Financial modelling: recent research

by Peccati, Lorenzo Virén, Matti

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Title Statements

Full title :Financial modelling : recent research / Lorenzo Peccati, Matti Virén (Eds.).

Summary

The high quality papers of this volume present applications of financial modelling. Among the important features are practical applicability and European institutional framework. The attention is focused on peculiarities like "thin capital markets, frictions, rationing, 'irrationalities'". The exchange rate role is often carefully considered. All papers contain new results. There is a widespread novelty in the viewpoint chosen by all the authors: Consider the peculiarities of European financial system and try to deal with it through modelling. Thus the reader gets an up-to-date collection of results of European research in this field. Many models can be used in solving portfolio problems, in assessing forecasts, in understanding the possible effects of shocks and disturbances

Edition Statements

Publication Date:1994.

Publication Statements

Publisher(s):Physica-Verlag
Place of Publication:Heidelberg
Language:eng
Publication Date:1994.

Notes

"Selection of papers presented ... during the two meetings held in 1992 of the EURO Working Group on financial modelling ... In April ... in Cogne (Aosta Valley, Italy) and in November in Turku (Finland)"--Preface

The Physical Object

Description:1 online resource (x, 364 pages) : : illustrations

Edition Identifiers

ISBN:9783642867064, 3642867065
DOI:10.1007/978-3-642-86706-4
oclc:ocn988395854
LC Classification:HG176.5
Dewey Decimal:332.0151

Insurance and Risk Management -- Single and Periodic Premiums for guaranteed Equity-Linked Life Insurance under Interest-Rate Risk: The "Lognormal+Vasicek" Case -- Solvency-Simulation in Non-Life Insurance -- A Multicriteria Classification: An Application to Italian Mutual Funds -- Asset Liability Matching for Pension Funds: A One-Period Model -- Asset Risk in a Liability Context: An Empirical Study for the Netherlands -- Bank Strategic Planning Process. A Multifactor Asset and Liability Risk Management Approach -- Index Tracking: Some Techniques and Results -- Stock Market Theory -- Expectations and News in an Imitative Stock-Market -- An Artificial Adaptive Speculative Stock Market -- Valuation of the Embedded Prepayment Option of Mortgage-Backed Securities -- The Effects on Optimal Portfolios of Shifts on a Risk Asset: The Case of Dependent Risky Returns -- Corporate Investment and Dividend Decisions under Differential Personal Taxation: A Note to Masulis and Trueman's Model -- A Decision Support System for the Evaluation of Bond Options in Imperfect Markets -- Pure Capital Rationing Problems: How to Bury Them and Why -- Pricing and Bargaining in Financial Markets -- APV Sensit…

Subjects

Cogne <1992> Conference papers and proceedings European Economic Community countries Finance -- Congresses. -- Mathematical … Finance -- Congresses. -- Mathematical … Finance -- mathematical models Finances -- Congrès. -- Modèles mathéma… Finances -- Congrès. -- Modèles mathéma… Finances -- Modèles mathématiques Finances -- Modèles mathématiques. -- P… financieel management Finanzplanungsmodell Finanztheorie Kapitalmarkttheorie Kongreß -- 1992. -- Cogne Kongreß -- 1992. -- Turku Modellierung Risikomanagement