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Modelling Techniques for Financial Markets and Bank Management

  • Conference proceedings
  • © 1996

Overview

Editors:
  1. Marida Bertocchi

    1. Department of Mathematics, Statistics, Informatics and Applications, University of Bergamo, Bergamo, Italy

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  2. Enrico Cavalli

    1. Department of Mathematics, Statistics, Informatics and Applications, University of Bergamo, Bergamo, Italy

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    You can also search for this editor in PubMed   Google Scholar

  3. Sándor Komlósi

    1. Department of Management Science, Faculty of Business and Economics, Janus Pannonius University Pécs, Pécs, Hungary

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    You can also search for this editor in PubMed   Google Scholar

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

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Table of contents (17 papers)

  1. Front Matter

    Pages I-X
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  2. Financial Modelling: From Stochastics to Chaotics and Back to Stochastics

    • A. G. Malliaris, Jerome L. Stein
    Pages 1-16

  3. Uncertainty about Input Data in Portfolio Management

    • Jitka Dupačová
    Pages 17-33

  4. Non-Substitution Theorems for Perfect Matching Problems

    • Maria Elena De Giuli, Umberto Magnani
    Pages 34-47

  5. Commodity Futures Markets and Trading Strategies Opportunities

    • Paolo Falbo, Marco Frittelli, Silvana Stefani
    Pages 48-64

  6. Financial Asset Demand in the Italian Market:an Empirical Analysis

    • Giorgio Calcagnini, Rita L. D’Ecclesia
    Pages 65-89

  7. Italian Term Structure Movements: the Appropriateness of a Multinomial Model

    • Adriana Gnudi
    Pages 90-100

  8. Replicating an Option under General Rebalancing Costs

    • Elisabetta Allevi
    Pages 101-110

  9. Linear Programming and Econometric Methods for Bank Efficiency Evaluation: an Empirical Comparison Based on a Panel of Italian Banks

    • Andrea Resti
    Pages 111-139

  10. Measuring Managerial and Program Efficiencies in a Swedish Savings and Loan

    • Thomas Hartman, James E. Storbeck
    Pages 140-151

  11. Bankruptcies, Indebtedness and the Credit Crunch

    • Kari Takala, Matti Virén
    Pages 152-177

  12. Bankruptcy Prediction: Discriminant Analysis versus Neural Networks

    • Damiano Carrara, Enrico Cavalli
    Pages 178-191

  13. Rough Set Approach to Stock Selection: an Application to the Italian Market

    • Salvatore Greco, Silvestro Lo Cascio, Benedetto Matarazzo
    Pages 192-211

  14. Takeover Algorithms

    • Gianfranco Gambarelli
    Pages 212-222

  15. The Number of Arbitrage Pricing Theory Factors: An Assessment of the Power of Multivariate Tests Used

    • Michael J. Page
    Pages 223-258

  16. Tests for Randomness in Multiple Financial Time Series

    • József Varga
    Pages 259-271

  17. On SSB Utility Theory

    • Margherita Cigola, Paola Modesti
    Pages 272-284

  18. Proper Risk Aversion in Presence of Multiple Sources of Risk

    • Luisa Tibiletti
    Pages 285-296
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Keywords

About this book

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.

Editors and Affiliations

  • Department of Mathematics, Statistics, Informatics and Applications, University of Bergamo, Bergamo, Italy

    Marida Bertocchi, Enrico Cavalli

  • Department of Management Science, Faculty of Business and Economics, Janus Pannonius University Pécs, Pécs, Hungary

    Sándor Komlósi

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