The purpose of this essay is to give an overview of some recent workconcerning structural properties of the evolution of the forward rate curve in an arbitrage free bond market. The main problems to be discussed are as follows. 1. When is a given forward rate model consistent with a given family...

The binomial model -- A more general one period model -- Stochastic integrals -- Differential equations -- Portfolio dynamics -- Arbitrage pricing -- Completeness and hedging -- Parity relations and delta hedging -- The Martingale approach to arbitrage theory -- The mathematics of the Martingale...

In this paper, which is a substantial extension of the earlier essay Björk (2001), we give an overview of some recent work on the geometric properties of the evolution of the forward rate curve in an arbitrage free bond market. The main problems to be discussed are as follows. 1. When is a...

The theory of marked point processes on the real line is of great and increasing importance in areas such as insurance mathematics, queuing theory and financial economics. However, the theory is often viewed as technically and conceptually difficult and has proved to be a block for PhD students...