In this paper, we present a new alternative performance measure (APM) which evaluates not only for the marginal distribution of a given fund but also its' dependence (correlation) with a reference portfolio. This performance measure is of particular value in assessing hedge fund return as the...

A discretization scheme for nonnegative diffusion processes is proposed and the convergence of the corresponding sequence of approximate processes is proved using the martingale problem framework. Motivations for this scheme come typically from finance, especially for path-dependent option...

It is shown that parametric bootstrap can be used for computing P-values of goodness-of-fit tests of multivariate time series parametric models. These models include Markovian models, GARCH models with non-Gaussian innovations, regime-switching models, as well as semi parametric models involving...

In this paper, using simulations, we compare specification procedures for testing the null hypothesis of a Gaussian distribution for the innovations of GARCH models. More precisely, Cramer-von Mises and Kolmogorov-Smirnov type statistics are computed for empirical processes based on the...

Extending the multiplier central limit theorem and resampling bootstrap to statistics and empirical processes of pseudo-observations, it is shown how to build asymptotically independent copies of statistics and empirical processes to perform statistical tests. Application to parametric and...

In this article we find the optimal solution of the hedging problem in discrete time by minimizing the mean square hedging error, when the underlying assets are multidimensional, extending the results of Schweizer (1995). We also find explicit expressions for the optimal hedging problem in...

The asymptotic behaviour of the empirical copula constructed from residuals of stochastic volatility models is studied. It is shown that if the stochastic volatility matrix is diagonal, then the empirical copula process behaves like if the parameters were known, a remarkable property. However,...

In this paper we build a discrete time model for the structure of the limit order book, so that the price per share depends on the size of the transaction. We deduce the value of a portfolio when the investor trades using market orders and a bank account with different interest rates for lending...

In this paper, we consider pricing of European options and spread options for Hawkes-based model for the limit order book. We introduce multivariate Hawkes process and the multivariable general compound Hawkes process. Exponential multivariate general compound Hawkes processes and limit theorems...

Test statistics for checking the independence between the innovations of several time series are developed. The time series models considered allow for general specifications for the conditional mean and variance functions that could depend on common explanatory variables. In testing for...