Determining a stable relationship between hedge fund index HFRI-Equity and S&P 500 behaviour, using filtering and maximum likelihood-Reference-Cited by-同舟云学术

Determining a stable relationship between hedge fund index HFRI-Equity and S&P 500 behaviour, using filtering and maximum likelihood

Published:2009-10-08 Issue:1 Volume:18 Page:83-109
ISSN:1741-5977
Container-title:Inverse Problems in Science and Engineering
language:en
Short-container-title:Inverse Problems in Science and Engineering

Author:

Capelli Paolo¹,Mariani Francesca²,Recchioni Maria Cristina³,Spinelli Fabio⁴,Zirilli Francesco⁵

Affiliation:

1. Akros Alternative Investments SGR, Viale Eginardo 29, 20149 Milano, Italy

2. CERI- Centro di Ricerca Previsione Prevenzione e Controllo dei Rischi Geologici, Università di Roma ‘La Sapienza’, Piazza Umberto Pilozzi 9, 00038 Valmontone (RM), Italy

3. Dipartimento di Scienze Sociali ‘D. Serrani’, Università Politecnica delle Marche, Piazza Martelli 8, 60121Ancona, Italy

4. Investment Advisor, Piazza Giovanni Paolo II 15, 22100 Como, Italy

5. Dipartimento di Matematica ‘G. Castelnuovo’, Università di Roma ‘La Sapienza’, Piazzale Aldo Moro 2, 00185 Roma, Italy

Publisher

Informa UK Limited

Subject

Applied Mathematics,Computer Science Applications,General Engineering

Link

https://www.tandfonline.com/doi/pdf/10.1080/17415970903234398

Reference17 articles.

1. On the ill-posedness and regularization of third-kind integral equations

2. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

3. The Pricing of Options and Corporate Liabilities

4. Market volatility prediction and the efficiency of the S & P 100 index option market

5. Probability distribution of returns in the Heston model with stochastic volatility*