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

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.

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Paperback (Softcover reprint of the original 1st ed. 1994)
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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.

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Product Details

  • ISBN-13: 9783790808032
  • Publisher: Physica-Verlag HD
  • Publication date: 1/28/1995
  • Series: Contributions to Management Science Series
  • Edition description: Softcover reprint of the original 1st ed. 1994
  • Edition number: 1
  • Pages: 263
  • Product dimensions: 6.14 (w) x 9.21 (h) x 0.58 (d)

Table of Contents

A Modern Approach to Performance Measurement for Insurers 3
Multi-Stage Financial Planning System 18
Financial Regulation and Multi-tier Financial Intermediation Systems 36
Immunization Strategies in Linear Models 65
Some Alternatives and Numerical Results in Binomial Put Option Pricing 76
Expected Utility without Utility: A Model of Portfolio Selection 95
Theoretical and Empirical Aspects of the Relation between Interest Rates and Common Stock Returns 112
Stochastic Programming Models for Portfolio Optimization with Mortgage Backed Securities: Comprehensive Research Guide 134
Shortfall Risk for Multiperiod Investment Returns 172
Stock Returns: An Analysis of the Italian Market with GARCH Models 187
Embedded Option Pricing on Interest-Rate Sensitive Securities in the Italian Market 210
Mean Reversion at the Dutch Stock Exchange? 235
Low Fat Modeling and Reinsurance Induced Solvency 249
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