<t>Hi,I've recently read some articles on Omega function, its properties and application. These articles are quite old 2002/2003, I would like to know if nowdays practitioners in hedge funds industry really use Omega measure and which are the shortfalls associated to this usage in practice, if any.A...

Thank you Acastaldo,still I have to look at it.I've also found a white paper: "Risk-adjusted Momentum: A Superior Approach to Momentum Investing".Regards,Chiara

Hi,I'm looking for any papers focusing on the difference between a pure momentum strategy and a sharpe-ratio based strategy.Could you suggest some bibliography please?Thank youChiara

<t>Hi,I'm interested in listed infrastructure, but reading papers and material available on the web I'm still not able to find complete answers to the following questions:1) how is it possible to invest in listed infrastructures?2) how are these investements different from investing in equity in ter...

Hi, starting from this relation that hold for European style barrier options:PV Option= KI option+ KO optionCan you please help me to derive a similar relationship for American-style options or at least an inequality?Thank youC.

@qqqq UCITS is for Undetakings for Collective Investement in Transferable Securities, IV is for 4, which is the latest version of the regulations.@ farmer, I mostly agree with you, but sometimes you know you have to be proactive.Chiara

Hi,some ideas/inputs on which are the most popular investement quantitative strategies at the moment in the UCITSIV's world?ThanksChiara

Hi,can anyone explain the differences, if any, between a total return swap and a performance swap?ThxChiara

How are priced in the market down & in put and more generally barrier options.I see you have to use Heston model rather than other pricing model taking into account the skew, but then bid and ask in the market really come out from this models? thxChiara

<t>Hi,I need help with the pricing of an asset swap where, if defaults occurs, the asset swap buyer stops paying the fixed coupon but pays just the recovery rate to the asset swap seller, and the asset swap buyer still pays the libor +spread leg until the estabilished maturity of the asset swap.Can ...

<t>Thx Zefle, it is clear now.If I consider max(0,TotalReturnIndex-PriceIndex) then pricing is deterministic and it's equivalent to the pricing of a dividend swap. By the way i fyou consider a generalized payoff max(0, TotalReturn-PriceIndex-Strike) and Strike<>0 then a stochastic model for dividend...

<t>Hi, my question is on the pricing of a call option on the spread at maturity between a total return version of an index ( for example Dow Jones EUTO STOXX Return Index) and its price version ( for example Dow Jones EUTO STOXX Price Index).Do I need a model that takes into account the stochasticit...

Hi, I need some hints or sugestion on the way to perform a comparison between a given EuropeanVA and a comparable risk free investement in order to simulate the two different returns and compare them.Any ideas?Thanks,C.

Hi,on the hedging of RMBS is there some literature or research that is worth reading?What about hedging of Credit/collateral risk? I heard there was a paper by Lehman but I don't know the exact title. Could you help me in finding this paper or some other clear and useful readings?ThxC.

<t>Hi,I'm trying to understand how Eonia Total Return and Eonia Net Total Return indexes are constucted starting from Eonia index. The indexes I'm referring to are DBDCONIN index and DBDCONIA in Bloomberg, they are published by Deutsche bank, but since I don't have access to index.db.com I can't see...