The recent development of the securitisation of funds of private equity funds poses the
question of the individual and joint modelling of the underlying funds. Private equity funds are …

A private equity fund is a particular investment vehicle whose dynamics depends on three
primary elements: the capital committed by the investors and drawn down into investments by …

In the general framework that is offered by the market model, each LIBOR interest rate is a
lognormal martingale under its own probability measure. The advantage is that the approach …

A four-factor model is intoduced for modelling the dynamics of a private equity fund. This
framework is meant to encompass the main features of a private equity fund: how the capital …

The recent development of the securitisation of funds of private equity funds poses the
question of the individual and joint modelling of the underlying funds. Private equity funds are …

The note introduces a simple GDP accounting model, whereby the total GDP at a point in
time is the sum of the various GDP sectors contributing to the production of added value. …

This note recalls that any payoff function whose exercise style is European and that is twice
differentiable can be represented as a linear combination of European call options with …

The dynamics of a private equity fund is split into three components: the drawdowns from
the committed capital paid into the fund; the performances of the investments effected by the …

THE pancreas is a compound racemose gland similar in structure to the salivary and parotid
glands. It is divided more or less arbitrarily into a head, a neck and a body. In shape the …