KTH Mathematics  

Mathematical Statistics

Equilibrium theory in continuous time

A lecture series organized by KTH in collaboration with Stockholm School of Economics will take place at the premises of KTH.


Professor Tomas Björk (Stockholm School of Economics and KTH)

Course contents

  1. The connection between dynamic programming and the martingale method for optimal investments.
  2. Equilibrium in a simple production economy.
  3. The Cox-Ingersoll-Ross production equilibrium model, including the CIR interest rate model.
  4. Existence of the representative agent for multi-agent models.
  5. Endowment equilibrium models.
  6. Time permitting, we may also cover models with partial observations.


Necessary and sufficient prerequisites is Tomas Björk's PhD course "Continuous Time Finance". In operational terms this means knowledge of the following basic tools: Arbitrage theory, martingales measures and the relations to absence of arbitrage and market completeness, risk neutral valuation, stochastic analysis for Wiener driven processes, Girsanov transformations, change of numeraire, dynamic programming for stochastic control problems, the martingale approach to optimal investment problems.

Course format

The series will start in mid March (see below for details), there will be two lectures per week for four weeks. There will be a written exam at the end of the course and the course will count as 4 ECTS points.


The literature consists of
  1. Lecture notes,
  2. OH slides for the lectures.
There will also be requested readings of some classical papers in the field.

Travel stipend

There will be possibilities for doctoral students to apply for funding of travelling expenses. Please send a brief motivation and budget to Lisa Klein ( Lisa.Klein@hhs.se) at the Department of Finance (SSE), in order to apply.


  1. 2012-03-13 13:00 - 15:00 Lindstedtsvägen 5 Entreplan (D35)
  2. 2012-03-15 13:00 - 15:00 Lindstedtsvägen 5 Entreplan (D35)
  3. 2012-03-20 13:00 - 15:00 Lindstedtsvägen 5 Entreplan (D34)
  4. 2012-03-22 13:00 - 15:00 Lindstedtsvägen 5 Entreplan (D35)
  5. 2012-03-27 13:00 - 15:00 Lindstedtsvägen 5 Entreplan (D34)
  6. 2012-03-29 13:00 - 15:00 Lindstedtsvägen 5 Entreplan (D35)
  7. 2012-04-10 13:00 - 15:00 Lindstedtsvägen 5 Entreplan (D34)
  8. 2012-04-12 13:00 - 15:00 Lindstedtsvägen 5 Entreplan (D34)

For further information about the course, please contact Professor Tomas Björk.

To Mathematical Statistics
Published by: Filip Lindskog
Updated: 24/09-2010