In this research letter we outline the interesting results of the new frontier of interdisciplinary field of behavioural finance and complex interacting systems. Indeed, empirical analysis of financial markets has shown number of stylized facts such as heavy tails or volatility quot;burstsquot;...

Minimum market transparency requirements impose Hedge Fund (HF) managers to use the statement declared strategy in practice. However each declared strategy may actually lead to a multiplicity of implemented management decisions. Is then the actual strategy the same as the announced strategy? Can...

In this paper we try to assess the impact of various policy changes on the ability of the insurance industry to preserve or increase the shareholders' value. As a proxy of the sensitivity of the shareholders value, we measure the sensitivity of ROE (Return On Equities) to three main variables...

Empirical analysis of financial markets has shown number of stylized facts such as heavy tails or volatility bursts which are difficult to explain in terms of evolution of fundamental economic variables. Indeed the non-Gaussian, non-stable character of empirical distributions, such as excess...

Volatility is usually considered as a synonym for risk. Mainstream financial theory states that higher portfolio volatility is translated into higher expected returns while diversification helps eliminate idiosyncratic risks. This leaves us with an apparent anomaly as low-risk (low-beta) stocks...

In this paper we compare different models describing the implied volatility surface. In particular we analyse in-depth the numerical properties of the Heston model and we extend it to include Jump processes. In our approach, we first identify a closed-form solution or a closest proxy of it, we...

Present market instabilities have prompted great interest on the characteristics of specific portfolios such as minimum variance and equally- weighted risk contribution portfolios as these portfolios do not rely on the estimate of expected returns. Indeed, in turmoil periods traditional market...

This paper explores the optimisation of asset allocation within “alternative” investments, i.e. between private equity and hedge funds, as well as between private equity and public equities. It uses our proprietary Portfolio Blender tool. As a preliminary step before the optimisation, we...

Volatility is usually considered as a synonym for risk. Mainstream financial theory states that higher portfolio volatility is translated into higher expected returns while diversification helps eliminate idiosyncratic risks. This leaves us with an apparent anomaly as low-risk (low-beta) stocks...

In this paper we describe life insurance contracts as a portfolio of financial options. This type of policy constitutes the bulk of mathematical reserves of continental European insurance companies. A close examination of a typical contract reveals an exchange of options between policy holders...