Financial modelling : recent research
著者
書誌事項
Financial modelling : recent research
（Contributions to management science）
Physica-Verlag, 1994
- : Physica-Verlag
- : Springer-Verlag
大学図書館所蔵 件 / 全12件
-
該当する所蔵館はありません
- すべての絞り込み条件を解除する
注記
Includes bibliographical references
内容説明・目次
内容説明
Many models in this volume can be used in solving portfolio problems, in assessing forecasts, in understanding the possible effects of shocks and disturbances.
目次
Insurance and Risk Management.- Single and Periodic Premiums for guaranteed Equity-Linked Life Insurance under Interest-Rate Risk: The "Lognormal+Vasicek" Case.- Solvency-Simulation in Non-Life Insurance.- A Multicriteria Classification: An Application to Italian Mutual Funds.- Asset Liability Matching for Pension Funds: A One-Period Model.- Asset Risk in a Liability Context: An Empirical Study for the Netherlands.- Bank Strategic Planning Process. A Multifactor Asset and Liability Risk Management Approach.- Index Tracking: Some Techniques and Results.- Stock Market Theory.- Expectations and News in an Imitative Stock-Market.- An Artificial Adaptive Speculative Stock Market.- Valuation of the Embedded Prepayment Option of Mortgage-Backed Securities.- The Effects on Optimal Portfolios of Shifts on a Risk Asset: The Case of Dependent Risky Returns.- Corporate Investment and Dividend Decisions under Differential Personal Taxation: A Note to Masulis and Trueman's Model.- A Decision Support System for the Evaluation of Bond Options in Imperfect Markets.- Pure Capital Rationing Problems: How to Bury Them and Why.- Pricing and Bargaining in Financial Markets.- APV Sensitivity with Respect to Interest Rates Fluctuations.- A Note on the Existence of Equilibrium Price Measures.- Bond Pricing through Bargaining.- Financial Markets Testing.- Risk Measurement and Size Effect on the Dutch Stock Market.- Conditional Risk and Predictability of Finnish Stock Returns.- Linear Models for Portfolio Selection and their Application to the Milano Stock Market.- Currency Markets.- When to use Currency Swaps. Determining the Expected Profit and Variance.- Currency Forecasting: An Investigation into Probability Judgement Accuracy.
「Nielsen BookData」 より
