Operations Research Models in Quantitative Finance
Proceedings of the XIII Meeting EURO Working Group for Financial Modeling University of Cyprus, Nicosia, Cyprus
Published on 25. November 1994
Book
Paperback/Softback
X, 263 pages
978-3-7908-0803-2 (ISBN)
Description
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.
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.
More details
Series
Edition
Softcover reprint of the original 1st ed. 1994
Language
English
Place of publication
Heidelberg
Germany
Target group
Professional and scholarly
Research
Illustrations
X, 263 p.
Dimensions
Height: 235 mm
Width: 155 mm
Thickness: 16 mm
Weight
423 gr
ISBN-13
978-3-7908-0803-2 (9783790808032)
DOI
10.1007/978-3-642-46957-2
Schweitzer Classification
Other editions
Additional editions
Rita L. D'Ecclesia | Stavros A. Zenios
Operations Research Models in Quantitative Finance
Proceedings of the XIII Meeting EURO Working Group for Financial Modeling University of Cyprus, Nicosia, Cyprus
E-Book
12/2012
Physica
€96.29
Available for download
Content
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.