Browsing by Author "Vosper, Les"

Now showing items 1-4 of 4

  • Backtesting Derivative Portfolios with Filtered Historical Simulation (FHS) 

    Barone-Adesi, Giovanni; Giannopoulos, Kostas; Vosper, Les (Blackwell Publishers Ltd, 2002)
    Filtered historical simulation provides the general framework to our backtests of portfolios of derivative securities held by a large sample of financial institutions. We allow for stochastic volatility and exchange rates. ...

  • Backtesting Derivative Portfolios with Filtered Historical Simulation (FHS) 

    Barone-Adesi, Giovanni; Giannopoulos, Kostas; Vosper, Les (European Financial Management, 2002)
    Filtered historical simulation provides the general framework to our backtests of portfolios of derivative securities held by a large sample of financial institutions. We allow for stochastic volatility and exchange rates. ...

  • Filtering Historical Simulation. Backtest Analysis 

    Giannopoulos, Kostas; Barone-Adesi, Giovanni; Vosper, Les (2000)
    This paper we backtest the FHS VaR model on three types of portfolios invested over a period of two years. The first set of backtests consists of LIFFE financial futures and options contracts traded on LIFFE. In the second ...

  • VaR Without Correlations for Portfolios of Derivative Securities 

    Barone-Adesi, Giovanni; Giannopoulos, Kostas; Vosper, Les (Wiley Online Library, 1999)
    We propose filtering historical simulation by GARCH processes to model the future distribution of assets and swap values. Options’ price changes are computed by full reevaluation on the changing prices of underlying assets. ...