FINANCIAL MODELLING PROCEEDINGS OF THE 23RD MEETING OF THE EURO WORKIN RED. SKULIMOWSKI A. Księgarnia

Publikacja ta zawiera najlepsze referaty kilkudziesięciu specjalistów z dziedziny finansów z Europy i obu Ameryk, uczestniczących w organizowanej przez Fundację Progress & Business konferencji, przedstawiając reprezentatywny obraz stanu wiedzy z dziedziny modelowania finansowego.

Pozycja ta skierowana jest do instytucji polskiego rynku finansowego, doradców finansowych, spółek prawa handlowego oraz wszystkich osób zainteresowanych praktycznym zastosowaniem modelowania w finansach.

Contents

Andrzej M. J. Skulimowski - Foreword

Part I. Capital Market Theory

Otto Loistl, Olaf Vetter
Stochastic Modelling of Stock Markets to Assessing Trading Efficiency

Rosella Castellano, Luigina Bruni
The Specialist's Role and its Effect on Thin Stock Prices: The Italian Case

Rita L. D'Ecclesia, Marida Bertocchi, Jozsef Abaffy
Tracking Indices of Fixed-Income Securities for the Italian Market

Paolo Falbo, Rosanna Grassi
Pareto Optimal Financial Trades with Risky and Not-Risky Assets

Part II. Portfolio Theory and Management

Armin B. Cremers, Christof Hundack, Jens Luessem
How to Determine Large Log-Optimal Portfolios

Engelbert J. Dockner, Hans Moritsch, Georg Ch. Pflug, Artur Świętanowski
The AURORA Financial Management System: from Model Design to Parallel Implementation

Juan-Carlos Francos-Rodriguez, Thierry J. Chaussalet
Portfolio Selection Using Contract Based Utility Functions

Chris J. Adcock, Karl Shutes
Portfolio Selection Based on the Multivariate Skew Normal Distribution

Leonidas Sakalauskas
Portfolio Management by the Monte-Carlo Method

Part III. Risk Analysis and Pricing Models

Włodzimierz Ogryczak
Stochastic Dominance Relation and Linear Risk Measures

Grażyna Trzpiot
Classification of Stock Market Investment Projects by Multivalued Stochastic Dominance

Maria Rosaria Simonelli
Fuzzy Insurance Premium Principles

Paul K. Freeman, Landis MacKellar
Pricing Catastrophic Risk

Engelbert J. Dockner, Hans Moritsch
Pricing Constant Maturity Floaters with Embedded Option Using Monte-Carlo Simulation

Part IV. Emerging Markets

Joao Furtado, Mauricio R. do Valle
Globalization, Stabilization and the Collapse of the National Company

Dusan Mramor, Aljosa Valentincic
Needs and Possibilities of Financing Slovenian Enterprises

Andrzej M. J. Skulimowski
A Discrete-Control-System Model of Order Driven Capital Markets

Ephraim Clark, Octave Jokung
Note on Asset Proportions Stochastic Dominance and 50% Rule

Part V. Financial Time Series and Forecasting

Marida Bonilla, Paulina Marco, Ignacio Olmeda
A Computationally Intensive Comparison of ARCH-type Forecasts

Mary E. Wilkie-Thomson, Dilek Onkal-Atay, Andrew C. Pollock, Alex Macaulay
The Influence of Trend Strength on Directional Probabilistic Currency Predictions

Part VI. Enterprise and Bank Models

Vladimir Simovic, Dragan Radic, Zdravko Zrinusic
Operational Model for Analysing and Visualisation of the Interesting and Suspicious Financial Transactions

Aram H. Arakelyan, A.V. Barseghyan
Model of Dynamic System for Optimal Management of Bank Resources

Roland Giles
Modelling the Speed of Adjustment of Financial Ratios to Unobservable Target Levels

Dusan Mramor, Marko Pahor
Testing Nonlinear Relationships between Excess Rate of Return on Equity and Financial Ratios

Tomasz Pietrzak
Investment Break-Even Point

Authors' Index

501 stron

Po otrzymaniu zamówienia poinformujemy,
czy wybrany tytuł polskojęzyczny lub anglojęzyczny jest aktualnie na półce księgarni.