Financial Modelling

1. Front Matter

   Pages I-XIV

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2. On the Use of Credit Rating Migration Matrices

   • Janez Barle, Anton Zunic

   Pages 1-12

3. Do Stock Market Anomalies Disappear? The Example of Small Size and Market-to-Book Premia at the London Stock Exchange

   • Leonardo Becchetti, Laura Cavallo

   Pages 13-29

4. Testing Independence: A New Approach

   • Jorge Belaire, Dulce Contreras

   Pages 31-55

5. Forecasting Exchange Rates Volatilities Using Artificial Neural Networks

   • María Bonilla, Paulina Marco, Ignacio Olmeda

   Pages 57-68

6. An Application of Hybrid Models in Credit Scoring

   • María Bonilla, Ignacio Olmeda, Rosa Puertas

   Pages 69-78

7. Portfolio Selection Via Goal Programming

   • Rafael Caballero, José Manuel Cabello, Analía Cano, Francisco Ruiz

   Pages 79-92

8. ARCH Factor: A New Methodology to Estimate Value at Risk

   • J. David Cabedo, Ismael Moya

   Pages 93-110

9. A Problem of Optimization in a Case of Foreign Investment

   • Trinidad Casasús, Juan Carlos Pérez

   Pages 111-124

10. Improving Portfolio Performances Using Options Strategies*

    • Rosella Castellano, Rosella Giacometti

    Pages 125-142

11. An X-Efficiency Analysis of Different Banking Organizational Types in Europe

    • Laura Cavallo, Stefania P. S. Rossi

    Pages 143-157

12. Towards a Coherent Volatility Pricing Model: An Empirical Comparison

    • Gianna Figà-Talamanca, Maria Letizia Guerra

    Pages 159-169

13. Direction Indicators in Financial Modelling

    • Ronald L. Giles

    Pages 171-179

14. Stock-Split Ex-Dates: Evidence from the Spanish Stock Market

    • J. Carlos Gómez Sala

    Pages 181-202

15. Portfolio Performance Through the Eyes of Monkeys

    • Aart Groenendijk, Jaap Spronk

    Pages 203-213

16. Approximation Properties of the Neuro-Fuzzy Minimum Function

    • Andreas Gottschling, Christof Kreuter

    Pages 215-228

17. A Stakeholder Approach to the Valuation of Corporate Cash Flows

    • Klaus Hellwig, Gerhard Speckbacher, Paul Wentges

    Pages 229-240

18. Fuzzy Mathematical Programming for Portfolio Management

    • Teresa León, Vicente Liern, Enriqueta Vercher

    Pages 241-256

19. Business Investment and Financial Constraints. Evidence of Spanish Case by Using Company Level Panel Data

    • Mónica Melle, Juan A. Maroto, José L. Raymond

    Pages 257-277

20. A Portfolio Problem with Uncertainty

    • Manuel Mocholí, Ramón Sala, Vicente Sanchis

    Pages 279-289

This book contains a selection of the papers presented at the 24th Meeting of the Euro Working Group on Financial Modelling held in Valencia, Spain, on April 8-10, 1.999. The Meeting took place in the Bancaja Cultural Center, a nice palace of the XIX century, located in the center of the city. Traditionally, members of the Euro Working Group on Financial Mod­ elling meet twice a year, hosted by different active groups in successions. The year 1999 was very special for us because the University of Valencia celebrates its fifth century. The Meeting was very well attended and of high quality. More than 90 participants, coming from 20 different countries debated 46 communications in regular sessions. The opening lecture was given by Prof. H. White, from the University of California, San Diego. The topics discussed were classified in nine sessions: Financial Theory, Financial Time Series, Risk Analysis, Portfolio Analysis, Financial Institu­ tions, Microstructures Market and Corporate Finance, Methods in Finance, Models in Finance and Derivatives. The papers collected in this volume provide a representative but not com­ plete sample of the fields where the members of the working group develop their scientific activity. The papers are a sample of this activity, and consist of theoretical papers as well as empirical ones.

• Cash Flow
• Fianancial Management
• Fianzielle Zeitreihen
• Finance
• Financial Modelling
• Financial Time Series
• Finanzierung
• Finanzmanagement
• Finanzwissenschaftliche Modellierung
• Investment
• Simulation
• calculus
• modeling
• optimization
• quantitative finance

• Department of Financial Economics and Mathematics, University of Valencia, Valencia, Spain

  María Bonilla, Trinidad Casasús, Ramón Sala

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