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E-RESOURCE
Author Canestrelli, Elio.

Title Current Topics in Quantitative Finance [electronic resource] / edited by Elio Canestrelli.

Published Heidelberg : Physica-Verlag HD : Imprint : Physica, 1999.

Copies

Location Call No. Status
 UniM INTERNET resource    AVAILABLE
Physical description 1 online resource (viii, 139 pages 14 illustrations).
Series Contributions to Management Science, 1431-1941
Contributions to management science.
Contents J. Abaffy, M. Bertocchi, J. Dupacov⡬ V. Moriggia: Performance Evaluation of Algorithms for Black-Derman-Toy Lattice -- M. Bonilla, A. Medal: Efficient Diversification of International Investment: The Spanish Point of View -- E. Canestrelli, S. Giove: Scenarios Identification for Financial Modelling -- M. Corazza: Merton-like Theoretical Frame for Fractional Brownian Motion in Finance -- A. Gamba: Portfolio Analysis with Symmetric Stable Paretian Returns -- T. Pinvanichkul, J.P. Gupta: Dynamics of Bond Returns in the Emerging Markets: A Study of the Thai Bond Market -- W.G. Hallerbach: Modelling Option-Implied Return Distributions: A Generalized Log-Logistic Approximation -- M. Kon⡫: Dichotomous Rate in Stock-Price Process -- A. Resti: How Should We Measure Bank Efficiency? A Comparison of Classic and Recent Techniques Based on Simulated Data -- M.R. Simonelli: The Scheme of Fuzzy Dominance.
Summary The volume collects a selection of papers of the 21st EURO Working Group on Financial Modelling. The papers in this book provide a representative, though not complete, sample of the current scientific activity in the field of quantitative finance. Such activity is not only theoretical but also practical, because it tries to combine theoretic analyses with empirical evidence. The topics deal with corporate finance, asset price analysis, portfolio management, decision theory, international exchange markets and financial derivatives. It is important to note the presence of algorithms, methods and models, helpful in the real activities of a decision maker such as performance evaluations and scenarios identifications in portfolio models, how to measure bank efficiency, and how to realize an efficient diversification of international investments.
Subject Economics.
Finance.
Operations research.
Electronic books.
ISBN 9783642586774 (electronic bk.)
3642586775 (electronic bk.)
9783790812312
3790812315