The aim of the paper is to introduce a rigorous mathematical modellization of the Constant Proportion Portfolio Insurance (CPPI), with as principal aims: to capture the characteristic of the portfolio's distribution, to analyze the properties of the return/risk profile and to identify a...

The Jarrow and Yildirim model for pricing inflation indexed derivatives is still the main reference technique adopted in the inflation market. Despite its popularity it has several shortcomings, the most immediate of which is the difficulty of calibration to market prices of options. The model...

Stock returns forecasting is one of the major objectives of financial analysts. Equity Analysts' forecasts, on the other side, are one of the major sources of information used by less informed investors in their asset allocation decisions. Therefore, analysing which major drivers affect time...

Due to the complexity and heterogeneity of hedge fund strategies, assessing their performance is a challenging task. Reminiscent of the mutual fund industry, the literature has evolved in the direction of refining traditional measures (e.g. the Sharpe ratio) or introducing new ones. This paper...

The article shows statistically that the VIX Implied Volatility Index is an important driver of the Samp;P 500 future returns. The statistical analysis is performed by means of a regression based on dummy variables in order to circumvent the difficulties posed by the lack of linearity between...