FINANCIAL MODELLING PROCEEDINGS OF THE 23RD MEETING OF THE EURO WORKING GROUP ON FINANCIAL MODELLING

ISBN: 83-912831-1-9

stron: 501

format: A5

oprawa: miękka

rok wydania: 1999

Financial Modelling belongs to one of the arcas of finance rapidly developing during the past years. This development is driven, among the others, by a corresponding rapid development of financial and capital markets and by their globalisation. The scope of Financial Modelling is closely related to, but not identical with Quantitative Finance, which can be described as an area of algorithmic and numerical applications of Financial Modelling. The latter includes also models of decision-making processes in finance, security pric-ing, risk modelling and management, and corporate finance issues. The definition of Financial Modelling admitted by the EURO Working Group reads: "the development and implementation of tools supporting firms, investors, intermediaries, governments, and others in their financial-economic decision-making, including the validation of the premises behind these tools and the measurement of the effectivity of the use of these tools" (see Spronk and Hallerbach, 1997).

SPIS TREŚCI

Andrzej M. J. Skulimowski - Foreword
Part l. Capital Market Theory
Otto Loistl, Olaf Vetter
Stochastic Modelling of Stock Markets to Assessing
Trading Efficiency
Rosella Caslellano. Luigina Bruni
The Specialisfs Role and its Effect on Thin Stock Prices;
The Italian Case
Rita L. D‘Ecclesia, Marida Bertocchi, Jozsef Abaffy
Tracking Indices of Fixed-Income Securities for the Italian Market Paolo Falbo, Rosanna Grassi
Pareto Optimal Financial Trades with Risky and Not-Risky Assets
Part II. Portfolio Theory and Management
Armin B. Cremers, Christof Hundack, Jens Liisscin
How to Determine Large Log-Optimal Portfolios
Engelbert J. Dockner, Hans Moritsch, Georg Ch. Pflug,
Artur Swiętanowski
The AURORA Financial Management System: from Model Design to Parallel Implementation

Juan-Carlos Francos-Rodriguez, Thierry J. Chaussalet
Portfolio Selection Using Contract Based Utility Functions
Chris J. Adcock, Karl S hut es
Portfolio Selection Based on the Multivariate Skew
Normal Distribution
Leonidas Sakalauskas
Portfolio Management by the Monte-Carlo Method
Part III. Risk Analysis and Pricing Models
Włodzimierz Ogryczak
Stochastic Dominance Relation and Linear Risk Measures
Grażyna Trzpiot
Classification of Stock Market Investment Projects
by Multivalued Stochastic Dominance
Maria Rosaria Simonelli
Fuzzy Insurance Premium Principles
Paul K. Freeman, Landis MacKellar
Pricing Catastrophic Risk
Engelbert J. Dockner, Hans Moritsch
Pricing Constant Maturity Floaters with Embedded Option
Using Monte-Carlo Simulation
Part IV. Emerging Markets
Joao Furtado, Mauricio R. do Valle
Globalization, Stabilization and the Collapse of the National
Company
Dusan Mramor, Aljosa Valentincic
Needs and Possibilities of Financing Slovenian Enterprises
Andrzej M. J. Skulimowski
A Discrete-Control-System Model of Order Driven Capital Markets Ephraim Clark, Octave Jokung
Note on Asset Proportions Stochastic Dominance and 50% Rule

Part V. Financial Time Series and Forecasting
Marida Bonilla, Paulina Marco, Ignacio Olmeda
A Computationally Intensive Comparison of ARCH-type Forecasts Mary E. Wilkie-Thomson, Dilek Ónkal-Atay, Andrew C. Pollock, Alex Macaulay
The Influence of Trend Strength on Directional Probabilistic Currency Predictions
Part VI. Enterprise and Bank Models
VIadimir Simović, Dragan Radic, Zdravko ZrinuSic
Operational Model for Analysing and Visualisation of the Interesting
and Suspicious Financial Transactions
Aram H. Arakelyan, A.V. Barseghyan
Model of Dynamie System for Optimal Management
of Bank Resources
Rolami Giles
Modelling the Speed of Adjustment of Financial
Ratios to Unobservable Target Levels
Duśaii Mramor, Marko Pahor
Testing Nonlinear Relationships between Excess Ratę of Return
on Eąuity and Financial Ratios
Tomasz Pietrzak
Investment Break-Even Point
Authors‘ Index