Operations Research Models in Quantitative Finance: Proceedings of the XIII Meeting EURO Working Group for Financial Modeling University of Cyprus, Nicosia, Cyprus

by Rita L. D'Ecclesia (Editor), Stavros A. Zenios (Editor)

Overview

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.

Product Details

ISBN-13:	9783790808032
Publisher:	Physica-Verlag HD
Publication date:	11/25/1994
Series:	Contributions to Management Science
Edition description:	Softcover reprint of the original 1st ed. 1994
Pages:	263
Product dimensions:	6.10(w) x 9.25(h) x 0.02(d)

Table of Contents

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 Sk Returns.- Shastic Programming Models for Portfolio Optimization with Mortgage Backed Securities: Comprehensive Research Guide.- Shortfall Risk for Multiperiod Investment Returns.- 3 Empirical Modeling and Analysis.- Sk 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 Sk Exchange?.- Low Fat Modeling and Reinsurance Induced Solvency.