Ebook: Modelling Techniques for Financial Markets and Bank Management

Shown is the application of up-to-date techniques for measuring efficiency, information imperfection and predictability in financial markets. Moreover, trading strategies in commodity future markets, models for the evolution of interest rates and postoptimality analysis in portfolio management are given. A couple of conceptual papers on modelling preference relations are also included.

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Shown is the application of up-to-date techniques for measuring efficiency, information imperfection and predictability in financial markets. Moreover, trading strategies in commodity future markets, models for the evolution of interest rates and postoptimality analysis in portfolio management are given. A couple of conceptual papers on modelling preference relations are also included.

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Shown is the application of up-to-date techniques for measuring efficiency, information imperfection and predictability in financial markets. Moreover, trading strategies in commodity future markets, models for the evolution of interest rates and postoptimality analysis in portfolio management are given. A couple of conceptual papers on modelling preference relations are also included.
Content:
Front Matter....Pages I-X
Financial Modelling: From Stochastics to Chaotics and Back to Stochastics....Pages 1-16
Uncertainty about Input Data in Portfolio Management....Pages 17-33
Non-Substitution Theorems for Perfect Matching Problems....Pages 34-47
Commodity Futures Markets and Trading Strategies Opportunities....Pages 48-64
Financial Asset Demand in the Italian Market:an Empirical Analysis....Pages 65-89
Italian Term Structure Movements: the Appropriateness of a Multinomial Model....Pages 90-100
Replicating an Option under General Rebalancing Costs....Pages 101-110
Linear Programming and Econometric Methods for Bank Efficiency Evaluation: an Empirical Comparison Based on a Panel of Italian Banks....Pages 111-139
Measuring Managerial and Program Efficiencies in a Swedish Savings and Loan....Pages 140-151
Bankruptcies, Indebtedness and the Credit Crunch....Pages 152-177
Bankruptcy Prediction: Discriminant Analysis versus Neural Networks....Pages 178-191
Rough Set Approach to Stock Selection: an Application to the Italian Market....Pages 192-211
Takeover Algorithms....Pages 212-222
The Number of Arbitrage Pricing Theory Factors: An Assessment of the Power of Multivariate Tests Used....Pages 223-258
Tests for Randomness in Multiple Financial Time Series....Pages 259-271
On SSB Utility Theory....Pages 272-284
Proper Risk Aversion in Presence of Multiple Sources of Risk....Pages 285-296

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Shown is the application of up-to-date techniques for measuring efficiency, information imperfection and predictability in financial markets. Moreover, trading strategies in commodity future markets, models for the evolution of interest rates and postoptimality analysis in portfolio management are given. A couple of conceptual papers on modelling preference relations are also included.
Content:
Front Matter....Pages I-X
Financial Modelling: From Stochastics to Chaotics and Back to Stochastics....Pages 1-16
Uncertainty about Input Data in Portfolio Management....Pages 17-33
Non-Substitution Theorems for Perfect Matching Problems....Pages 34-47
Commodity Futures Markets and Trading Strategies Opportunities....Pages 48-64
Financial Asset Demand in the Italian Market:an Empirical Analysis....Pages 65-89
Italian Term Structure Movements: the Appropriateness of a Multinomial Model....Pages 90-100
Replicating an Option under General Rebalancing Costs....Pages 101-110
Linear Programming and Econometric Methods for Bank Efficiency Evaluation: an Empirical Comparison Based on a Panel of Italian Banks....Pages 111-139
Measuring Managerial and Program Efficiencies in a Swedish Savings and Loan....Pages 140-151
Bankruptcies, Indebtedness and the Credit Crunch....Pages 152-177
Bankruptcy Prediction: Discriminant Analysis versus Neural Networks....Pages 178-191
Rough Set Approach to Stock Selection: an Application to the Italian Market....Pages 192-211
Takeover Algorithms....Pages 212-222
The Number of Arbitrage Pricing Theory Factors: An Assessment of the Power of Multivariate Tests Used....Pages 223-258
Tests for Randomness in Multiple Financial Time Series....Pages 259-271
On SSB Utility Theory....Pages 272-284
Proper Risk Aversion in Presence of Multiple Sources of Risk....Pages 285-296
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