Grant: Collaborative Research and Development Grants
Ryerson University
$110,000.00
Modeling a fund of hedgefunds by means of stochastic covariance processes
FY 2014-15
Summary
The proposed joint research between the Financial Mathematics Research Group at Ryerson University and Sigma Analysis addresses the modeling problem of a hedge fund composed of hedge funds.After a detailed study, the project describes the necessary implementation and testing steps for various state of the art stochastic models of a fund of hedge funds. The proposed modeling methodology involves both, bottom up and top down approaches to study the suitability of a rich class of stochastic covariance models in discrete and continuous time. The project complements a long term goal of our research group, namely, the modeling of financial markets with the intention to obtain a better understanding of their inherent risks and dependence structure. The project continues a fruitful research collaboration with Sigma Analysis and Management, this interaction has resulted in several papers, technical reports, software implementations, training of HQP as well as the completion of a CRD.
Program
Collaborative Research and Development Grants
Recipient
Location
Ontario, Canada
Recipient Type
Academia
Type
Grant
Source
NSERC's Awards Data
As published
Application id
451530-2013
Name nom
EscobarAnel, MarcosLazaro
Department département
Mathematics
Organization id
43
Institution établissement
Ryerson University
Province en
Ontario
Province fr
Ontario
Country en
CANADA
Country fr
CANADA
Fiscal year exercice financier
2014
Competition year année de concours
2013
Award amount
110000
Program id
CRDPJ
Program name en
Collaborative Research and Development Grants
Program name fr
Subventions de recherche et développement coopérative
Group en
Research partnerships programs
Group fr
Programmes de partenariat
Committee code
96
Committee name en
RPP Internal Decision Cttee
Committee name fr
Cté de décision interne - PPR
Area of application code
1200
Area of application group en
Advancement of knowledge
Area of application group fr
Avancement des connaissances
Area of application en
Advancement of knowledge
Area of application fr
Avancement des connaissances
Research subject code
3000
Research subject group en
Statistics and probability
Research subject group fr
Statistique et probabilité
Research subject en
Statistics and probability
Research subject fr
Statistique et probabilité
Partie
2
Nb partie
2
Application title
Modeling a fund of hedgefunds by means of stochastic covariance processes
Keyword
NSERC
Application summary
The proposed joint research between the Financial Mathematics Research Group at Ryerson University and Sigma Analysis addresses the modeling problem of a hedge fund composed of hedge funds.After a detailed study, the project describes the necessary implementation and testing steps for various state of the art stochastic models of a fund of hedge funds. The proposed modeling methodology involves both, bottom up and top down approaches to study the suitability of a rich class of stochastic covariance models in discrete and continuous time. The project complements a long term goal of our research group, namely, the modeling of financial markets with the intention to obtain a better understanding of their inherent risks and dependence structure. The project continues a fruitful research collaboration with Sigma Analysis and Management, this interaction has resulted in several papers, technical reports, software implementations, training of HQP as well as the completion of a CRD.
