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 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...

In this article we study the price of an American style option based on hedging the underlying assets at discrete time. Like its European style analog, the value of the option is not given in general by an expectation with respect to an equivalent martingale measure. We provide the optimal...

It can be shown that when the payoff function is convex and decreasing (respectively increasing) with respect to the underlying (multidimensional) assets, then the same is true for the value of the associated American option, provided some conditions are satisfied. In such a case, all Monte...

In view of applications to diagnostic tests of ARMA models, the asymptotic behavior of multivariate empirical and copula processes based on residuals of ARMA models is investigated. Multivariate empirical processes based on squared residuals and other functions of the residuals are also...

In this paper, we extend copula-based univariate time series models studied in Chen & Fan (2006) to multivariate time series. Doing so, we tackle at the same time serial dependence as well as interdependence between several time series. The proposed methodology is totally different from the...

We propose an innovative approach for dynamic portfolio insurance that overcomes many of the limitations of the earlier techniques. We transform the Payoff Distribution Model, originally introduced by Dybvig (1988) as a performance measure, to a fund management tool. This approach allows us to...

The derivation of the bi-variate Payoff Distribution model by Kat and Palaro (2005) represents an interesting contribution to the performance evaluation and asset pricing literature. Nonetheless, their approach for evaluating the function is significantly flawed. Recently, Papageorgiou et al....

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...

The paper introduces a new nonparametric estimator of the spectral density that is given in smoothing the periodogram by the probability density of Beta random variable (Beta kernel). The estimator is proved to be bounded for short memory data, and diverges at the origin for long memory data....