The wide acceptance of Hedge Funds by Institutional Investors and Pension Funds has led to an explosive growth in assets under management. These investors are drawn to Hedge Funds due to the seemingly low correlation with traditional investments and the attractive returns. The correlations and market risk (the Beta in the Capital Asset Pricing Model) of Hedge Funds are generally calculated usin...

In this paper we will explain how to perfectly hedge under Heston’s stochastic volatility model with jump to default, which is in itself a generalization of the Merton jump-to-default model and a special case of the Heston model with jumps. The hedging instruments we use to build the hedge will be as usual the stock and the bond, but also the Variance Swap (VS) and a Credit Default Swap (CDS). ...

Exposing more instruction-level parallelism in out-of-order superscalar processors requires increasing the number of dynamic in-flight instructions. However, large instruction windows increase power consumption and latency in the issue logic. We propose a design called Hybrid Dataflow Graph Execution (HeDGE) for conventional Instruction Set Architectures (ISAs). HeDGE explicitly maintains depen...

In this paper we identify risk factors for Asia-focused hedge funds through a modified style analysis technique. Using an Asian hedge fund index, we find that Asian hedge funds show significant positive exposures to emerging equity marketsand also hold significant portion of portfolio in cash and high credit rating bonds while they take short positions in world government and emerging market bo...

BACKGROUND As an important perennial herbaceous flower, Salvia splendens possesses high ornamental value. Understanding its branching processes may help scientists select the best plant type. Although Salvia splendens is a frequently-used horticultural flower, only limited transcriptomic or genomic research is available in public databases. In the present study, we, for the first time, construc...

Electricity industries worldwide have been restructured in order to introduce competition.As a result, decisionmakers are exposed to volatile electricity prices, which are positively correlated with those of natural gas in markets with price-setting gas-fired power plants. Consequently, gas-fired plants are said to enjoy a “natural hedge.” We explore the properties of such a built-in hedge for ...

In this paper, we will explain how to perfectly hedge under Heston’s stochastic volatility 17 model with jump-to-default, which is in itself a generalization of the Merton jump-todefault model and a special case of the Heston model with jumps. The hedging instru19 ments we use to build the hedge will be as usual the stock and the bond, but also the Variance Swap (VS) and a Credit Default Swap (...

This paper utilises a new approach for determining minimum variance hedge ratio in stock index futures markets. More specifically, the performance of time-varying hedge ratios generated from Markov Regime Switching (MRS) models is investigated. The rational behind the use of these models stems from the fact that the dynamic relationship between spot and futures returns may be characterised by r...

Data envelopment analysis (DEA) is a nonparametric method from the area of operations research that measures the relationship of produced outputs to assigned inputs and determines an efficiency score. This efficiency score can be interpreted as a performance measure in investment analysis. Recent literature contains intensive discussion of using DEA to measure the performance of hedge funds, as...

In this paper, we examine the risk characteristics and capital adequacy of hedge funds using Value-at-Risk (VaR) as the criterion for measuring risk and estimating capital requirements. We find that a vast majority of hedge funds are adequately capitalized, with the level of under-capitalization being only 3.1% for live funds and 7.5% for dead funds. Using extreme value theory, we confirm that ...