Term Structure

• TSM: Course Notes»
  TSM: Problems»
• Term-structure models a review
• Credit Risk Modelling and Credit Derivatives
• Fixed Income Models, Princeton University, 2002 (pdf)
• "Affine term structure models" prepared for the Handbook of Financial Econometrics.
• Consistency Problems for HJM Interest Rate Models, PhD thesis, ETH Zurich, 2000 (pdf)
• Affine Processes and Applications in Finance (with Darrell Duffie and Walter Schachermayer), The Annals of Applied Probability 13, 2003 (pdf)
• Homepage for Damir Filipovic
• A Geometric View of Interest Rate Theory
• Tomas Björk Downloadable Papers
• Interest Rate Dynamics and Consistent Forward Rate Curves
  Tomas Björk and Bent Jesper Christensen, (1997)