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Pricing inflation products with stochastic volatility and stochastic interest rates

Singor, Stefan N.; Grzelak, Lech A.; Bragt, David D.B. van - In: Insurance: Mathematics and Economics 52 (2013) 2, pp. 286-299

able to capture the implied volatility skew/smile, which is present in the inflation option market data. We derive an …

Persistent link: https://www.econbiz.de/10010662453

Survival, Look-Ahead Bias and the Persistence in Hedge Fund Performance

ter Horst, Jenke; Baquero, G.; Verbeek, M.J.C.M. - Tilburg University, Center for Economic Research - 2002

Hedge funds databases are typicall subject to high attrition rates because of fund termination and self-selection.Even when all funds are included up to their last available return, one cannot prevent that ex post conditioning biases affect standard estimates of performance persistence.In this...

Persistent link: https://www.econbiz.de/10011092451

The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility

Karkowska, Renata - Volkswirtschaftliche Fakultät, … - 2013

the level of market volatility. Particularly important are the growing share of the links between hedge funds and other … was calculated the impact of the hedge fund market development measured in assets, leverage, the price volatility in … results show a significant correlation between the volatility in the stock market, bonds and CDS, and the activities of hedge …

Persistent link: https://www.econbiz.de/10011112004

Quel impact des nouveaux spéculateurs sur les prix agricoles ? Une analyse empirique des fonds d’investissement

Cordier, Jean; Gohin, Alexandre - Laboratoire Études et Recherches Économiques … - 2012

price volatility on commodity markets through improved control of speculation on futures and OTC markets. The article is … analysing the hypothesis that commodity funds are causing price volatility using first a direct relationship between the “Assets …

Persistent link: https://www.econbiz.de/10011114826

Learning in Financial Markets

Pastor, Lubos; Veronesi, Pietro - In: Annual Review of Financial Economics 1 (2009) 1, pp. 361-381

uncertain and subject to learning. We discuss phenomena related to the volatility and predictability of asset returns, stock …

Persistent link: https://www.econbiz.de/10008776994

Are the log-returns of Italian open-end mutual funds normally distributed? A risk assessment perspective

Bianchi, Michele Leonardo - Banca d'Italia - 2014

In this paper we conduct an empirical analysis of daily log-returns of Italian open-end mutual funds and their respective benchmarks in the period from February 2007 to June 2013. First, we estimate the classical normal-based model on the log-returns of a large set of funds. Then we compare it...

Persistent link: https://www.econbiz.de/10011099628

Mutual funds performance appraisal using stochastic multicriteria acceptability analysis

Babalos, Vassilios; Philippas, Nikolaos; Doumpos, Michael; … - Volkswirtschaftliche Fakultät, … - 2011

Mutual fund investors are concerned with the selection of the best fund in terms of performance among the set of alternative funds. This paper proposes an innovative mutual funds performance evaluation measure in the context of multicriteria decision making. We implement a multicriteria...

Persistent link: https://www.econbiz.de/10011260483

Mathematical Models for the Longevity Risk in the Annuity Market

MIRCEA, Iulian - In: Timisoara Journal of Economics 4 (2011) 4(16), pp. 205-210

The markets for longevity derivatives are starting to develop. In last years, many companies have closed the defined benefit retirement plans that they used to offer to their employees. In addition, some governments increased the retirement age by 2 or 5 years to take into account longevity...

Persistent link: https://www.econbiz.de/10009395953

Perfect option hedging for a large trader

Frey, RØdiger - In: Finance and Stochastics 2 (1998) 2, pp. 115-141

existence and uniqueness of this equation. Simulations are used to compare the hedging strategies in our model to standard Black …

Persistent link: https://www.econbiz.de/10005184372

Macroeconomic and monetary policy surprises and the term structure of interest rates

Pericoli, Marcello - Banca d'Italia - 2013

The no-arbitrage affine Gaussian term structure model is used to analyse the impact of macroeconomic surprises on the nominal and the real term structure in the euro area and in the United States. We find that nominal rates are affected by surprises in economic growth, the labour market and the...

Persistent link: https://www.econbiz.de/10011099653