Financial Modelling

J. Barle, A. Zunic. On the Use of Credit Rating Migration Matrices: Introduction; Credit Rating Migration Matrices; Some Applications of Credit Rating Migration Matrices; Conclusions; References.- L. Becchetti, L. Cavallo: Do Stock Market Anomalies Disappear? The Example of Small Size and Market-to-book Premia at the London Stock Exchange: Introduction; Descriptive Evidence; Testing the Stability of Risk Adjusted Premia; Empirical Findings; Conclusions; References.- J. Belaire, D. Contreras: Testing Independence: A New Approach: Introduction; Independence Tests (I) and (II); Properties; Chaotic Variance Models; Empirical Application; Concluding Comments; References.- M. Bonilla, P. Marco, I. Olmeda: Forecasting Exchange Rate Volatilities Using Artificial Neural Networks: Introduction; A Short Introduction to ANNs; Parametric Models of Volatility; Conclusions; References.- M. Bonilla, I. Olmeda, R. Puertas: An Application of Hybrid Models in Credit Scoring: Introdcution; Parametric vs. Nonparametric Models; Database and Results; Conclusions; References.- R. Caballero, J.M. Cabello, A. Cano, F. Ruiz: Portfolio Selection Via Goal Programming: Introduction; Program; Simulations; Conclusions; References.- J.D. Cabedo, I. Moya: ARCH Factor: A New Methodology to Estimate Value at Risk: Introduction; Value at Risk Calculation; ARCH Factor Methodology; VaR Evaluation Procedure; ARCH Factor Methodology and Evaluation Procedure Implementation; Concluding Remarks; References.- T. Casasús, J.C. Pérez: A Problem of Optimization in a Case of Foreign Investment: Introduction; The Model; Conclusions; Simulations; Simulation Conclusions; Appendix; References.- R. Castellano, R. Giacometti: Improving Portfolio Performances Using Options Strategies: Introduction; The GeneralFramework; The Data; Empirical Results; Portfolio Performances Evaluation; Concluding Remarks; References.- L. Cavallo, S.P.S. Rossi: An X-Efficiency Analysis of Different Banking Organizational Types in Europe: Introduction; Methodological Issues; Data and Variables Description; Model Specification; Empirical Findings; Conclusion; References.- G. Figá-Talamanca, M.L. Guerra: Towrads a Coherent Volatility Pricing Model: An Empirical Comparison: Volatility Models; Estimation's Methodologies; Numerical Results: A Comparison; References.- R.L. Giles: Direction Indicators in Financial Modelling: Introduction; Market Efficiency and Long Memory Processes; Formalising Technical Analysis; Appropriate Technical Analysis Methods; Emprical Results; Conclusions; References.- J.C. Gómez Sala: Stock-Split Ex-Dates: Evidence from the Spanish Stock Market: Introduction; Sample and Data; The Movement in Prices around the Split Ex-Date; The Solit Factor; The Effect of the Bid-Ask Spread on the Abnormal Returns, Conclusions; References.- A. Groenendijk, J. Spronk: Portfolio Performance Through the Eyes of Monkeys: Introduction; A General Framework for Performance Evaluation; The Set of All Possible Frameworks; Illustration: Free Monkeys against the Amsterdam Exchanges (AEX); Index; Use of the Framework for Different Purposes; Conclusions; References.- A. Gottschling, C. Kreuter: Approximation Properties of the Neuro-Fuzzy Minimum Function: Introduction Universal Approximation; Characteristics of the Fuzzy Minimum System; A Differentiable Quasi-Minimum Function; Conclusions, References.- K. Hellwig, G. Speckbacher, P. Wentges: A Stakeholder Approach to the Valuation of Corporate Cash Flows: Introduction; The Assumption of Perfect and Complete Capital