Books
Fixed Income Modelling (2011)
576 pages. Oxford University Press.
ISBN 978-0-19-957508-4.
Level: Introductory Ph.D. or advanced MSc courses.
Available as hardback, paperback, and ebook.
See a short presentation of the book and the table of contents.
Financial Asset Pricing Theory (2013)
585 pages. Oxford University Press.
ISBN 978-0-19-958549-6.
Level: Ph.D. or advanced MSc courses.
Available as hardback, paperback, and ebook.
See a short presentation of the book and the table of contents.
Supplements for Financial Asset Pricing Theory
Slides: Chap01 - Chap02 - Chap03 - Chap04 - Chap05 - Chap06 - Chap07 - Chap08 - Chap09 - Chap10 - Chap11 - Chap12 - Chap13
If you are using the book in your teaching, you can get a pdf file with solutions to most of the problems in the book by emailing me. Please explain who you are and what class you're teaching.
Contributions to books
Pension Product Design and Relations to the Danish Market. With Søren Fiig Jarner and Mogens Steffensen. Chapter 4 in "The Danish Pension System: Design, Performance and Challenges", edited by Torben M. Andersen, Svend Erik Hougaard Jensen, and Jesper Rangvid. Oxford University Press, 2022.