Modelling Techniques for Financial Markets and Bank Management

Front Matter....Pages I-X
Financial Modelling: From Stochastics to Chaotics and Back to Stochastics....Pages 1-16
Uncertainty about Input Data in Portfolio Management....Pages 17-33
Non-Substitution Theorems for Perfect Matching Problems....Pages 34-47
Commodity Futures Markets and Trading Strategies Opportunities....Pages 48-64
Financial Asset Demand in the Italian Market:an Empirical Analysis....Pages 65-89
Italian Term Structure Movements: the Appropriateness of a Multinomial Model....Pages 90-100
Replicating an Option under General Rebalancing Costs....Pages 101-110
Linear Programming and Econometric Methods for Bank Efficiency Evaluation: an Empirical Comparison Based on a Panel of Italian Banks....Pages 111-139
Measuring Managerial and Program Efficiencies in a Swedish Savings and Loan....Pages 140-151
Bankruptcies, Indebtedness and the Credit Crunch....Pages 152-177
Bankruptcy Prediction: Discriminant Analysis versus Neural Networks....Pages 178-191
Rough Set Approach to Stock Selection: an Application to the Italian Market....Pages 192-211
Takeover Algorithms....Pages 212-222
The Number of Arbitrage Pricing Theory Factors: An Assessment of the Power of Multivariate Tests Used....Pages 223-258
Tests for Randomness in Multiple Financial Time Series....Pages 259-271
On SSB Utility Theory....Pages 272-284
Proper Risk Aversion in Presence of Multiple Sources of Risk....Pages 285-296