rates in the Presence of Levy Jumps: The HJM Approach," Annals of Economics and Finance, Society for AEF, vol. 4(2), pages 401-426, November.
    4. Bhar, Ramaprasad & Colwell, David B. & Xiao, Yuewen, 2013. "A jump diffusion model for spot electricity prices and market price of risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(15), pages 3213-3222.
    5. Tomas Björk & Bent Jesper Christensen, 1999. "Interest Rate Dynamics and Consistent Forward Rate Curves," Mathematical Finance, Wiley Blackwell, vol. 9(4), pages 323-348, October.
    6. Markus Junker & Alexander Szimayer & Niklas Wagner, 2004. "Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications," Econometrics 0401007, University Library of Munich, Germany.
    7. John Crosby, 2008. "A multi-factor jump-diffusion model for commodities," Quantitative Finance, Taylor & Francis Journals, vol. 8(2), pages 181-200.
    8. Bruno Bouchard & Emmanuel Lepinette & Erik Taflin, 2013. "Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs," Papers 1302.0361, arXiv.org.
    9. Claudio Fontana & Simone Pavarana & Wolfgang J. Runggaldier, 2023. "A stochastic control perspective on term structure models with roll-over risk," Finance and Stochastics, Springer, vol. 27(4), pages 903-932, October.
    10. Morten Christensen & Eckhard Platen, 2004. "A General Benchmark Model for Stochastic Jump Sizes," Research Paper Series 139, Quantitative Finance Research Centre, University of Technology, Sydney.
    11. Jirô Akahori & Takahiro Tsuchiya, 2006. "What is the Natural Scale for a Lévy Process in Modelling Term Structure of Interest Rates?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(4), pages 299-313, December.
    12. Darrel Duffie & Damir Filipović & Walter Schachermayer, 2002. "Affine Processes and Application in Finance," NBER Technical Working Papers 0281, National Bureau of Economic Research, Inc.
    13. Wang, Shin-Yun & Lin, Shih-Kuei, 2010. "The pricing and hedging of structured notes with systematic jump risk: An analysis of the USD knock-out reversed swap," International Review of Economics & Finance, Elsevier, vol. 19(1), pages 106-118, January.
    14. Hinnerich, Mia, 2008. "Inflation-indexed swaps and swaptions," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2293-2306, November.
    15. Micha{l} Barski & Jacek Jakubowski & Jerzy Zabczyk, 2008. "On incompleteness of bond markets with infinite number of random factors," Papers 0809.2270, arXiv.org, revised Jan 2016.
    16. Muck, Matthias, 2010. "Trading strategies with partial access to the derivatives market," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1288-1298, June.
    17. Antje Berndt & Peter Ritchken & Zhiqiang Sun, 2010. "On Correlation and Default Clustering in Credit Markets," The Review of Financial Studies, Society for Financial Studies, vol. 23(7), pages 2680-2729, July.
    18. Gapeev, Pavel V., 2004. "On arbitrage and Markovian short rates in fractional bond markets," Statistics & Probability Letters, Elsevier, vol. 70(3), pages 211-222, December.
    19. Damir Filipović & Stefan Tappe, 2008. "Existence of Lévy term structure models," Finance and Stochastics, Springer, vol. 12(1), pages 83-115, January.
    20. Carl Chiarella & Christina Nikitopoulos-Sklibosios, 2004. "A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework," Research Paper Series 132, Quantitative Finance Research Centre, University of Technology, Sydney.
    21. Wolfgang J. Runggaldier, 2022. "An Italian perspective on the development of financial mathematics from 1992 to 2008," Finance and Stochastics, Springer, vol. 26(1), pages 5-31, January.
    22. Ole E. Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2001. "Some recent developments in stochastic volatility modelling," Economics Papers 2001-W25, Economics Group, Nuffield College, University of Oxford.
    23. Nicola Bruti-Liberati & Eckhard Platen, 2006. "On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance," Research Paper Series 179, Quantitative Finance Research Centre, University of Technology, Sydney.
    24. Björk, Tomas & Landen, Camilla, 2000. "On the Term Structure of Futures and Forward Prices," SSE/EFI Working Paper Series in Economics and Finance 0417, Stockholm School of Economics, revised 20 Dec 2000.
    25. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.
    26. Karl Friedrich Mina & Gerald H. L. Cheang & Carl Chiarella, 2015. "Approximate Hedging Of Options Under Jump-Diffusion Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(04), pages 1-26.
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    71. Li, Han & Liu, Haibo & Tang, Qihe & Yuan, Zhongyi, 2023. "Pricing extreme mortality risk in the wake of the COVID-19 pandemic," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 84-106.
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    73. Nicola Bruti-Liberati & Eckhard Platen, 2005. "On the Strong Approximation of Jump-Diffusion Processes," Research Paper Series 157, Quantitative Finance Research Centre, University of Technology, Sydney.
    74. Mauricio Junca & Rafael Serrano, 2014. "Utility maximization in pure-jump models driven by marked point processes and nonlinear wealth dynamics," Papers 1411.1103, arXiv.org, revised Sep 2015.
    75. Colino, Jesús P. & Nogales, Francisco J. & Stute, Winfried, 2008. "LIBOR additive model calibration to swaptions markets," DES - Working Papers. Statistics and Econometrics. WS ws085619, Universidad Carlos III de Madrid. Departamento de Estadística.
    76. Claudio Fontana & Simone Pavarana & Wolfgang J. Runggaldier, 2023. "A stochastic control perspective on term structure models with roll-over risk," Papers 2304.04453, arXiv.org, revised Oct 2023.
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  17. Giovanni Di Masi & Tomas Björk & Wolfgang Runggaldier & Yuri Kabanov, 1997. "Towards a general theory of bond markets (*)," Finance and Stochastics, Springer, vol. 1(2), pages 141-174.
    See citations under working paper version above.
  18. Björk, Tomas & Johansson, Björn, 1996. "Parameter estimation and reverse martingales," Stochastic Processes and their Applications, Elsevier, vol. 63(2), pages 235-263, November.
    See citations under working paper version above.
  19. Björk, Tomas & Johansson, Björn, 1992. "Adaptive prediction and reverse martingales," Stochastic Processes and their Applications, Elsevier, vol. 43(2), pages 191-222, December.

