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Hedging in alternative aarkets

Abstract : The research making the object of this thesis focuses on two alternative markets: cryptocurrencies and oil-distillates. Most alternative markets are far from being efficient, and this generates a lot of challenges in terms of modelling. Models based on Gaussian distributions are still the most popular choice for quantitative analysts and are implemented even in markets which are far from being efficient. A sound modelling framework for alternative assets should start from non-Gaussian distribution. Therefore, throughout this thesis, the overarching theme for ail simulations and estimations is the use of generalized hyperbolic distributions. This approach has a two-edged justification. On the one hand, it is critical to developing a fully-edged quantitative framework beyond the Gaussian universe, thereby testing the performance of the new mode! in real-life situations. On the other hand, the markets making the object of this research (oil distillates and crypto-currencies) have neither the fundamentals nor the empirical behaviour that could justify traditional modelling.
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Submitted on : Thursday, March 4, 2021 - 5:22:09 PM
Last modification on : Wednesday, March 10, 2021 - 9:42:50 AM


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  • HAL Id : tel-03159833, version 1



Rostislav Haliplii. Hedging in alternative aarkets. Economics and Finance. Université Panthéon-Sorbonne - Paris I, 2020. English. ⟨NNT : 2020PA01E059⟩. ⟨tel-03159833⟩



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