Operations Research Models in Quantitative Finance

Proceedings of the XIII Meeting EURO Working Group for Financial Modeling University of Cyprus, Nicosia, Cyprus
Herausgegeben von D'Ecclesia, Rita L.; Zenios, Stavros A.

• Broschiertes Buch

Produktbeschreibung

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.

Produktdetails

• Contributions to Management Science
• Verlag: Physica / Physica-Verlag / Physica-Verlag HD
• Artikelnr. des Verlages: 978-3-7908-0803-2
• 1994.
• Seitenzahl: 276
• Erscheinungstermin: 25. November 1994
• Englisch
• Abmessung: 235mm x 155mm x 16mm
• Gewicht: 422g
• ISBN-13: 9783790808032
• ISBN-10: 3790808032
• Artikelnr.: 26691462

Inhaltsangabe

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.