By Jozsef Abaffy, Marida Bertocchi, Jitka Dupačová (auth.), Prof. Elio Canestrelli (eds.)

The current quantity collects a variety of revised papers which have been awarded on the twenty first Euro operating staff on monetary Modelling assembly, held in Venice (Italy), on October 29-31, 1997. The operating crew was once based in September 1986 in Lisbon with the target of offering a world discussion board for the alternate of knowledge and event; encouraging examine and interplay be­ tween monetary financial idea and perform of monetary determination mak­ ing, in addition to circulating details between universities and fiscal associations all through Europe. The attendance to the assembly was once huge and hugely certified. greater than eighty individuals, coming from 20 assorted international locations debated on five invited lectures and forty communications in standard periods. The classes have been positioned on the Island of San Servolo, at the Venetian lagoon, simply in entrance of the Doges Palace. San Servolo Island is a usual oasis, in the middle of a different city surroundings, supplying nice rest in a relaxed park and a breathtaking view of Venice. The pleasant surroundings further nice gain to the formal and casual discussions one of the contributors, -which is normal of E.W.G.F.M. conferences. it's fascinating to think about the tale of the assembly. the former destinations have been held at Cyprus, Crete and Dubrovnik - former mile­ stones of the Venitian Republic effect at the Mediterranean Sea. consequently, that this assembly may be harboured within the middle of the Republic itself (namely, the Saint Mark basin), used to be just a subject of consequence.

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John Wiley and Sons. 40 Marco Corazza fact that the quantitative tools we dispose of are not so "powerful" as we would like is, in our opinion, neither a sufficient nor a convincing argument for refusing the tools themselves. In a few words, we agree with Kopp [1995] when he writes that "while it is by no means clear that fE motion (however modified) would be a more satisfactory pricing model, the lack of the semi-martingale property alone may not provide sufficient grounds for its rejection just yet".

Usually, problem (5) is solved introducing one of the following alternative assumptions: a) Normal returns distribution and risk aversion; b) a generic returns distribution (with bounded support) and a quadratic utility function so that the support of the portfolio return distribution is in the interval where the quadratic is increasing. Under each of these assumptions, problem (5) is equivalent to the problem of finding the portfolio which minimizes variance and which has a given expected return [7].

Financial Analysts Journal. September - October. Pg. 17-34. 18. ZIOBROWSKI B. J. & ZIOBROWSKI A. J. (1995), "Exchange Rate Risk and Internationally Diversified Portfolios". Journal of International Money and Finance. 14(1), February. Pg. 65-81. Scenarios Identification for Financial Modelling Elio Canestrelli* and Silvio Giove** * * * Department of Applied Mathematics University "Ca' Foscari" of Venice Dorsoduro 3825/E, 30123 Venezia Abstract. A cluster analysis approach is proposed for solving a scenario identification problem, using a non parametric method to determine the probability of each scenario, conditioned to the last sampled data.

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Current Topics in Quantitative Finance by Jozsef Abaffy, Marida Bertocchi, Jitka Dupačová (auth.),
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