Papers and slides
FIRN Doctoral Tutorial 2010
Are firms with negative book equity in financial distress?
Tze Chuan Ang, University of Melbourne
Forecast performance of implied correlation
Chris Coleman-Fenn, Queensland University of Technology
The validity of the four-moment model and the roles of systematic skewness and systematic kurtosis in asset pricing
Minh Phuong Doan, RMIT University
Volatility and correlations for stock markets in the emerging economies of Central and Eastern Europe: implications for European investors
Anna Golab, Edith Cowan University
Modelling business interruption risk in supply chain networks
Matthias Juettner, University of Zurich
Pricing CDOs with time-varying recovery rates and default dependence
Chang Liu, University of Melbourne
Probabilistic forecasts of volatility and its risk premia
Worapree Maneesoonthorn, Monash University
Managerial incentives and internal capital allocation
Jenny Suh, University of Technology, Sydney
Algorithmic Hessians and the fast computation of cross-gamma risk
Chao Yang, University of Melbourne
Momentum, tax-loss selling and window dressing
Yaqiong Yao, University of Melbourne
FIRN Research Day in Finance 2010
Market reaction to negative environmental events: an event study of 10 oil and gas companies
Vitali Alexeev, University of Tasmania
CAViaR and the Australian stock markets: an appetiser
David Allen, Edith Cowan University
Stock option grants and firm value when directors cannot behave opportunistically
Bala Balachandran, La Trobe University
Portfolio allocation: getting the most out of realised volatility
Adam Clements, Queensland University of Technology
Are pairs trading profits robust to trading costs?
Robert Faff, University of Queensland
Dividend imputation in Australia: The value of franking credit balances
Richard Heaney, RMIT University
Over-investment induced by evaluating investments in money rather than utility
David Johnstone, University of Sydney
The dependence structure between carbon emission allowances and financial markets - a copula analysis
Stefan Trueck, Macquarie University
Workshop by Professor Alexander Szimayer (University of Bonn) and Dr Ulrich Noegel (DEVnet)
Derivatives and Structured Products After Sub-prime: The New Complexity of Insurance Products
Seminar by Dr Ulrich Noegel (DEVnet)
Option Pricing in Local and Stochastic Volatility Models
Seminar by Professor Alexander Szimayer (University of Bonn)
A Parsimonious Multi-Asset Heston Model: Calibration and Derivative Pricing
Seminar by Dr Ulrich Noegel (DEVnet)
Variable Annuities: The Complexity of Insurance Products
Seminar by Professor Alexander Szimayer (University of Bonn)
The Uncertain Force of Mortality Framework: Pricing Unit-Linked Life Insurance Contracts
FIRN Doctoral Tutorial 2009
Only those papers are available whose authors agreed to them being posted on the FIRN website. If only an abstract is available here, please contact the author directly to get the latest version of the full paper.
Capital Market Equilibrium in a Mean-Weighted Lower Partial Moment Framework - Sean Anthonisz, Macquarie University
Defaultable HJM Term Structure Models with Stochastic Volatility - Samuel Chege, University of Technology, Sydney
Institutional Trader Monitoring is a Substitute − Not Complement − for CEO Incentives: Theory and Evidence - Brandon Chen, University of New South Wales
Inferring arbitrage from trade logs: Do relative-value strategies dominate the law of one price? - Keith Godfrey, University of Western Australia
The Dynamic Prediction of Company Failure: The Influence of Time, the Economy and Non-Linearity - Maria Kim, University of Sydney
Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps - Yin Liao, Australian National University
Public Information Arrivals and Stock Price Changes - Huong Giang Nguyen, University of New South Wales
Testing For Periodically Collapsing Bubbles: an Augmented Sup ADF Test - Shuping Shi, Australian National University
What Determined the Debt Maturity Decisions of Australian Firms Prior to the Global Financial Crisis? - Kelvin Jui Keng Tan, University of Queensland
Dynamic currency risk hedging - Wei Zhang, University of Melbourne
FIRN Workshop Estimation and Portfolio Construction Issues for Asset Prices in the Presence of Fluctuating Volatility
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data - Article Yacine Ait-Sahalia
The risk-return tradeoff: A COGARCH analysis in favour of Merton's hypothesis - Presentation Ross Maller
The Efficient Frontier - a Bridge to VaR - Presentation Robert Durand
FIRN Research Day in Finance 2009
Do equity returns provide a hedge against inflation? An analysis of high frequency, cross-country and sector level data, 1975-2009 - Dogan Tirtiroglu - University of Adelaide
Transaction Sizes and Spreads: an Informational Approach - David Feldman, University of New South Wales
Errors in estimating Unexpected Accruals in the Presence of Large Changes in Net External Financing - Stephen Taylor, University of Technology, Sydney
CEO Compensation and the Threat of Institutional Investors - Brandon Chen, University of New South Wales
A Markov Regime Switching Model in Option Pricing - Stephen Chin, University of Melbourne
Time Consistency and Moving Horizons in Risk Measures - Sam Cohen, University of Adelaide
