fundamental models, affine

Let's start with Filipovic's
1. Affine Diffusion Processes: Theory and Applications

P versus Q

http://www.garp.org/media/585808/feb%2041-44_quantclassroom.pdf

Fund Flow

DFA is still the top ten largest money manager.

http://corporate.morningstar.com/us/documents/FundFlows/FundFlowsMay2011.pdf

Survivor Derivatives

Cool Stuff...
including Survivor bond and Survivor Swaps...

inflation derivative

Fascinating.
I'm really into this now...

Reflected BSDE & Swing option

A form student of Protter had an unpublished thesis on the RBSDE & swing option, as well as some credit related stuff. Very interesting. There is some one working on this topic on this planet. I'm relieved...

http://ecommons.cornell.edu/bitstream/1813/13608/1/Diener,%20Nicolas.pdf

Reverse Convertibles

反向可转换债券？
值得看看

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