Papers and slides

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