The teacher for this part of the course is Jesper Lund, email: mail@JesperLund.com. The other parts of the course are taught by Tom Engsted and Carsten Tanggaard, both from the Aarhus School of Business.

• Course outline (syllabus)
  • Lectures 7-8: November 20-21, 2002
  • Lectures 9-10: December 11-12, 2002
• Lecture Notes
  • Review of Continuous-Time Term-Structure Models - Part I: equilibrium models
  • Review of GMM (slides format). Danish-speaking students may find the following lecture note on GMM useful (it was written for an empirical finance course that I teach at the Copenhagen Business School).
• Slides
  • Slides for lectures 7-8: November 20-21, 2002
  • Slides for lecture 9: December 11, 2002
  • Slides for lecture 10: December 12, 2002
• Exercises
  • Exercises for lectures 7+8 (including two take-home problems)
  • Data file for take home problem 2 (yields.txt)
  • Exercises for lectures 9+10
• Solutions to Exercises
  • Solutions to problems I-4, I-5, I-7, I-8, I-9, I-10, and I-11 (from lectures 7+8)
  • Solutions to the two take-home problems handed out on November 20-21
  • Solutions to problems II-2, II-3, II-4, II-5, II-6, II-7, II-8, and II-11 (from lectures 9+10)