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pro vyhledávání: '"332.64524"'
Autor:
Wan, Timothy Y. M.
We propose a new framework for the analysis of hedge funds and the modelling of their per- formance. This approach is based on our finding that the investment styles declared by fund managers are unreliable and are uninformative about fund performanc
Externí odkaz:
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.589996
Autor:
Strom, Christopher Solon
This thesis explores pricing models for interest rate markets. The model used to ':describe the short rate is based on the discontinuous shot noise process. As a consequence the market is incomplete, meaning that not all securities contingent on the
Externí odkaz:
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.506807
Autor:
Palaro, Helder Parra
In this thesis it is developed and demonstrated the workings of a copula-based technique that allows the derivation of dynamic trading strategies, which generate returns with statistical properties similar to hedge funds. It is shown that this techni
Externí odkaz:
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.441531