Overview

The book presents 27 selected contributions from the 24th EURO Working Group on Financial Modelling Meeting. The papers deal with financial theory, financial time series, risk analysis, portfolio analysis, financial institutions, microstructures market and corporate finance, methods in finance, and models in finance and derivatives. They present new developments in the fields of the optimization and the analysis of financial time series behaviour.

Full Product Details

Author:   Maria Bonilla ,  Trinidad Casasus ,  Ramon Sala ,  R. Sala (University of Valencia, Spain)
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint:   Physica-Verlag GmbH & Co
Edition:   Softcover reprint of the original 1st ed. 2000
Dimensions:   Width: 15.50cm , Height: 2.20cm , Length: 23.50cm
Weight:   0.668kg
ISBN:  

9783790812824

ISBN 10:   379081282
Pages:   427
Publication Date:   24 March 2000
Audience:   College/higher education ,  Professional and scholarly ,  Postgraduate, Research & Scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Manufactured on demand  
We will order this item for you from a manufactured on demand supplier.

Table of Contents

On the Use of Credit Rating Migration Matrices.- Do Stock Market Anomalies Disappear? The Example of Small Size and Market-to-Book Premia at the London Stock Exchange.- Testing Independence: A New Approach.- Forecasting Exchange Rates Volatilities Using Artificial Neural Networks.- An Application of Hybrid Models in Credit Scoring.- Portfolio Selection Via Goal Programming.- ARCH Factor: A New Methodology to Estimate Value at Risk.- A Problem of Optimization in a Case of Foreign Investment.- Improving Portfolio Performances Using Options Strategies.- An X-Efficiency Analysis of Different Banking Organizational Types in Europe.- Towards a Coherent Volatility Pricing Model: An Empirical Comparison.- Direction Indicators in Financial Modelling.- Stock-Split Ex-Dates: Evidence from the Spanish Stock Market.- Portfolio Performance Through the Eyes of Monkeys.- Approximation Properties of the Neuro-Fuzzy Minimum Function.- A Stakeholder Approach to the Valuation of Corporate Cash Flows.- Fuzzy Mathematical Programming for Portfolio Management.- Business Investment and Financial Constraints. Evidence of Spanish Case by Using Company Level Panel Data.- A Portfolio Problem with Uncertainty.- Pricing Seats as Barrier Options. Implications for the Futures Markets.- Volatility Transmission Between Stock Markets.- Incentive Contracts and Performance Measures Based on Accrual Accounting Numbers.- A General Approach to Different Concepts of Cost of Capital.- European Banks and the Creditmetrics Model: Can We Make its Implementation Easier?.- Informational and Operational Financial Modelling as Strategic Part of the Corporate Criminal Intelligence Analysis.- Immunization of Portfolios with Liabilities.- Analysis and Forecasting of Social Security: A Study of Robustness.

Reviews

Author Information

Tab Content 6

Author Website:  

Customer Reviews

Recent Reviews

No review item found!

Add your own review!

Countries Available

All regions