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