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Financial Modelling : Contributions to Management Science (Hardcover) - Maria Bonilla

Financial Modelling

Contributions to Management Science (Hardcover)

By: Maria Bonilla (Editor), Trinidad Casasus (Editor), Ramon Sala (Editor)

Paperback ISBN: 9783790812824
Number Of Pages: 427

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The book presents 27 selected contributions from the 24th EURO Working Group on Financial Modelling Meeting. The papers deal with financial theory, financial time series, risk analysis, portfolio analysis, financial institutions, microstructures market and corporate finance, methods in finance, and models in finance and derivatives. They present new developments in the fields of the optimization and the analysis of financial time series behaviour.

On the Use of Credit Rating Migration Matricesp. 1
Do Stock Market Anomalies Disappear? The Example of Small Size and Market-to-Book Premia at the London Stock Exchangep. 13
Testing Independence: A New Approachp. 31
Forecasting Exchange Rates Volatilities Using Artificial Neural Networksp. 57
An Application of Hybrid Models in Credit Scoringp. 69
Portfolio Selection Via Goal Programmingp. 79
ARCH Factor: A New Methodology to Estimate Value at Riskp. 93
A Problem of Optimization in a Case of Foreign Investmentp. 111
Improving Portfolio Performances Using Options Strategiesp. 125
An X-Efficiency Analysis of Different Banking Organizational Types in Europep. 143
Towards a Coherent Volatility Pricing Model: An Empirical Comparisonp. 159
Direction Indicators in Financial Modellingp. 171
Stock-Split Ex-Dates: Evidence from the Spanish Stock Marketp. 181
Portfolio Performance Through the Eyes of Monkeysp. 203
Approximation Properties of the Neuro-Fuzzy Minimum Functionp. 215
A Stakeholder Approach to the Valuation of Corporate Cash Flowsp. 229
Fuzzy Mathematical Programming for Portfolio Managementp. 241
Business Investment and Financial Constraints. Evidence of Spanish Case by Using Company Level Panel Datap. 257
A Portfolio Problem with Uncertaintyp. 279
Pricing Seats as Barrier Options. Implications for the Futures Marketsp. 291
Volatility Transmission Between Stock Marketsp. 309
Incentive Contracts and Performance Measures Based on Accrual Accounting Numbersp. 329
A General Approach to Different Concepts of Cost of Capitalp. 339
European Banks and the Creditmetrics Model: Can We Make its Implementation Easier?p. 353
Informational and Operational Financial Modelling as Strategic Part of the Corporate Criminal Intelligence Analysisp. 377
Immunization of Portfolios with Liabilitiesp. 391
Analysis and Forecasting of Social Security: A Study of Robustnessp. 401
Table of Contents provided by Blackwell. All Rights Reserved.

ISBN: 9783790812824
ISBN-10: 379081282X
Series: Contributions to Management Science (Hardcover)
Audience: General
Format: Paperback
Language: English
Number Of Pages: 427
Publisher: Springer-Verlag Berlin and Heidelberg Gmbh & Co. Kg
Country of Publication: DE
Dimensions (cm): 23.39 x 15.6  x 2.29
Weight (kg): 0.62