Fast Delta Computations in the Swap-rate Market Models - Chao Yang, University of Melbourne
Migration of Trading and the Introduction of Single Stock Futures on the Underlying U.S. Stocks - Thomas Henker, University of New South Wales
Order Book Slope and Price Volatility - Petko Kalev, Monash University
Information markets, analysts, and co-movement in stock returns - Jianfeng Shen, University of New South Wales
The Threat of Exit With Optimal Contracting: Institutional Churning Trades and Subsequent Firm Performance - Peter Swan, University of New South Wales
FIRN Master Class 2009
Contact the FIRN administrator for a copy of the slides: firn@uts.edu.au
FIRN Doctoral Tutorial 2008
A Closer Examination of Capital Structure Convergence and Persistence - Yangyang Chen
Comparisons for GSDEs on Markov Chains and Related No-Arbitrage Conditions - Samuel Cohen
Takeover Waves and Influences of Financial and Economic Factors: A Re-examination Using Markov Switching Model - Lien Duong
Shelf Registrations and Offerings: Intra-industry Effects - Sigitas Karpavicius
International Steam Coal Market Integration - Raymond Li
Foreign Currency Hedging and Firm Value: A Dynamic Panel Approach - Shane Magee
The Prevalence and Underpinnings of Closing Price Manipulation - Talis Putnins
A Binomial Model of Asset and Option Pricing with Heterogeneous Beliefs - Lei Shi
Governance Quality of Australian Industries: the Impact of Political Costs, Competition Intensity and Reforms - Maria Strydom
Debt Covenants, Agency Costs and Debt Maturity - Kelvin Tan
FIRN Symposium on Superannuation and Retirement Planning
An Experiemental Survey of Investment Decisions for Retirement Savings - Hazel Bateman
Financial Plans for Baby Boomers: How Much Risk? - Geoff Kingston
Normative Influence on Retirement Savings Decisions: Do People Care What Employers and the Government Want? - Paul Gerrans
Mortality and the Economy: Is the Financial Crisis Going to Kill Us? - Genevieve Hayes
FIRN Research Day in Finance 2008
The Efficient Frontier: A Bridge to VaR - Robert Durand
The CAPM Relation for Inefficient Portfolios - David Feldman
Do Credit Watch Procedures Act as Coordination Mechanisms? - Robert Faff
Executive Pay, Talent and Firm Size - Peter Swan
Government Bailout Policy: Transparency vs. Constructive Ambiguity - Ning Gong
Foreign Investors' Trading Disadvantage in U.S. Stock Markets - Jerry Parwada
Realized Volatility Uncertainty - David Allen
The Short-term Dynamics of Information Risk - Thomas Henker
Oil Price Dynamics and Returns of Renewable Energy Companies - Stefan Trueck
Credit Derivatives and CDOs - Workshop by Ulrich Noegel
Presentation Fraunhofer Institute
Credit Derivatives Modelling
Copulas
Pricing of CDOs
CDO Models
Fitch VECTOR
Lessons from Subprime Crisis
Option Pricing in Local and Stochastic Volatility Models - Ulrich Noegel
Presentation at UTS
FIRN Master Class 2008
Market Microstructure - Albert S. Kyle
Reading list
From Rational Expectations to Market Microstructure
Market Microstructure in Continuous Time
Financial Intermediation - Mark Flannery
Financial Intermediation in Perspective
Microeconomics: Banks as Firms
Value Added on the Lending Side
Regulation and Basel II
Finance and Growth
Securitization
An Introduction to Discrete-time Valuation - Anthony Lynch
Introduction
Equilibrium Pricing: Representative Agent
Conditional versus Unconditional Beta Pricing Models
Albert S. Kyle - Seminar Series 2008
Cash Settlement, Price Manipulation, and the Modigliani-Miller Theorem
Presentation Slides
How to Define Illegal Price Manipulation
Presentation Slides
Workshop on Stochastic Analysis and its Applications in Finance and Insurance
Presentation slides
Marc Yor, Penalizing Brownian Paths
Daniel Dufresne, On Sums of Lognormals
Andrew Lyasoff, Some New Results on the Integral of Geometric Brownian Morion and the Pricing of Asian Options
Aleksandar Mijatovic, Spectral Properties of Markov Chains
John van der Hoek, Binomial Approximations in Finance
Lioudmila Vostrikova, On Regularity Properties of Bessel Flows
Constantinos Kardaras, Pricing and Hedging Barrier Options in Diffusion Models via 3-dimensional Bessel Processes
Peter Buchen, On Pricing double Barrier Options
Hardy Hulley, Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options
Mark Craddock, Lie Symmetry Methods for Transition Densities and Expectations
Juri Hinz, On Price Dynamics of Emission Credits
FIRN Doctoral Tutorial 2007
Karol Binkowski, Pricing of European Options Using Empirical Characteristic Functions
Discussion
Ashley Evans, A Directional Multiplicative Intensity for Credit Migrations
Discussion
Kar Mei Tang, The informational content of broker identifiers
Discussion
John Gould, The Joint Hedging and Leverage Decision
Discussion
Youyou Luo, Australian managed funds survivorship: Evidence across fund categories
Discussion
KianPing Lim, Cross-Country Determinants of Weak-Form Stock Market Efficiency
Discussion
Andre Levy and Peter L. Swan, The Liquidity Component of the Equity Premium
Discussion
Humphrey, Benson, and Brailsford, Investors Appetite for Returns: Further Analysis of Aggregate Fund Flow Discussion
Jing Tian, Economic Value of Stock Return Forecasts
Discussion
Bin Li, Testing Consumption-based Asset Pricing Models in Australia
Discussion