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Operations Research Models in Quantitative Finance: Contributions to Management Science

Editat de Rita L. D'Ecclesia, Stavros A. Zenios
en Limba Engleză Paperback – 25 noi 1994
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.
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Specificații

ISBN-13: 9783790808032
ISBN-10: 3790808032
Pagini: 276
Ilustrații: X, 263 p.
Dimensiuni: 155 x 235 x 16 mm
Greutate: 0.42 kg
Ediția:Softcover reprint of the original 1st ed. 1994
Editura: Physica
Colecția Contributions to Management Science
Seria Contributions to Management Science

Locul publicării:Heidelberg, Germany

Public țintă

Research

Cuprins

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.