    Cited by:

    1. Björk, Tomas & Johansson, Bjorn, 1995. "Parameter Estimation and Reverse Martingales," SSE/EFI Working Paper Series in Economics and Finance 79, Stockholm School of Economics.
    2. Raquel M. Gaspar & Mariana Khapko, 2023. "In memoriam: Tomas Björk (1947–2021)," Finance and Stochastics, Springer, vol. 27(4), pages 867-885, October.

Books

  1. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.

    Cited by:

    1. Gauthier Tshiswaka-Kashalala & Steven F. Koch, 2015. "The Demand for Reproductive Health Care," Working Papers 533, Economic Research Southern Africa.
    2. Shah, Anand, 2016. "Pricing and Risk Mitigation Analysis of a Cyber Liability Insurance using Gaussian, t and Gumbel Copulas – A case for Cyber Risk Index," MPRA Paper 111968, University Library of Munich, Germany.
    3. Battulga Gankhuu, 2021. "Options Pricing under Bayesian MS-VAR Process," Papers 2109.05998, arXiv.org, revised May 2023.
    4. Mondher Bellalah & Yaosheng Xu & Detao Zhang, 2019. "Intertemporal optimal portfolio choice based on labor income within shadow costs of incomplete information and short sales," Annals of Operations Research, Springer, vol. 281(1), pages 397-422, October.
    5. Will Hicks, 2020. "Pseudo-Hermiticity, Martingale Processes and Non-Arbitrage Pricing," Papers 2009.00360, arXiv.org, revised Apr 2021.
    6. Mordecki, Ernesto & Rodríguez, Andrés Sosa, 2021. "Country risk for emerging economies: a dynamical index proposal with a case study," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 40(2), April.
    7. Timothy DeLise, 2021. "Neural Options Pricing," Papers 2105.13320, arXiv.org.
    8. Azadeh Naderifard & Elham Dastranj & S. Reza Hejazi, 2018. "Exact solutions for time-fractional Fokker–Planck–Kolmogorov equation of Geometric Brownian motion via Lie point symmetries," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-15, June.
    9. Frank J. Fabozzi & Robert J. Shiller & Radu S. Tunaru, 2012. "A Pricing Framework for Real Estate Derivatives," European Financial Management, European Financial Management Association, vol. 18(5), pages 762-789, November.
    10. R. S. Tunaru, 2018. "Dividend derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 63-81, January.
    11. R. Vilela Mendes & M. J. Oliveira & A. M. Rodrigues, 2012. "The fractional volatility model: No-arbitrage, leverage and completeness," Papers 1205.2866, arXiv.org.
    12. Wang, Jingxing & Chung, Seokhyun & AlShelahi, Abdullah & Kontar, Raed & Byon, Eunshin & Saigal, Romesh, 2021. "Look-ahead decision making for renewable energy: A dynamic “predict and store” approach," Applied Energy, Elsevier, vol. 296(C).
    13. Leung, Melvern & Fung, Man Chung & O’Hare, Colin, 2018. "A comparative study of pricing approaches for longevity instruments," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 95-116.
    14. Leccadito, Arturo & Paletta, Tommaso & Tunaru, Radu, 2016. "Pricing and hedging basket options with exact moment matching," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 59-69.
    15. Samim Ghamami, 2015. "Derivatives Pricing under Bilateral Counterparty Risk," Finance and Economics Discussion Series 2015-26, Board of Governors of the Federal Reserve System (U.S.).
    16. Alvise De Col & Alessandro Gnoatto & Martino Grasselli, 2012. "Smiles all around: FX joint calibration in a multi-Heston model," Papers 1201.1782, arXiv.org, revised Jun 2013.
