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Operations Research Models in Quantitative Finance

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The articles included in the volume cover a range of diverse topics linked by a common theme: the use of formal modelling techniq... Weiterlesen
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Beschreibung

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.



Inhalt

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.

Produktinformationen

Titel: Operations Research Models in Quantitative Finance
Untertitel: Proceedings of the XIII Meeting EURO Working Group for Financial Modeling University of Cyprus, Nicosia, Cyprus
Editor:
EAN: 9783642469572
Format: E-Book (pdf)
Hersteller: Physica-Verlag HD
Genre: Wirtschaft
Veröffentlichung: 06.12.2012
Digitaler Kopierschutz: Wasserzeichen
Anzahl Seiten: 263

Weitere Bände aus der Buchreihe "Contributions to Management Science"