Titlebook: Current Topics in Quantitative Finance; Elio Canestrelli Conference proceedings 1999 Springer-Verlag Berlin Heidelberg 1999 Analysis.Asset

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W. F?rster,H. Kasprzak,G. von Bally,H. Bussehe three algorithms are given. The necessary inputs for Black-Derman-Toy model are yield curve and log-yield volatilities: we provide an evidence on the relatively large sensitivity of the parameters of the fitted lattice on the chosen volatility curve. The reported numerical experience is based on data from the Italian bond market.

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A. Voss,M. Steffen,C. Reinecker,A. Raedlerformula were done. The analytical results are compared both with computer simulations and data from the Prague stock exchange. The analysis of a stock index shows, that the gain is a sum of dichotomous process and some noise. This fact is important especially for forecasting and measuring the risk.

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Performance Evaluation of Algorithms for Black-Derman-Toy Lattice,he three algorithms are given. The necessary inputs for Black-Derman-Toy model are yield curve and log-yield volatilities: we provide an evidence on the relatively large sensitivity of the parameters of the fitted lattice on the chosen volatility curve. The reported numerical experience is based on data from the Italian bond market.

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Dichotomous Rate in Stock-Price Process,formula were done. The analytical results are compared both with computer simulations and data from the Prague stock exchange. The analysis of a stock index shows, that the gain is a sum of dichotomous process and some noise. This fact is important especially for forecasting and measuring the risk.

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Efficient Diversification of International Investments: The Spanish Point of View,tion and a increasingly financial market integration, have made the investors to exceed the national barriers in order to get the international diversification of their portfolios..In this paper we will analyse which should be the composition of the optimal portfolio from a Spanish investor’s point

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Scenarios Identification for Financial Modelling,ach scenario, conditioned to the last sampled data. This non parametric approach seems to be quite appealing for a real financial market portfolio management in conjunction with stochastic optimization. The proposed algorithm was then applied to the scenario forecasting of the COMIT index in the Ita

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Merton-like Theoretical Frame for Fractional Brownian Motion in Finance,is detectable significative empirical evidence that there are dependence inside such returns. From a distributional point of view, this dependence can be modelled by the so-called.Brownian (fB) motion which is a Gaussian stochastic process whose increments are (long-term) dependent with each other.