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Operations Research Models in Quantitative Finance

Proceedings of the XIII Meeting EURO Working Group for Financial Modeling University of Cyprus, Nicosia, Cyprus

  • Conference proceedings
  • © 1994

Overview

Editors:
  1. Rita L. D’Ecclesia

    1. Instituto di Scienze Economiche, Università degli Studi di Urbino, Urbino (PS), Italiy

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  2. Stavros A. Zenios

    1. The Wharton School, University of Pennsylvania, Philadelphia, USA
      Department of Public and Business Administration, University of Cyprus, Nicosia, Cyprus

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Part of the book series: Contributions to Management Science (MANAGEMENT SC.)

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Table of contents (13 papers)

  1. Front Matter

    Pages I-X
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  2. Generals

    1. Front Matter

      Pages 1-1
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    2. A Modern Approach to Performance Measurement for Insurers

      • David F. Babbel, Robert Stricker, Irwin T. Vanderhoof
      Pages 3-17

    3. Multi-Stage Financial Planning Systems

      • John M. Mulvey
      Pages 18-35

    4. Financial Regulation and Multi-tier Financial Intermediation Systems

      • Giorgio P. Szegö
      Pages 36-62

  3. Theoretical or Conceptual Modeling

    1. Front Matter

      Pages 63-63
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    2. Immunization Strategies in Linear Models

      • Francesca Beccacece, Lorenzo Peccati
      Pages 65-75

    3. Some Alternatives and Numerical Results in Binomial Put Option Pricing

      • Marida Bertocchi, Alessandro Butti
      Pages 76-94

    4. Expected Utility without Utility: A Model of Portfolio Selection

      • Erio Castagnoli, Marco Li Calzi
      Pages 95-111

    5. Theoretical and Empirical Aspects of the Relation between Interest Rates and Common Stock Returns

      • Winfried G. Hallerbach
      Pages 112-133

    6. Stochastic Programming Models for Portfolio Optimization with Mortgage Backed Securities: Comprehensive Research Guide

      • Raymond McKendall, Stavros Zenios, Martin Holmer
      Pages 134-171

    7. Shortfall-Risk for Multiperiod Investment Returns

      • Luisa Tibiletti
      Pages 172-184

  4. Empirical Modeling and Analysis

    1. Front Matter

      Pages 185-185
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    2. Stock Returns: An Analysis of the Italian Market with GARCH Models

      • Antonella Basso, Paola Ferretti
      Pages 187-209

    3. Embedded Option Pricing on Interest-Rate Sensitive Securities in the Italian Market

      • Rosella Giacometti, Carmen Nuzzo
      Pages 210-234

    4. Mean Reversion at The Dutch Stock Exchange?

      • Aart A. Groenendijk
      Pages 235-248

    5. Low Fat Modeling and Reinsurance Induced Solvency

      • J. H. von Eije
      Pages 249-264
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Keywords

About this book

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.

Editors and Affiliations

  • Instituto di Scienze Economiche, Università degli Studi di Urbino, Urbino (PS), Italiy

    Rita L. D’Ecclesia

  • The Wharton School, University of Pennsylvania, Philadelphia, USA

    Stavros A. Zenios

  • Department of Public and Business Administration, University of Cyprus, Nicosia, Cyprus

    Stavros A. Zenios

Bibliographic Information

  • Book Title: Operations Research Models in Quantitative Finance

  • Book Subtitle: Proceedings of the XIII Meeting EURO Working Group for Financial Modeling University of Cyprus, Nicosia, Cyprus

  • Editors: Rita L. D’Ecclesia, Stavros A. Zenios

  • Series Title: Contributions to Management Science

  • DOI: https://doi.org/10.1007/978-3-642-46957-2

  • Publisher: Physica Heidelberg

  • eBook Packages: Springer Book Archive

  • Copyright Information: Physica-Verlag Heidelberg 1994

  • Softcover ISBN: 978-3-7908-0803-2Published: 25 November 1994

  • eBook ISBN: 978-3-642-46957-2Published: 06 December 2012

  • Series ISSN: 1431-1941

  • Series E-ISSN: 2197-716X

  • Edition Number: 1

  • Number of Pages: X, 263

  • Topics: Operations Research/Decision Theory, Finance, general

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