    17. Battulga Gankhuu, 2021. "Rainbow Options under Bayesian MS-VAR Process," Papers 2112.10447, arXiv.org, revised May 2023.
    18. Oldouz Samimi & Farshid Mehrdoust, 2018. "Pricing multi-asset American option under Heston stochastic volatility model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(03), pages 1-16, September.
    19. John Armstrong & Claudio Bellani & Damiano Brigo & Thomas Cass, 2018. "Option pricing models without probability: a rough paths approach," Papers 1808.09378, arXiv.org, revised Jul 2020.
    20. Mahringer, Steffen & Fuess, Roland & Prokopczuk, Marcel, 2015. "Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach," Working Papers on Finance 1512, University of St. Gallen, School of Finance.
    21. Mondher Bellalah & Xu Guo & Shuo Wu & Detao Zhang, 2022. "General equilibrium with heterogeneous participants and continuous consumption with information costs and short selling constraints," Annals of Operations Research, Springer, vol. 313(2), pages 713-732, June.
    22. Stanescu, Silvia & Tunaru, Radu & Candradewi, Made Reina, 2014. "Forward–futures price differences in the UK commercial property market: Arbitrage and marking-to-model explanations," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 177-188.
    23. Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2013. "Option-based risk management of a bond portfolio under regime switching interest rates," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 36(1), pages 47-70, May.
    24. HABIBI, Reza, 2021. "Role Of Early Warning Systems In Predicting The Stock Price Crisis: What We Learnt From Grasshopper And Ants Fable," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 25(2), pages 6-20, June.
    25. Dirk Hackbarth & Bart Taub, 2022. "Does the Potential to Merge Reduce Competition?," Management Science, INFORMS, vol. 68(7), pages 5364-5383, July.
    26. Battulga Gankhuu, 2021. "Equity--Linked Life Insurances on Maximum of Several Assets," Papers 2111.04038, arXiv.org, revised Aug 2023.
    27. Zahra Sokoot & Navideh Modarresi & Farzaneh Niknejad, 2017. "Modeling credit default swap premiums with stochastic recovery rate," Papers 1706.05703, arXiv.org.
    28. Nelson Christopher Dzupire & Philip Ngare & Leo Odongo, 2019. "Pricing Basket Weather Derivatives on Rainfall and Temperature Processes," IJFS, MDPI, vol. 7(3), pages 1-14, June.
    29. Mondher Bellalah & Detao Zhang & Panpan Zhang, 2023. "An optimal portfolio and consumption problem with a benchmark and partial information," Mathematics and Financial Economics, Springer, volume 17, number 6, June.
    30. Fung, Man Chung & Ignatieva, Katja & Sherris, Michael, 2014. "Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 103-115.
    31. Antulio N. Bomfim, 2022. "Credit Default Swaps," Finance and Economics Discussion Series 2022-023, Board of Governors of the Federal Reserve System (U.S.).
    32. Joshua R. Hendrickson & Alexander William Salter, 2020. "Options To The Realm: A Cost Neutral Proposal To Improve Political Incentives," Contemporary Economic Policy, Western Economic Association International, vol. 38(3), pages 515-529, July.
    33. Hyungbin Park, 2014. "Pricing and Hedging Long-Term Options," Papers 1410.8160, arXiv.org, revised Mar 2016.
    34. Andr'es Sosa & Ernesto Mordecki, 2015. "Modelling the Uruguayan debt through gaussians models," Papers 1508.00108, arXiv.org.
