Search Results - person:"Oeuvray, Rodrigue"

On time scaling of semivariance in a jump-diffusion process

Oeuvray, Rodrigue; Junod, Pascal - arXiv.org - 2013

The aim of this paper is to examine the time scaling of the semivariance when returns are modeled by various types of jump-diffusion processes, including stochastic volatility models with jumps in returns and in volatility. In particular, we derive an exact formula for the semivariance when the...

Persistent link: https://www.econbiz.de/10010705834

Non-fully invested derivative-free bond index replication

Markov, Iliya; Oeuvray, Rodrigue; Tuchschmid, Nils S. - In: Financial markets and portfolio management 27 (2013) 1, pp. 101-124

Persistent link: https://www.econbiz.de/10009720944

Derivative-Free Replication of a Bond Benchmark with a Fraction of the Portfolio

Markov, Iliya - 2013

The problem we address here is the replication of a bond benchmark when only a fraction of the portfolio is invested for the replication. Our methodology is based on a minimization of the tracking error subject to a set of constraints, namely (1) the fraction invested for the replication, (2) a...

Persistent link: https://www.econbiz.de/10013091399

Non-fully invested derivative-free bond index replication

Markov, Iliya; Oeuvray, Rodrigue; Tuchschmid, Nils - In: Financial Markets and Portfolio Management 27 (2013) 1, pp. 101-124

Persistent link: https://www.econbiz.de/10010987748

Non-fully invested derivative-free bond index replication

Markov, Iliya; Oeuvray, Rodrigue; Tuchschmid, Nils S. - In: Financial markets and portfolio management 27 (2013) 1, pp. 101-124

Persistent link: https://www.econbiz.de/10010091769