Titlebook: Recent Research in Financial Modelling; Evert Jan Stokking,Giovanni Zambruno Conference proceedings 1993 Physica-Verlag Heidelberg 1993 De

indicate

推测

Present Value Decomposition of Foreign Currency Assets,ets in different foreign currencies. If on one hand this opening enlarges the possibility of both investment and financing, on the other financial tools are needed to subdue, to limit or to exclude the exchange risk. In particular it may be useful to analyse how contingent variations of exchange rat

ONYM

Institutionally Heterogeneous Agents in an Imitative Stock-Market,n. As a counterpart, the explicit use of agents’ heterogeneity and “imitation” supplies a more realistic grasp of some relevant market features, although in highly simplified and theoretical models. In this framework the aim of this paper is to stress two points, by using a single-stock model where

prosperity

Pricing Contingent Claims: First- and Second-Order Effects from Stochastic Interest Rate Developmenns that determine prices of interest rate contingent claims..The theoretically correct, arbitrage-free premiums for call options on bonds are compared with the “pseudo premiums” obtained by adopting the common practice of treating the short term rate of interest as a constant. This practice has been

ANT

Can Subjective Exchange Rate Forecasts be Improved?,ion, Yugoslavian upheaval, Iraq’s invasion of Kuwait and the breakup of the USSR are a striking reminder that quantitative models alone cannot predict the future. Reliable currency forecasting requires subjective input, using the expertise of the person or persons making the forecast. Ignoring this

muscle-fibers

Small Business Diagnosis Using Statistical Modelling and Artificial Intelligence,nts advising small businesses. An automated business diagnosis system can be defined as a computer program that delivers an opinion of the viability of a company. As a working hypothesis, it is assumed that the use of such a system improves the performance of the consultant; better judgements are ma

Brochure

确定

Conference proceedings 1993ial Modelling. The papersrelated to the microstructure of capitalmarkets provideevidence that the price dynamics of financial assets canon-ly be explained - and modelled - on the basis of acarefulexamination of the decision process which leads traders tointeract and fix the equilibrium prices. The p

Neonatal

Factor Immunization,tructure. The assumptions made in this model are usually banned to footnotes. The model is defended by pointing out the results, compared to more sophisticated models. Good results are defined by deviation from the expected, or desired results. But, as will be pointed out, it is very hard to define the desired result.

somnambulism

An Explanation for the Weak Evidence in Support of the Systematic Risk-Return Relationship,significance found in tests over shorter intervals and for the inability of subperiod tests to confirm significance found in overall periods. Our results suggest that lack of statistical power may be a more valid conclusion than rejection of the CAPM.