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.
Indice:
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
