Large-scale economic and financial applications: new tools and methodologies

Marida Bertocchi

A cura di: Luciano Stefanini

Large-scale economic and financial applications: new tools and methodologies

Edizione a stampa

33,50

Pagine: 240

ISBN: 9788820471248

Edizione: 1a edizione 1992

Codice editore: 365.35

Disponibilità: Fuori catalogo

This volume collects the contributions to the International Workshop on Large-Scale Economic and Financial Applications: New Tools and Methodologies., held in Urbino, Italy, at the Faculty of Economics and Business Sciences of the local University. The main purpose of the Workshop was to enhance the possibility of introducing and improving the performance of new quantitative techniques for those economic and financial problems which require analysis of large amounts of data, numeric and/or symbolic. The major topics discussed in the financial sectors were the evaluation of derivative instruments (E. Barone and D. Cuoco, G. Barone-Adesi and M. Chesney, M. Bertocchi and G. Zambruno) and complex financial instruments (S. Zenios), analysis and structure of financial markets (L. Stefanini), especially futures (R. D'Ecclesia), decision support systems in Finance (E. Cavalli), active asset allocation rule ' s and returns predictability (M. Fuggetta). In the economic area, the topics covered were simultaneous estimation of large-scale econometric models (A. Cividini), stochastic convergence of exchange rates (P. Ardeni), cointegration and simultaneous models (F. Bagliano, C. Favero and A. Muscatelli). The reader will find in the volume a review of state-of-art in these areas, as well as precious suggestions for advances in research and improvements of the model's performance in practice.

Marida Bertocchi is full Professor of Finance at the Faculty of Economics of the University of Urbino and lecturer of Calculus at the Faculty of Economics of the University of Bergamo. She has a wide experience in advanced techniques for solving large and computationally expensive problems. She has also published in various scientific journals of Applied Mathematics and Finance.

Luciano Stefanini in associate Professor of Calculus at the Faculty of Economics of the University of Urbino. His research interests are mainly in quantitative methods and its applications to Economic Modelling and Computational Statistics; they are documented by various contributions in scientific journals of Applied Mathematics and Statistics.

Foreword
The Valuation of Bond and Bond Options: Some Empirical Evidence
E. Barone, D. Cuoco
Options to Trade Foreign Currencies at the "Most Favourable" Rate
G. Barone-Adest M. Chesney
Numerical Techniques for the Pricing of Warrants and Convertibles
M. Bertocchi, G. M. Zambruno
Margins Volatility and Liquidity in Future Markets: an Empirical Evidence
R. D'Ecclesia
Piecewise-Trend Approximation in Financial Time Series
L. Stefanini
Numerical and Symbolic Processing in Technical Analysis
E. Cavalli
Return Predictability and Asset Allocation
M. Fuggetta
Parallel Computing for Portfolio Management with Mortgage Backed Securities
S. Zenios
Simultaneous Estimation of Urge-Scale Econometric models: Some New Applications of the Solution Algorithm
A. Cividini
Stochastic Convergence of Exchange Rates: Reviving the Theory of Optimum Currency Areas
P. G. Ardeni
Cointegration and Simultaneous Model. An Application to the Italian Money Demand
F. C. Bagliano, C.A. Favero, A. Muscatelli


Contributi: P. G. Ardeni, F. C. Bagliano, G. Barone-Adesi, M. Chesney, A. Cividini, D. Cuoco, Rita L. D'Ecclesia, C. Favero, M. Fuggetta, A. Muscatelli, G. M. Zambruno, S. Zenois

Collana: Economia - Ricerche

Argomenti: Economie locali, economia regionale - Demografia e statistica

Livello: Studi, ricerche

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