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Risks, Options on Hedge Funds and Hybrid Products

Abstract : This dissertation is made of five chapters corresponding to five papers. The first chapter studies the relationships between stochastic and local volatility models from a theoretical point of view as well as from a practical one illustrated with examples. The impact of stochastic rates is also studied. Chapters 2 and 3 deal with equity-credit hybrid modeling and especially study the Constant Elasticity of Variance model and its stochastic volatility extensions. Chapter 4 analyses the impact of the High Water Mark rule on the pricing of an option written on a hedge fund. Quasi analytical formulae are provided in the case of a European vanilla option. Finally, chapter 5 studies at a conceptual level providing examples coming from peculiar Brownian motion and filtration enlargement properties, the question of risks that are priced or not in the economy.
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Contributor : Marc Atlan <>
Submitted on : Monday, February 5, 2007 - 12:21:29 AM
Last modification on : Monday, December 14, 2020 - 9:53:01 AM
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  • HAL Id : tel-00128924, version 1


Marc Atlan. Risks, Options on Hedge Funds and Hybrid Products. Mathematics [math]. Université Pierre et Marie Curie - Paris VI, 2007. English. ⟨tel-00128924⟩



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