Skip to main content
SpringerLink
Log in

Financial Modelling

Recent Research

  • Conference proceedings
  • © 1994

Overview

Editors:
  1. Lorenzo Peccati

    1. Istituto di Metodi Quantitativi, Università Commerciale Luigi Bocconi, Milano, Italy

    View editor publications

    You can also search for this editor in PubMed   Google Scholar

  2. Matti Virén

    1. Department of Economics, University of Turku, Turku, Finland

    View editor publications

    You can also search for this editor in PubMed   Google Scholar

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

This is a preview of subscription content, log in via an institution to check access.

Access this book

Log in via an institution
eBook USD 84.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 109.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access

Licence this eBook for your library

Institutional subscriptions

Table of contents (22 papers)

  1. Front Matter

    Pages I-X
    Download chapter PDF

  2. Insurance and Risk Management

    1. Single and Periodic Premiums for Guaranteed Equity-Linked Life Insurance under Interest-Rate Risk: The “Lognormal + Vasicek” Case

      • Anna Rita Bacinello, Fulvio Ortu
      Pages 1-25

    2. Solvency-Simulation in Non-life Insurance

      • Bert Kramer, Sytze Hobma
      Pages 26-48

    3. A Multicriteria Classification: An Application to Italian Mutual Funds

      • Luisa Tibiletti
      Pages 49-59

    4. Asset Liability Matching for Pension Funds: A One-Period Model

      • Paul C. van Aalst, C. Guus, E. Boender
      Pages 60-77

    5. Asset Risk in a Liability Context: An Empirical Study for the Netherlands

      • Paul C. van Aalst, Winfried G. Hallerbach, Margot E. T. A. van der Velden, Erwin A. C. van der Voort
      Pages 78-100

    6. Bank Strategic Planning Process a Multifactor Asset and Liability Risk Management Approach

      • Mario Onorato
      Pages 101-112

    7. Index Tracking: Some Techniques and Results

      • Winfried G. Hallerbach
      Pages 113-137

  3. Stock Market Theory

    1. Expectations and News in an Imitative Stock-Market

      • Egidio Battistini, Luigi Ferrari, Lorenzo Peccati
      Pages 138-154

    2. An Artificial Adaptive Speculative Stock Market

      • Andrea Beltratti, Sergio Margarita
      Pages 155-178

    3. Valuation of the Embedded Prepayment Option of Mortgage-Backed Securities

      • Rita L. D’Ecclesia, Stavros A. Zenios
      Pages 179-196

    4. The Effects on Optimal Portfolios of Shifts on a Risky Asset: The Case of Dependent Risky Returns

      • Luisa Tibiletti
      Pages 197-208

    5. Corporate Investment and Dividend Decisions Under Differential Personal Taxation: A Note to Masulis and Trueman’s Model

      • Bosco Stefano
      Pages 209-219

    6. A Decision Support System for the Evaluation of Bond Options in Imperfects Markets

      • Benoît Daenen, Bertrand Mareschal
      Pages 220-237

    7. Pure Capital Rationing Problems: How to Bury Them and Why

      • Maria Elena De Giuli, Umberto Magnani
      Pages 238-247

  4. Pricing and Bargaining in Financial Markets

    1. APV Sensitivity with Respect to Interest Rates Fluctuations

      • Maria Luisa Gota
      Pages 248-254

    2. A Note on the Existence of Equilibrium Price Measures

      • Marco Li Calzi
      Pages 255-261

    3. Bond Pricing through Bargaining

      • Elisa Luciano
      Pages 262-285

  5. Financial Markets Testing

    1. Risk Measurement and Size Effect on the Dutch Stock Market

      • A. Corha, A. Tourani Rad
      Pages 286-295

    2. Conditional Risk and Predictability of Finnish Stock Returns

      • Markku Malkamäki
      Pages 296-319
Back to top

Keywords

About this book

The volume collects a selection of papers presented and discussed during the two Meetings held in 1992 of the EURO Working Group on Financial Modelling. In April the works were held in Cogne (Aosta Valley - Italy) and in November in Turku (Finland). The Group was founded eight years ago and at present is formed by some hundreds of people from over ten European countries and from the United States. The unusually high rythm of two Meetings per years has been always kept, with the exception of one of the first years. This reveals the strong vitality of this community. The wide variety of papers presented and discussed, together with the originality of their approach and of the results, also witnesses the quality of the work the Group is doing in Finance. There are more than one way to work in this fastly growing field. A largely diffused approach is mainly oriented in building theories to be cast within some general economic paradigm. If some simplifications are needed to get perfect theoretical coherence with the preferred paradigm, they are easily accepted. The most diffuse approach within the Group, although attenctive to general theories, tries sometimes to build workable models where many relevant details of the reality are captured even if the price is not to adhere to some general theory. This does not mean, of course, that the Group is against general paradigms.

Editors and Affiliations

  • Istituto di Metodi Quantitativi, Università Commerciale Luigi Bocconi, Milano, Italy

    Lorenzo Peccati

  • Department of Economics, University of Turku, Turku, Finland

    Matti Virén

Bibliographic Information

Publish with us

Policies and ethics

Back to top

Search

Navigation