Del i serien Contributions to Management Science

Operations Research Models in Quantitative Finance

Proceedings of the XIII Meeting EURO Working Group for Financial Modeling University of Cyprus, Nicosia, Cyprus

Häftad, Engelska, 1994

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The articles included in the volume cover a range of diverse topics linked by a common theme: the use of formal modelling techniques to promote better understanding of financial markets and improve management of financial operations.Apart from a theoretical discussion, most of the papers model validation or verification using market data. This collection of articles sets the framework for other studies that could link theory and practice.

Produktinformation

Utgivningsdatum1994-11-25
Mått155 x 235 x 16 mm
Vikt423 g
FormatHäftad
SpråkEngelska
SerieContributions to Management Science
Antal sidor263
FörlagSpringer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN9783790808032

Tillhör följande kategorier

Finansiering inom Ekonomi och Ledarskap
Företagsekonomi inom Ekonomi och Ledarskap

1 Generals.- A Modern Approach to Performance Measurement for Insurers.- Multi-Stage Financial Planning System.- Financial Regulation and Multi-tier Financial Intermediation Systems.- 2 Theoretical or Conceptual Modeling.- Immunization Startegies in Linear Models.- Some Alternatives and Numerical Results in Binomial Put Option Pricing.- Expected Utility without Utility: A Model of Portfolio Selection.- Theoretical and Empirical Aspects of the Relation between Interest Rates and Common Stock Returns.- Stochastic Programming Models for Portfolio Optimization with Mortgage Backed Securities: Comprehensive Research Guide.- Shortfall Risk for Multiperiod Investment Returns.- 3 Empirical Modeling and Analysis.- Stock Returns: An Analysis of the Italian Market with GARCH Models.- Embedded Option Pricing on Interest-Rate Sensitive Securities in the Italian Market.- Mean Reversion at the Dutch Stock Exchange?.- Low Fat Modeling and Reinsurance Induced Solvency.