Despite considerable research into the mechanisms that lead to the persistence of parasites, the huge diversity of macroparasite transmission strategies observed both within and among species has yet to be explained. This may be because questions of parasite persistence are typically addressed at the population level, even though observed transmission rates are determined by infection events at...

We consider rewriting systems for unranked ordered terms, i.e. trees where the number of successors of a node is not determined by its label, and is not a priori bounded. The rewriting systems are defined such that variables in the rewrite rules can be substituted by hedges (sequences of terms) instead of just terms. Consequently, this notion of rewriting subsumes both standard term rewriting a...

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Over the last half decade, asset flows into hedge funds have surged, the number of funds has expanded exponentially, and new products have emerged which allow investors to obtain hedge fund exposure via structured transactions. To many, this is due to a paradigm shift in investment management and constitutes a modern financial revolution. However, to others, hedge funds are simply investment st...

We examine Schweizer's (1991) locally risk-minimizing (LRM) hedge approach for hedging a European call in the case when the stock price follows a Poisson jump di usion process with lognormally distributed jump sizes. In contrast to Merton's (1976) hedging strategy where di usion risk is perfectly hedged while jump risk remains un-hedged, the locally risk-minimizing strategy hedges both di usion...

H funds’ extensive use of derivatives, short selling, and leverage and their dynamic trading strategies create significant nonnormalities in their return distributions. Hence, the traditional performance measures fail to provide an accurate characterization of the relative strength of hedge fund portfolios. This paper uses the utility-based nonparametric and parametric performance measures to d...

This paper further explores the horizon e®ect in the optimal static and dynamic demand for risky assets under return predictability as documented by Barberis (2000). Contrary to the case of stocks, the optimal demand for longterm Government bonds of a buy-and-hold investor is not necessarily increasing in the investment horizon, and may in fact be decreasing for some initial levels of the predi...