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Survival, Look-Ahead Bias and the Persistence in Hedge Fund Performance

Verbeek, Marno; Baquero, G.; ter Horst, ter Horst, J.R. - Erasmus Research Institute of Management (ERIM), … - 2002

Hedge funds databases are typically subject to high attrition rates because of fund termination and self-selection. Even when all funds are included up to their last available return, one cannot prevent that ex post conditioning biases a.ect standard estimates of performance persistence. In this...

Persistent link: https://www.econbiz.de/10010731037

Generic Market Models

Pietersz, Raoul; van Regenmortel, M. - Erasmus Research Institute of Management (ERIM), … - 2005

Currently, there are two market models for valuation and risk management of interest rate derivatives, the LIBOR and swap market models. In this paper, we introduce arbitrage-free constant maturity swap (CMS) market models and generic market models featuring forward rates that span periods other...

Persistent link: https://www.econbiz.de/10010731227

Fat Tails in Power Prices

Huisman, Huisman, R.; Huurman, C. - Erasmus Research Institute of Management (ERIM), … - 2003

show that the hypothesis of normality is rejected due to significant tail fatness and skewness. We then examine the Student …

Persistent link: https://www.econbiz.de/10010731381

An Empirical Comparison of Default Swap Pricing Models

Houweling, Patrick; Vorst, Ton - Faculteit der Economische Wetenschappen, Erasmus … - 2002

Abstract: In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default swap premiums. We find that the model works...

Persistent link: https://www.econbiz.de/10010731658

Efficient Rank Reduction of Correlation Matrices

Pietersz, Raoul; Grubisic, Grubisic, I. - Erasmus Research Institute of Management (ERIM), … - 2005

Geometric optimisation algorithms are developed that efficiently find the nearest low-rank correlation matrix. We show, in numerical tests, that our methods compare favourably to the existing methods in the literature. The connection with the Lagrange multiplier method is established, along with...

Persistent link: https://www.econbiz.de/10010734981

Option Pricing Where the Underlying Assets Follow a Gram/Charlier Density of Arbitrary Order

Schlögl, Erik - 2010

the (far less flexible) original model of Black and Scholes (1973), allowing non-trivial higher moments such as skewness …, excess kurtosis and so on to be incorporated into the pricing of exotic options: Generalising the Gram/Charlier Series A … market involving several currencies, can be used to ensure that the volatility smiles for options on the cross exchange rate …

Persistent link: https://www.econbiz.de/10013135174

Concept and Mathematics of Islamic Financial Engineering

Aydin, Nadi Serhan - 2012

We argue that Islamic principles, in particular the avoidance of ribā and gharar should be applied with respect to real economic value rather than to monetary value in terms of conventional currency. In order to reconcile monetary value with economic value, we propose a reference currency...

Persistent link: https://www.econbiz.de/10013102582

Gram-Charlier Densities (Revised version)

Jondeau, Eric - 2015

The Gram-Charlier expansion, where skewness and kurtosis directly appear as parameters, has become popular in Finance …

Persistent link: https://www.econbiz.de/10013038353

The Valid Regions of Gram-Charlier Densities

Lin, Wei - 2020

truncated Gram-Charlier series where skewness and kurtosis directly appear as parameters. However, the existing literature is …

Persistent link: https://www.econbiz.de/10012838232

Quantitative Selection of Long-Short Hedge Funds

Chen, Kevin - 2005

We develop a quantitative model to select hedge funds in the long-short equity sector. The selection strategy is verified on a survivorship-bias-free hedge fund database, from January 1990 to September 2002. We focus on the hedge funds acting exclusively in the U.S. market. We identify...

Persistent link: https://www.econbiz.de/10012737497