Financial modelling recent research ; [selection of papers presented and discussed during the two Meetings held in 1992 of the EURO Working Group on Financial Modelling

The volume collects a selection of papers presented and discussed during the two Meetings held in 1992 of the EURO Working Group on Financial Modelling. In April the works were held in Cogne (Aosta Valley - Italy) and in November in Turku (Finland). The Group was founded eight years ago and at present is formed by some hundreds of people from over ten European countries and from the United States. The unusually high rythm of two Meetings per years has been always kept, with the exception of one of the first years. This reveals the strong vitality of this community. The wide variety of papers presented and discussed, together with the originality of their approach and of the results, also witnesses the quality of the work the Group is doing in Finance. There are more than one way to work in this fastly growing field. A largely diffused approach is mainly oriented in building theories to be cast within some general economic paradigm. If some simplifications are needed to get perfect theoretical coherence with the preferred paradigm, they are easily accepted. The most diffuse approach within the Group, although attenctive to general theories, tries sometimes to build workable models where many relevant details of the reality are captured even if the price is not to adhere to some general theory. This does not mean, of course, that the Group is against general paradigms. Front Matter....Pages I-X Single and Periodic Premiums for Guaranteed Equity-Linked Life Insurance under Interest-Rate Risk: The “Lognormal + Vasicek” Case....Pages 1-25 Solvency-Simulation in Non-life Insurance....Pages 26-48 A Multicriteria Classification: An Application to Italian Mutual Funds....Pages 49-59 Asset Liability Matching for Pension Funds: A One-Period Model....Pages 60-77 Asset Risk in a Liability Context: An Empirical Study for the Netherlands....Pages 78-100 Bank Strategic Planning Process a Multifactor Asset and Liability Risk Management Approach....Pages 101-112 Index Tracking: Some Techniques and Results....Pages 113-137 Expectations and News in an Imitative Stock-Market....Pages 138-154 An Artificial Adaptive Speculative Stock Market....Pages 155-178 Valuation of the Embedded Prepayment Option of Mortgage-Backed Securities....Pages 179-196 The Effects on Optimal Portfolios of Shifts on a Risky Asset: The Case of Dependent Risky Returns....Pages 197-208 Corporate Investment and Dividend Decisions Under Differential Personal Taxation: A Note to Masulis and Trueman’s Model....Pages 209-219 A Decision Support System for the Evaluation of Bond Options in Imperfects Markets....Pages 220-237 Pure Capital Rationing Problems: How to Bury Them and Why....Pages 238-247 APV Sensitivity with Respect to Interest Rates Fluctuations....Pages 248-254 A Note on the Existence of Equilibrium Price Measures....Pages 255-261 Bond Pricing through Bargaining....Pages 262-285 Risk Measurement and Size Effect on the Dutch Stock Market....Pages 286-295 Conditional Risk and Predictability of Finnish Stock Returns....Pages 296-319 Linear Models for Portfolio Selection and their Application to the Milano Stock Market....Pages 320-333 When to Use Currency Swaps....Pages 334-353 Currency Forecasting: An Investigation Into Probability Judgement Accuracy....Pages 354-364 The volume collects a selection of papers presented and discussed during the two Meetings held in 1992 of the EURO Working Group on Financial Modelling. In April the works were held in Cogne (Aosta Valley - Italy) and in November in Turku (Finland). The Group was founded eight years ago and at present is formed by some hundreds of people from over ten European countries and from the United States. The unusually high rhythm of two Meetings per years has been always kept, with the exception of one of the first years. This reveals the strong vitality of this community. The wide variety of papers presented and discussed, together with the originality of their approach and of the results, also witnesses the quality of the work the Group is doing in Finance. There are more than one way to work in this fastly growing field. A largely diffused approach is mainly oriented in building theories to be cast within some general economic paradigm. If some simplifications are needed to get perfect theoretical coherence with the preferred paradigm, they are easily accepted. The most diffuse approach within the Group, although attenctive to general theories, tries sometimes to build workable models where many relevant details of the reality are captured even if the price is not to adhere to some general theory. This does not mean, of course, that the Group is against general paradigms The high quality papers of this volume present applications of financial modelling. Among the important features are practical applicability and European institutional framework. The attention is focused on peculiarities like "thin capital markets, frictions, rationing, 'irrationalities'". The exchange rate role is often carefully considered. All papers contain new results. There is a widespread novelty in the viewpoint chosen by all the authors: Consider the peculiarities of European financial system and try to deal with it through modelling. Thus the reader gets an up-to-date collection of results of European research in this field. Many models can be used in solving portfolio problems, in assessing forecasts, in understanding the possible effects of shocks and disturbances