Modelling Techniques for Financial Markets and Bank Management

Häftad, Engelska, 1996

Del i serien Contributions to Management Science

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Beskrivning

Shown is the application of up-to-date techniques for measuring efficiency, information imperfection and predictability in financial markets. Moreover, trading strategies in commodity future markets, models for the evolution of interest rates and postoptimality analysis in portfolio management are given. A couple of conceptual papers on modelling preference relations are also included.

Produktinformation

Utgivningsdatum:1996-04-25
Mått:155 x 235 x 17 mm
Vikt:470 g
Format:Häftad
Språk:Engelska
Serie:Contributions to Management Science
Antal sidor:296
Förlag:Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN:9783790809282

Utforska kategorier

Innehållsförteckning

Financial Modelling: From Stochastics to Chaotics and Back to Stochastics.- Uncertainty about Input Data in Portfolio Management.- Non-Substitution Theorems for Perfect Matching Problems.- Commodity Futures Markets and Trading Strategies Opportunities.- Financial Asset Demand in the Italian Market: an Empirical Analysis.- Italian Term Structure Movements: the Appropriateness of a Multinomial Model.- Replicating an Option under General Rebalancing Costs.- Linear Programming and Econometric Methods for Bank Efficiency Evaluation: an Empirical Comparison Based on a Panel of Italian Banks.- Measuring Managerial and Program Efficiencies in a Swedish Savings and Loan.- Bankruptcies, Indebtedness and the Credit Crunch.- Bankruptcy Prediction: Discriminant Analysis versus Neural Networks.- Rough Set Approach to Stock Selection: an Application to the Italian Market.- Takeover Algorithms.- The Number of Arbitrage Pricing Theory Factors: an Assessment of the Power of Multivariate Tests Used.- Tests for Randomness in Multiple Financial Time Series.- On SBB Utility Theory.- Proper Risk Aversion in Presence of Multiple Sources of Risk.