In this study, we compare a number of different approaches for determining the Value at Risk (VaR) and Expected Shortfall (ES) of hedge fund investment strategies. We compute VaR and ES through both model‐free and mean/variance and distribution model‐based methods. Certain specifications of...

This paper compares a number of different approaches for determining the Value at Risk (VaR) and Expected Shortfall (ES) of hedge fund investment strategies. We compute VaR and ES through completely model-free methods, as well as through mean/variance and distribution model-based methods. Among...

This article develops a new methodology for estimating implied probability density functions for futures prices from American options. The restricting Black–Scholes assumption of a lognormal distribution for the underlying asset is relaxed with the use of the more flexible distributional form...

This study proposes the use of a simplified jump process, namely the Bernoulli jump process, to develop approximate basket option valuation formulas. The proposed model is based on a more realistic stochastic process—relative to the standard geometric Brownian motion—without introducing...

"This article extends the Palepu (1986) acquisition likelihood model by incorporating measures of a technical nature, e.g. momentum, trading volume as well as a measure of market sentiment. We use the proposed model to predict takeover targets in a large sample of European and cross-border...

Risk preference functions across the wealth domain are estimated from option prices and asset realized returns using: (a) a semiparametric probability model, the Edgeworth Series Expansion model, and (b) a new data set consisting of eurodollar and WTI oil markets' data. The empirical preference...

This article uses Bayesian model averaging to study model uncertainty in hedge fund pricing. We show how to incorporate heteroscedasticity, thus, we develop a framework that jointly accounts for model uncertainty and heteroscedasticity. Relevant risk factors are identified and compared with...