Author(s): Laura Ballotta, Cass Business School
In this paper we propose a multivariate asset model based on Levy processes for pricing of products written on more than one underlying asset.
Updated: 10/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 93
Author(s): Ales Cerny, Cass Business School, Jan Kallsen, Munich University of Technology
This paper solves the mean-variance hedging problem in Heston's model with a stochastic opportunity set moving systematically with the volatility of stock returns.
Updated: 10/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 120
Author(s): Ales Cerny, Cass Business School, David Miles, Bank of England, Lubomir Schmidt, UBS Investment Bank
The main aim of this paper is to to analyse the impact of shifting demographics and changes in pension arrangements in a model which includes housing both as an investment asset and a consumption good.
Updated: 05/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 88
Author(s): Andrew Clare, Nick Motson, Cass Business School, Chris Brooks, ICMA Centre, University of Reading
In this paper, we show that due to the particular nature of hedge fund incentive contracts, the use of net of fee returns can lead to considerably biased estimates of factor exposures which can distort the picture of fund manager performance.
Updated: 09/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 116
Author(s): Andrew Clare, Nick Motson, Cass Business School
There is some debate about how many stocks can effectively eliminate most of the unsystematic risk in an equity portfolio.
Updated: 09/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 297
