Operations Research Models in Quantitative Finance

Operations Research Models in Quantitative Finance : Proceedings of the XIII Meeting EURO Working Group for Financial Modeling University of Cyprus, Nicosia, Cyprus

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The articles included in the volume cover a range of diverse topics linked by a common theme: the use of formal modelling techniques to promote better understanding of financial markets and improve management of financial operations.
Apart from a theoretical discussion, most of the papers model validation or verification using market data. This collection of articles sets the framework for other studies that could link theory and practice.
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Product details

  • Paperback | 263 pages
  • 155 x 235 x 14.73mm | 423g
  • Physica-Verlag GmbH & Co
  • Heidelberg, Germany
  • English
  • Softcover reprint of the original 1st ed. 1994
  • 28 Tables, black and white; X, 263 p.
  • 3790808032
  • 9783790808032

Table of contents

1 Generals.- A Modern Approach to Performance Measurement for Insurers.- Multi-Stage Financial Planning System.- Financial Regulation and Multi-tier Financial Intermediation Systems.- 2 Theoretical or Conceptual Modeling.- Immunization Startegies in Linear Models.- Some Alternatives and Numerical Results in Binomial Put Option Pricing.- Expected Utility without Utility: A Model of Portfolio Selection.- Theoretical and Empirical Aspects of the Relation between Interest Rates and Common Stock Returns.- Stochastic Programming Models for Portfolio Optimization with Mortgage Backed Securities: Comprehensive Research Guide.- Shortfall Risk for Multiperiod Investment Returns.- 3 Empirical Modeling and Analysis.- Stock Returns: An Analysis of the Italian Market with GARCH Models.- Embedded Option Pricing on Interest-Rate Sensitive Securities in the Italian Market.- Mean Reversion at the Dutch Stock Exchange?.- Low Fat Modeling and Reinsurance Induced Solvency.
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