Ok great. Thanks!

Sorry,I'm comparing data of hedge funds indices and would like to compare it with the hedge funds we have in my company. The data is daily, bi-weekly and monthly. In the first place the 4 statistical moments are used.

thanks,What do you suggests? If I have annual returns and annual variances (derived from monthly returns) should I use annual skew and kurtosis? If so, can you let me know which formula to use?Thanks again, Juan.

<t>Hi Guys,This is probably a relative simple question for you to answer....When I have monthly returns for 5 years and I am using the KURT and SKEW function in Excel, do I need to multiply this with SQRT(12) as you normally do with standarddeviation to calculate the yearly standarddeviation.Many th...

Pls look in one of Dietmar Leissen's papers (example: random time binomial model).Regards

Hi Matt,You're absolutely right. Here's the source:duramecho.com/Misc/WhyMinusOneInSd.html

<t>Hi,Maybe this text will help:Why there is a Minus One in Standard DeviationsIntroductionStandard deviations are so often calculated when averaging data that functions for them have been standard features of scientific calculators for years but there are, confusingly, a choice of 2 to use. On the ...

You can use this link:http://www.itl.nist.gov/div898/handbook ... gards,Juan Pablo

<t>Hi,The sample variance (s^2) = sum (x(i)-x(mean)^2/(n-1). The reason for choosing n-1 is to make E(s^2)=sigma^2 (population), so that the definition of s^2 produces an unbiased estimator of sigma^2. Defining sum (x(i) - x(mean)^2)/n would result in a biased estimator of sigma^2, specifically one ...

Hi,Has anyone has some recommendations about the book of Simon Benninga - Financial Modelling? I know the book of Staunton.Thanks!Juan Pablo

Hi,There's an article of Boyle en Tian in Mathematical finance. This is a very good approach.

Try www.datastream.comRegards,Juan Pablo

<t>Dimitris,I've got some books and articles for you:Bain, W.G, Investment Performance Measurement, Woodhead Publishing Ltd. 1996Dietz, P.O, Measuring investment performance, The Free Press, 1966Shah, K, GPS Functional Specification Performance and Attribution Measurement, DST International 1995Arti...

Also have a look at Boyle and Tian's paper in matematical finance (1998). They use the finite difference approach to price barrier options.

<t>Collector, One other question, in your paper you are suggesting that convergence of a binomial and trinomial tree is slow (for Boyle and Lau and Ritchken). I agree on that point, but Leisen (1998) claims that his method has a smooth payoff function for binomial and trinomial trees. Do you know th...