The performance of optimal strategies for hedging a claim on a non-traded asset is analyzed. The claim is valued and hedged in a utility max-imization framework, using exponential utility. A traded asset, correlatedwith that underlying the claim, is used for hedging, with the correlation...

We employ a number of parametric and non-parametric techniques toestablish the existence of long-range dependence in daily interbank o errates for four countries. We test for long memory using classical R=Sanalysis, variance-time plots and Lo's (1991) modi ed R=S statistic. Inaddition we...

We employ a number of parametric and non-parametric techniques to establish the existence of long-range dependence in daily interbank o er rates for four countries. We test for long memory using classical R=S analysis, variance-time plots and Lo's (1991) modi ed R=S statistic. In addition we...

We study the problem of maximising expected utility of terminal wealth over a nite horizon, with one risky and one riskless asset available, and with trades in the risky asset subject to proportional transaction costs. In a discrete time setting, using a utility function with hyperbolic risk...

We study the problem of maximising expected utility of terminal wealthover a nite horizon, with one risky and one riskless asset available, andwith trades in the risky asset subject to proportional transaction costs.In a discrete time setting, using a utility function with hyperbolic...