We examine how to approximate a Lévy process by a hyperexponential jump-diffusion (HEJD) process, composed of Brownian motion and of an arbitrary number of sums of compound Poisson processes with double exponentially distributed jumps. This approximation will facilitate the pricing of exotic...

We investigate the presence of managerial skills in different categories of hedge funds. Our approach is more flexible that others [7, 10] since it does not make any a priori assumptions regarding the distribution of returns. We find that the Global Macro and Market Neutral funds do not follow a...