Current Topics in Quantitative Finance

1. Front Matter

   Pages I-VII

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2. Performance Evaluation of Algorithms for Black-Derman-Toy Lattice

   • Jozsef Abaffy, Marida Bertocchi, Jitka Dupačová, Vittorio Moriggia

   Pages 1-12

3. Efficient Diversification of International Investments: The Spanish Point of View

   • Maria Bonilla, Amparo Medal

   Pages 13-24

4. Scenarios Identification for Financial Modelling

   • Elio Canestrelli, Silvio Giove

   Pages 25-36

5. Merton-like Theoretical Frame for Fractional Brownian Motion in Finance

   • Marco Corazza

   Pages 37-47

6. Portfolio Analysis with Symmetric Stable Paretian Returns

   • Andrea Gamba

   Pages 48-69

7. Dynamics of Bond Returns in the Emerging Markets: A Study of the Thai Bond Market

   • Tippawan Pinvanichkul, Jyoti P. Gupta

   Pages 70-79

8. Modelling Option-Implied Return Distributions: A Generalized Log-Logistic Approximation

   • Winfried G. Hallerbach

   Pages 80-92

9. Dichotomous Rate in Stock-Price Process

   • Michael Koňák

   Pages 93-108

10. How Should We Measure Bank Efficiency? A Comparison of Classic and Recent Techniques Based on Simulated Data

    • Andrea Resti

    Pages 109-126

11. The Scheme of Fuzzy Dominance

    • Maria Rosaria Simonelli

    Pages 127-139

The present volume collects a selection of revised papers which were presented at the 21st Euro Working Group on Financial Modelling Meeting, held in Venice (Italy), on October 29-31, 1997. The Working Group was founded in September 1986 in Lisbon with the objective of providing an international forum for the exchange of information and experience; encouraging research and interaction be­ tween financial economic theory and practice of financial decision mak­ ing, as well as circulating information among universities and financial institutions throughout Europe. The attendance to the Meeting was large and highly qualified. More than 80 participants, coming from 20 different Countries debated on 5 invited lectures and 40 communications in regular sessions. The sessions were located at the Island of San Servolo, on the Venetian lagoon, just in front of the Doges Palace. San Servolo Island is a natural oasis, in the midst of a unique urban setting, offering great relaxation in a peaceful park and a panoramic view of Venice. The friendly atmosphere added great benefit to the formal and informal discussions among the participants, -which is typical of E.W.G.F.M. Meetings. It is interesting to consider the story of the Meeting. The previous locations were held at Cyprus, Crete and Dubrovnik - former mile­ stones of the Venitian Republic influence on the Mediterranean Sea. Therefore, that this Meeting should be harboured in the heart of the Republic itself (namely, the Saint Mark basin), was only a matter of consequence.

• Analysis
• Asset Pricing
• Corporate Finance
• Decision Theory
• Finance
• Financial Derivates
• Finanzderivate
• Portfolio Management
• linear optimization
• modeling
• quantitative finance

• Department of Applied Mathematics, Università “Ca Foscari” di Venezia, Venezia, Italy

  Elio Canestrelli

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