Operations research models in quantitative finance : proceedings of the XIII meeting EURO Working Group for Financial Modeling, University of Cyprus, Nicosia, Cyprus, April 28 - May 1 ; with 60 figures

The articles included in the volume cover a range of diverse topics linked by a common theme: the use of formal modelling techniques to promote better understanding of financial markets and improve management of financial operations. Apart from a theoretical discussion, most of the papers model validation or verification using market data. This collection of articles sets the framework for other studies that could link theory and practice. Front Matter....Pages I-X Front Matter....Pages 1-1 A Modern Approach to Performance Measurement for Insurers....Pages 3-17 Multi-Stage Financial Planning Systems....Pages 18-35 Financial Regulation and Multi-tier Financial Intermediation Systems....Pages 36-62 Front Matter....Pages 63-63 Immunization Strategies in Linear Models....Pages 65-75 Some Alternatives and Numerical Results in Binomial Put Option Pricing....Pages 76-94 Expected Utility without Utility: A Model of Portfolio Selection....Pages 95-111 Theoretical and Empirical Aspects of the Relation between Interest Rates and Common Stock Returns....Pages 112-133 Stochastic Programming Models for Portfolio Optimization with Mortgage Backed Securities: Comprehensive Research Guide....Pages 134-171 Shortfall-Risk for Multiperiod Investment Returns....Pages 172-184 Front Matter....Pages 185-185 Stock Returns: An Analysis of the Italian Market with GARCH Models....Pages 187-209 Embedded Option Pricing on Interest-Rate Sensitive Securities in the Italian Market....Pages 210-234 Mean Reversion at The Dutch Stock Exchange?....Pages 235-248 Low Fat Modeling and Reinsurance Induced Solvency....Pages 249-264 The Articles Included In The Volume Cover A Range Of Diverse Topics Linked By A Common Theme: The Use Of Formal Modelling Techniques To Promote Better Understanding Of Financial Markets And Improve Management Of Financial Operations.
apart From A Theoretical Discussion, Most Of The Papers Model Validation Or Verification Using Market Data. This Collection Of Articles Sets The Framework For Other Studies That Could Link Theory And Practice.