This article presents and compares two different Kalman filters. These methods provide a very interesting way to cope with the presence of non-observable variables, which is a frequent problem in finance. They are also very fast even in the presence of a large information volume. The first...

In order to enhance the understanding of the term structure of commodity prices, this article examines the temporal integration of the American crude oil futures market. The study relies on a database including futures prices for very long maturities (as far as seven years) and compares their...

This review article describes the main contributions in the literature on term structure models of commodity prices. The first section is devoted to the theoretical analysis of the term structure. It confines itself primarily to the traditional theories of commodity prices and to their...

In this article we present an introduction to various Filtering algorithms and some of their applications to the world of Quantitative Finance. We shall first mention the fundamental case of Gaussian noises where we obtain the well-known Kalman Filter. Because of common nonlinearities, we will...

The recent period has highlighted a well-known phenomenon, namely the existence of a positive bias in experts’ anticipations. Literature on this subject underlines optimism in the financial analyst community. In this work, our significant contributions are twofold: we provide explanatory bias...

Islamic and conventional investment funds have the same purpose. However, unlike conventional funds, Islamic funds offer different investment contracts and have to invest in accordance with a set of selection rules. This dissertation focuses on developing theoretical and empirical analysis...

This paper analyses the private equity fund compensation. We build a model to estimate the expected revenue of fund managers as a function of their investor contracts. We tried to evaluate the present value of the carried interest, which is one of the most common profit sharing arrangements...

Adding volatility exposure to an equity portfolio offers interesting opportunities for long-term investors. This article discusses the advantages of adding a long volatility strategy for a protection to a global European equity portfolio and to specific equity portfolios based in "core" or...