This book contains a selection of the papers presented at the 24th Meeting of the Euro Working Group on Financial Modelling held in Valencia, Spain, on April 8-10, 1.999. The Meeting took place in the Bancaja Cultural Center, a nice palace of the XIX century, located in the center of the city. Traditionally, members of the Euro Working Group on Financial Mod elling meet twice a year, hosted by different active groups in successions. The year 1999 was very special for us because the University of Valencia celebrates its fifth century. The Meeting was very well attended and of high quality. More than 90 participants, coming from 20 different countries debated 46 communications in regular sessions. The opening lecture was given by Prof. H. White, from the University of California, San Diego. The topics discussed were classified in nine sessions: Financial Theory, Financial Time Series, Risk Analysis, Portfolio Analysis, Financial Institu tions, Microstructures Market and Corporate Finance, Methods in Finance, Models in Finance and Derivatives. The papers collected in this volume provide a representative but not com plete sample of the fields where the members of the working group develop their scientific activity. The papers are a sample of this activity, and consist of theoretical papers as well as empirical ones.

Inhalt
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.