We propose a simple class of semiparametric multivariate GARCH models, allowing for asymmetric volatilities and time-varying conditional correlations. Estimates for time-varying conditional correlations are constructed by means of a convex combination of estimates for averaged correlations...

We propose a multivariate nonparametric technique for generating reliable scenarios and confidence intervals for the term structure of interest rates from historical data. The approach is based on a functional gradient descent (FGD) estimation of the conditional mean vector and the conditional...

Extreme Value Theory (EVT) has develop ed very rapidly over the past two decades both methodologically and with respect to applications. Whereas (non–life) actuaries have, at least implicitly, used EVT techniques for a long time, mainly through the emergence of quantitative Risk Management, EVT...

We consider the modelling of rare events in financial time series,and introduce a marked point process model for the excesses of thetime series over a high threshold that combines a self-exciting processfor the exceedances with a mark (size) dependent process. This allowsrealistic models for...

The American put is one of the oldest problems in mathematical finance. We review the development of the relevant literature over the last 40 years. Today the mainstream computational problems have been solved satisfactorily and the target of research is shifting towards the development of...

We cionsider semiparmetric assymetric kernel density estimators when the unkonwn density has support on [0,∞). We provide a unifying framework which contains assymmetric kernel versions of several semiparametric density estimators considered previously in the literature. This framework allows...

We show that the volatility of a price process, which is usuallyregarded as an impediment to financial growth, can serve as an en-dogenous factor in its acceleration.

In this paper, we characterize explicitly the first derivative of the Value at Risk and the Expected Shortfall with respect to portfolio allocation when netting between positions exists. As a particular case, we examine a simple Gaussian example in order to illustrate the impact of netting...

This paper explores the structure of optimal investment strategies using stochastic programming and duality theory in investment portfolios containing options for a hedge fund manager who attempts to beat a benchmark. Explicit optimal conditions for option investments are obtained for several...

This paper presents a theoretical study of how incentives affect hedge fund risk and returns and an empirical study of the performance of a large group of operating hedge funds. Most hedge fund managers receive a flat fee plus a share of the returns above a certain benchmark. We investigate how...