Modelling Techniques for Financial Markets and Bank Management
Published on 25. April 1996
Book
Paperback/Softback
X, 296 pages
978-3-7908-0928-2 (ISBN)
Description
Shown is the application of up-to-date techniques for measuring efficiency, information imperfection and predictability in financial markets. Moreover, trading strategies in commodity future markets, models for the evolution of interest rates and postoptimality analysis in portfolio management are given. A couple of conceptual papers on modelling preference relations are also included.
More details
Series
Edition
Softcover reprint of the original 1st ed. 1996
Language
English
Place of publication
Heidelberg
Germany
Target group
Professional and scholarly
Research
Illustrations
18 s/w Abbildungen
X, 296 p. 18 illus.
Dimensions
Height: 235 mm
Width: 155 mm
Thickness: 17 mm
Weight
470 gr
ISBN-13
978-3-7908-0928-2 (9783790809282)
DOI
10.1007/978-3-642-51730-3
Schweitzer Classification
Other editions
Additional editions
Marida Bertocchi | Enrico Cavalli | Sandor Komlosi
Modelling Techniques for Financial Markets and Bank Management
E-Book
12/2012
Physica
€96.29
Available for download
Content
Financial Modelling: From Stochastics to Chaotics and Back to Stochastics.- Uncertainty about Input Data in Portfolio Management.- Non-Substitution Theorems for Perfect Matching Problems.- Commodity Futures Markets and Trading Strategies Opportunities.- Financial Asset Demand in the Italian Market: an Empirical Analysis.- Italian Term Structure Movements: the Appropriateness of a Multinomial Model.- Replicating an Option under General Rebalancing Costs.- Linear Programming and Econometric Methods for Bank Efficiency Evaluation: an Empirical Comparison Based on a Panel of Italian Banks.- Measuring Managerial and Program Efficiencies in a Swedish Savings and Loan.- Bankruptcies, Indebtedness and the Credit Crunch.- Bankruptcy Prediction: Discriminant Analysis versus Neural Networks.- Rough Set Approach to Stock Selection: an Application to the Italian Market.- Takeover Algorithms.- The Number of Arbitrage Pricing Theory Factors: an Assessment of the Power of Multivariate Tests Used.- Tests for Randomness in Multiple Financial Time Series.- On SBB Utility Theory.- Proper Risk Aversion in Presence of Multiple Sources of Risk.