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Author(s): Daniel Giamouridis, Cass Business School
Christoffersen and Goncalves (2005) study the effect of parameter estimation error in computing Value at Risk and Expected Shortfall through commonly used methods including the Cornish-Fisher/Gram-Charlier approximations approach.
Updated: 02/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 72
Author(s): Daniel Giamouridis, Cass Business School, Dimitris Flamouris, ABN Amro
This paper proposes the use of a simplified jump process, namely the Bernoulli jump process, to develop approximate basket option valuation formulas.
Updated: 02/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 74
Author(s): Daniel Giamouridis, Cass Business School, Dimitris Flamouris, ABN Amro
This article develops a new methodology for estimating the risk neutral density implied by American type futures options. The methodology employed uses an Edgeworth series expansion parameterization for the probability distribution of asset returns.
Updated: 05/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 57
Author(s): Daniel Giamouridis, Cass Business School, Konstantinos Sakellariou, EFG MFMC S.A.
This paper investigates the short-term performance of Greek mutual funds.
Updated: 05/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 67
Author(s): Daniel Giamouridis, Cass Business School, Ioannis Vrontos, Athens University of Economics and Business
This article studies the impact of modeling time varying covariances/correlations of hedge fund returns in terms of hedge fund portfolio construction and risk measurement.
Updated: 05/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 68