    35. Raquel M. Gaspar, 2016. "On Path–dependency of Constant Proportion Portfolio Insurance strategies," EcoMod2016 9381, EcoMod.
    36. Alexander M. G. Cox & Christoph Hoeggerl, 2013. "Model-independent no-arbitrage conditions on American put options," Papers 1301.5467, arXiv.org.
    37. Mondher Bellalah & Detao Zhang & Panpan Zhang, 2020. "Optimal Portfolio Choice Under Shadow Costs with Fixed Assets when Time-Horizon Is Uncertain," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 5-20, June.
    38. Anna Maria Gambaro & Riccardo Casalini & Gianluca Fusai & Alessandro Ghilarducci, 2019. "A market-consistent framework for the fair evaluation of insurance contracts under Solvency II," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 157-187, June.
    39. Myles Sjogren & Timothy DeLise, 2021. "General Compound Hawkes Processes for Mid-Price Prediction," Papers 2110.07075, arXiv.org.
    40. Jihun Han & Hyungbin Park, 2014. "The Intrinsic Bounds on the Risk Premium of Markovian Pricing Kernels," Papers 1411.4606, arXiv.org, revised Sep 2015.
    41. Thomas Bernhardt & Catherine Donnelly, 2019. "Modern tontine with bequest: innovation in pooled annuity products," Papers 1903.05990, arXiv.org.
    42. Dorje C. Brody & Lane P. Hughston, 2018. "Social Discounting And The Long Rate Of Interest," Mathematical Finance, Wiley Blackwell, vol. 28(1), pages 306-334, January.
    43. Samim Ghamami & Lisa R. Goldberg, 2014. "Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA," Finance and Economics Discussion Series 2014-54, Board of Governors of the Federal Reserve System (U.S.).
    44. Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2020. "A moment matching method for option pricing under stochastic interest rates," Papers 2005.14063, arXiv.org.
    45. Hyungbin Park, 2014. "Ross Recovery with Recurrent and Transient Processes," Papers 1410.2282, arXiv.org, revised Oct 2015.
    46. Aghakazemjourabbaf, Sara & Insley, Margaret, 2021. "Leaving your tailings behind: Environmental bonds, bankruptcy and waste cleanup," Resource and Energy Economics, Elsevier, vol. 65(C).
    47. Francesco Menoncin & Elena Vigna, 2013. "Mean-variance target-based optimisation in DC plan with stochastic interest rate," Carlo Alberto Notebooks 337, Collegio Carlo Alberto.
    48. Bernhardt, Thomas & Donnelly, Catherine, 2019. "Modern tontine with bequest: Innovation in pooled annuity products," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 168-188.
    49. Peter Christensen, 2024. "Roughness Signature Functions," Papers 2401.02819, arXiv.org.
    50. Anatoliy Swishchuk, 2021. "Merton Investment Problems in Finance and Insurance for the Hawkes-based Models," Papers 2104.02694, arXiv.org, revised May 2021.
    51. Battulga Gankhuu, 2022. "Augmented Dynamic Gordon Growth Model," Papers 2201.06012, arXiv.org, revised Aug 2023.
    52. Anatoliy Swishchuk, 2021. "Merton Investment Problems in Finance and Insurance for the Hawkes-Based Models," Risks, MDPI, vol. 9(6), pages 1-13, June.
    53. Yin-Hei (Michael) Cheng & Tony S. Wirjanto, 2013. "Pricing Financial Derivatives by Gram-Charlier Expansions," Working Paper series 61_13, Rimini Centre for Economic Analysis.
    54. Dorje C. Brody & Lane P. Hughston, 2013. "Social Discounting and the Long Rate of Interest," Papers 1306.5145, arXiv.org, revised Sep 2015.

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