Euro Working Group on Financial Modelling

Publications

Introduction

Over the years, papers by members of our working group (and others) have been published in special or feature issues of the European Journal of Operational Research (EJOR) and in a series of books. In the future, the series of feature issues will continu.

Organisers of Working Group meetings may also decide to publish proceedings in the future. For further information on such volumes we refer to the future meetings sites.

Special and feature issues of EJOR

Thusfar, the European Journal of Operational Research has published a number of special issues on Financial Modelling:

Issue 74/2, edited by T. Martikainen, I Virtanen and P. Yli-Olli;

Issue 91/2, edited by E. Castagnoli and J. Spronk. In 1998, the European Journal of Operational Research together with the EURO Working Group on Financial Modelling decided to start a more regular series of feature issues.

A feature issue on financial modelling is an issue of EJOR partly or wholly devoted to financial modelling. The intended frequency of these feature issues on financial modelling is once or twice per year.

Papers on financial modelling are sollicited that help to solve financial-economic decision problems in practice. Papers may relate to new insights, both theoretical and empirical, into the environment in which decision makers operate, new tools available to the decision makers and to the integration of these tools within frameworks for financial-economic decision making. Papers that stimulate and strengthen the interaction between financial economic theory and the practice of financial decision making, will be especially welcome.

The first feature issue was published as Issue Volume 114, Number 2, April 16, 1999, and edited by J. Spronk.

The second feature issue was edited by N. v.d. Wijst and J. Spronk and was published as Issue Volume 134, Number 2, October 16, 2001.

Authors who want to submit to the upcoming feature issue are kindly invited to submit four copies of their paper to the Guest Editor Financial Modelling:

Nico van der Wijst, The Norwegian University of Science & Techn., Dept. of Managerial Economics & Techn. Management, Alfred Getz vei 1, N-7034 Trondheim, NORWAY, Tel. + 47.73.597712, Fax + 47.73.593603, E-mail: Wijst@iot.ntnu.no

With respect to format and other requirements of submitted work, the authors are kindly referred to the Instructions to Authors, that can be found in every issue of EJOR. For the feature papers there is a separate board of editors, consisting of

Wolfgang Bühler (University of Mannheim, Germany), Erio A. Castagnoli (Università Luigi Bocconi, Italy), Michael A.H. Dempster (University of Cambridge, UK), Winfried G. Hallerbach (Erasmus University Rotterdam, The Netherlands), L. Peter Jennergren (Stockholm School of Economis, Sweden), Bjarne A. Jensen (Copenhagen Business School, Denmark), Jonathan S.H. Kornbluth (Hebrew University, Israel), John M. Mulvey (Princeton University, USA), Otto L. Loistl (Institüt für Finanziering und Finanzmärkte, Austria), Lorenzo Peccati (Università Luigi Bocconi, Milano, Italy), Matti Viren (University of Turku, Finland), Stavros A. Zenios (University of Cyprus, Cyprus), William T. Ziemba (University of British Columbia, Canada), Constantin Zopounidis (Technical University of Crete, Greece)

Books

Financial Modelling and Extreme Events

Feature Cluster of the European Journal of Operational Research, A. Rai and N. van der Wijst (eds.), Volume 150, Number 3, November 1, 2003

Financial Modelling

Andrzej M.J. Skulimowski (Ed.), ISBN 83-912831-1-9, 1999

Proceedings of the 23th meeting of the Euro Working Group on Financial Modelling.

Financial Modelling

Maria Bonilla, Trinidad Casasus, Ramon Sala (Eds.), ISBN 3-7908-1282-X., 1999

Abstract: The book presents 27 selected contributions from the 24^th EURO Working Group on Financial Modelling Meeting. The papers deal with financial theory, financial time series, risk analysis, portfolio analysis, financial institutions, micro-structures market and corporate finance, methods in finance, and models in finance and derivatives. They present new developments in the fields of the optimization and the analysis of financial time series behavior.

Current Topics in Quantitative Finance

Elio Canestrelli (Ed.), ISBN 3-7908-1231-5, 1999

Abstract: The volume collects a selection of papers of the 21^st EURO Working Group on Financial Modelling. The papers in this book provide a representative, though not complete sample of the current scientific activity in the field of quantitative finance. Such activity is not only theoretical but also practical, because it tries to combine theoretic analyses with empirical evidence. The topics deal with corporate finance, asset price analysis, portfolio management, decision theory, international exchange markets and financial derivatives. It is important to note the presence of algorithms, methods and models, helpful in the real activity of a decision maker, as performance evaluations and scenarios identifications in portfolio models, how to measure bank efficiency, and how to realize an efficient diversification of international investments.

New Operational Approaches for Financial Modelling

Constantin Zopounidis (Ed.), ISBN 3-7908-1043-6, 1997

Abstract: The series 'Contributions to Management Science' contains publications in the fields of management science, operations research and systems theory. These publications are primarily monographs and multiple author works containing new research results, but conference and congress reports are also considered. Apart from the contribution to scientific progress presented, it is a notable characteristic of the series that actual publishing time is very short thus permitting authors and editors to present their results without delay. This book is devoted to the 19^th Meeting of the EURO Working Group on Financial Modelling, held in Chania, Crete, Greece, November 28-30, 1996

Modelling Techniques for Financial Markets and Bank Management

M. Bertocchi, E. Cavalli, S. Komlosi (Eds), ISBN 3-7908-0928, 1996

Abstract: This book contains a selected number of papers presented at the XVIth EWGFM meeting held in Pecs in 1994 and the XVIIth meeting held in Bergamo in 1995.

Modelling Reality and Personal Modelling

Richard Flavell (Ed.), ISBN 3-7908-0682-X, 1993

Abstract: Financial modelling takes many forms, as evidenced by the wide spread of topics covered in this volume. All the papers published herin were presented at eighter the 9^th meeting, in Curaçao, or the 10^th meeting in London, of the EURO Working Group and subsequently independently refereed and in many cases revised.

Recent Research in Financial Modelling

E.J. Stokking - G. Zambruno (Eds.), ISBN 3-7908-0683-8, 1993

Abstract: The series 'Contributions to Management Science' contains publications in the fields of management science, operations research and systems theory. These publications are primarily monographs and multiple author works containing new research results, but conference and congress reports are also considered. Apart from the contribution to scientific progress presented, it is a notable characteristic of the series that actual publishing time is very short thus permitting authors and editors to present their results without delay. This book contains a selection of revised papers that have initially been presented at the meetings of the EURO Working Group on Financial Modelling, held in Sirmione, Italy (April 1990) and Gieten, The Netherlands (November 1990).

Modelling for Financial Decisions

Jaap Spronk - Benedetto Matarazzo (Eds.), ISBN 3-540-54253-1, 1989

Abstract: Proceedings of the 5^th Meeting of the EURO Working Group on Financial Modelling, held in Catania, 20-21 April, 1989. This volume was published earlier as a special issue of the Rivista di matematica per le scienze economiche e sociali.