He covers the basic financial instruments; fundamental principles of financial modeling and arbitrage valuation of derivatives; the concept of conditional expectation, the discrete time binomial model and its application to stochastic finance; the most important results from the theory of martingales in the theory and application of stochastic finance; more advanced concepts such as the Randon-Nikodym derivative, equivalent martingale measure, non-arbitrage, and complete general markets; American derivative securities using the binomial model and general markets; fixed-income markets and the interest rate theory in discrete time; arbitrage pricing; credit risk; and the Heath-Jarrow-Morton model
for the evolution of forward rate process.
"The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques," Working Paper Series 54, School of Finance and Economics, University of Technology, Sydney.
"Transformation of Heath-Jarrow-Morton Models to Markovian Systems," Working Paper Series 53, School of Finance and Economics, University of Technology, Sydney.
Chiarella, 1997, "Transformation of Heath-Jarrow-Morton Models to Markovian Systems", European Journal of Finance 3, 1-26.