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Picture of New Developments in Financial Modelling

New Developments in Financial Modelling

Editor(s): Margarida Catalão-Lopes, Joaquim Pina, João O. Soares

Book Description

This volume brings together a variety of issues, methods and market instruments that should prove useful for topics courses, finance and asset management practice, and also foster future research. This collection of contributions is a selected subset of those presented at the XLI Meeting of the EURO Working Group on Financial Modelling, Lisbon, November 2007, and has a rich manifold of applied, theoretical and methodological work:
• Banking, empirical assessment of efficiency and relationship banking;
• Corporate Governance;
• Market Microstructure: liquidity; price limits; volatility;
• Risk: sovereign debt rating; volatility-volume around takeover announcements;
• Multicriteria approach and portfolio selection;
• Modified Tempered Stable Distribution and GARCH modelling.

In sum, this contributed volume, joining many authors from academia and practice on finance, offers a multiplicity of issues and methodology that broadens the knowledge and skills in finance matters and raises research questions for further development.


ISBN-13: 978-1-8471-8674-4
ISBN-10: 1-84718-674-2
Date of Publication: 01/09/2008
Pages / Size: 380 / A5
Price: £39.99


João Oliveira Soares is Associate Professor of Economics and Finance at I.S.T. – Technical University of Lisbon. He holds a PhD in Industrial Engineering and Management and the Habilitation in Management. His publications include books in Finance and Banking, and articles in journals like the European Journal of Finance, European Journal of Operational Research, Computers and Industrial Engineering, The Engineering Economist, European Research Studies, and Frontiers in Finance and Economics.

Joaquim P. Pina is Assistant Professor of Economics and Management at Faculdade de Ciências e Tecnologia – Universidade Nova de Lisboa, and researcher at INOVA, Faculdade de Economia da Universidade Nova de Lisboa. Previously, he was senior economist at the Research Department of the Portuguese central bank. He holds a PhD in Economics from Universitat Pompeu Fabra, Barcelona. Major fields of interest include quantitative and applied macroeconomics, time series and finance. He has published in the domains of macroeconometrics, monetary economics and risk analysis.

Margarida Catalão-Lopes is Assistant Professor of Economics and Finance at I.S.T. – Technical University of Lisbon, and researcher at the Centre for Management Studies. Prior to her current position she was senior economist and then chief economist in the Banking System Unit of the Research Department of the Portuguese central bank. She is co-author of the book “Mergers and Acquisitions: the Industrial Organization Perspective” (Kluwer Law International), and has published articles in banking, risk, firm mergers and regulation.