Modeling the term structure of interest rates: A review of the literature

R Gibson, FS Lhabitant, D Talay - Foundations and Trends® …, 2010 - nowpublishers.com
… We denote by f(t,T1,T2) the continuously compounded forward rate for a time interval [T1,T2],
ie the rate at time t for a risk-free loan starting at time T1 and maturing at time T2. One has …

[BOOK][B] Hedge funds: quantitative insights

FS Lhabitant - 2009 - books.google.com
… From a quantitative view Lhabitant has done it once again by … Management" François-Serge
Lhabitant's second book will prove … A must-have supplement to Lhabitant's first book dealing …

[BOOK][B] Handbook of hedge funds

FS Lhabitant - 2007 - books.google.com
… a comprehensive reference for investors and fund and portfolio managers, Handbook of
Hedge Funds combines new material with updated information from Francois-Serge Lhabitant’s …

Assessing market risk for hedge funds and hedge fund portfolios

F Lhabitant - The Journal of Risk Finance, 2001 - emerald.com
… We denote by F the cumulative return distribution. Let us say that we want to estimate the …
Traditional estimation methods assume a parametric approximation F = Fθ, obtain an estimate …

Hedge fund diversification: How much is enough?

F Lhabitant, M Learned - 2002 - papers.ssrn.com
… François-Serge Lhabitant is also a FAME Research Fellow, Head … Contact: francois@lhabitant.net
or michellelearned@global.t-… advantages and disadvantages, see Lhabitant (2002b). …

Madoff: A riot of red flags

GN Gregoriou, F Lhabitant - Available at SSRN 1335639, 2009 - papers.ssrn.com
… At EDHEC Business School, Professor Lhabitant teaches the … Professor Lhabitant has
published articles on finance and … Professor Lhabitant holds graduate degrees in engineering, …

[BOOK][B] Portfolio diversification

FS Lhabitant - 2017 - books.google.com
… © ISTE Press Ltd 2017 The rights of François-Serge Lhabitant to be identified as the
author of this work have been asserted by him in accordance with the Copyright, Designs and …

Financial risk management: an introduction

FS Lhabitant, O Tinguely - Thunderbird International Business …, 2001 - Wiley Online Library
This article provides a brief introduction to risk management. It discusses the rationale for
risk management for corporations, with a strong focus on financial risk management. It …

[PDF][PDF] Interest rate model risk: An overview

R Gibson, FS Lhabitant, N Pistre, D Talay - Journal of Risk, 1998 - academia.edu
… This implies that, even if we use the true pricing function f , the true parameters Ω…t†,
and appropriate estimations of the nonobservable parameters …t†, our theoretical prices C…t† …

On Swiss timing and selectivity: in the quest of alpha

F Lhabitant - 2001 - papers.ssrn.com
This paper presents an overview of the theories underlying the major portfolio performance
measurement models, with an empirical application to assess the market timing and stock-…