28th Workshop
EURO Working Group on Financial Modeling

May 3-5, 2001
VILNIUS, LITHUANIA

Gediminas Castle and Monument, Vilnius

TENTATIVE SCIENTIFIC PROGRAM

May 3, 2001 (Thursday)

8.30 Registration and Welcome
9.00 Opening Ceremony
Session 1: Portfolio management 1
11.10 - 11.30 Coffee Break
Session 2: Bank management
12.50 - 13.30 Lunch
Session 3: Stochastic models of financial data 1
15:10 - 15:30 Coffee Break
Session 4: Neural networking in finance
16:50 - 17:10 Coffee Break
Session 5: Property management

May 4, 2001 (Friday)

Session 6: Actuarial Mathematics
9:40 - 10:00 Coffee Break
10:00 KEYNOTE SPEAKER R. KUODIS
Policy of Lithuanian Bank in the Framework for Accession to European Monetary Union
10:40 - 11:00 Coffee Break
Session 7: Portfolio management 2
12:40 - 13:30 Lunch
Session 8: Stochastic models of financial data 2
15:10 - 15:30 Coffee Break
Session 9: Simulation and design of financial service systems 1
16:50 - 17:10 Coffee Break
Session 10: Utility measures and risk management

May 5, 2001 (Saturday)

Session 11: Economics
9:50 - 10:10 Coffee Break
Session 12: Simulation and design of financial service systems 2
11:10 - 11:30 Coffee Break
Session 13: Educational problems
12:30 - 13:00 Closing

To Content


May 3, 2001 (Thursday)

Session 1: Portfolio management 1

9:30 PARIS F. M. State preference model to select optimal portfolios of consumed loans.
9:50 PAVLOV D., BRONSTEIN E. The Forming of an Optimal Investment Portfolio
10:10 SPIVAK S., SPIVAK G. Dynamic Risk Model With Standard Deviation Estimates for Variable Premiums
10:30 JOKUNG O., DOR E. Expected or non Expected Utility and the Optimal Choice of Saving and Endogenous Capital Risk
10:50 KOVAITE-MIECINSKIENE A., RUTKAUSKAS A.-V. Criteria portfolio

Session 2: Bank management

11:30 BARSEGYAN A.V., ARAKELYAN A.H., BARSEGYAN V.O. Decision support system for the management of bank resources
11:50 BARLE J., ŽUNIC A. Loan loss allowances as a risk management tool
12:10 SKULIMOVSKI M.J. A multicriteria-analysis-based system for global bank risk assessment
12:30 KRAUJALIS S. Formation of universal banking system in Lithuania

Session 3: Stochastic models of financial data 1

13:30 GILES R. Measurement error and misspecification when modelling GARCH and error correction processes within a financial framework
13:50 SURGAILIS D. Long memory properties and covariance structure of the EGARCH model
14:10 LEIPUS R. Stability of random coefficient autoregressive conditionally heteroscedastic models and aggregation effect
14:30 TEYSSI`ERE G. Double Long-Memory Financial Time Series
14:50 KIRMAN A.P., TEYSSI`ERE G. Microeconomic Models for Long-Memory in the Volatility of Financial Time Series

Session 4: Neural networking in finance

15:30 SIMOVIC V., VOJNOVIC S, GOLUBIC Z. The Jackson Networks As a Quite Good Solution For Analyzing The Financial Analytical Service Facilities
15:50 SIMUTIS R. Evaluation of Stock Market Direction using Autoassociative Neural Networks
16:10 STANKEVICHIUS G., SIMUTIS R. Forming of the investment portfolio using self organizing networks
16:30 ZORIN A., KOVALENKO S., BORISOV A. Using neural networks to model the dynamics of financial indexes

Session 5: Property management

17:10 RACHEV S., TRUCK S. Rating medium-sized enterprises - recent advances
17:30 ZAVADSKAS E.K., KAKLAUSKAS A., BANAITIS A. Analysis, modelling and forecasting of property investment instruments in Lithuania
17:50 MARTINKUTE R., RUTKAUSKAS A.V. Real estate development decisions under the risk and uncertainty
18:10 BURKSAITIENE D. Application of mass appraisal models
18:30 TAMOSAITIS R. Simulation of finances of civil engineering companies

To Content To top of page


May 4, 2001 (Friday)

Session 6: Actuarial Mathematics

8:20 ZENIOS S.A. Scenario optimization asset and liability modeling for endowments with minimum guarantees
8:40 MATVEJEVS An, MATVEJEVS Al. Insurance Models for Join-life and Last- survivor Benefits
9:00 YEVTUSHENKO T. Premium calculation for Medical Expenses Insurance
9:20 MACCHERONI F., MARINACCI M. Insurance premium consistent with the market

10:00 KEYNOTE SPEAKER
R. KUODIS
Policy of Lithuanian Bank in the Framework for Accession to European Monetary Union

Session 7: Portfolio management 2

11:00 OGRYCZAK W. Large Stochastic Dominance and LP Computable Risk Measures
11:20 SPERANZA M.G. Linear programming models for portfolio selection: a survey
11:40 MANSINI R. LP Solvable Models for Portfolio Selection: An Experimental Comparison
12:00 KAN Yu. Aggregating portfolio selection via quantile optimization
12:20 SAKALAUSKAS L. On stochastic selection of portfolio with heavy tailed distribution

Session 8: Stochastic models of financial data 2

13:30 FALBO P., STEFANI S. Is mean reversion detectable ? A comparison among statistical tests
13:50 LAWS J., THOMPSON J. The Efficiency of Futures Markets: Tests of Prediction Accuracy
14:10 NORVAISHA R. Stock price modelling in continuous time
14:30 RACKAUSKAS A. On adaptive selfnormalized partial sums process
14:50 PAVLENKO O. The analysis of the behavior of the capital, invested in bonds and stocks, based on the diffusion approximation of impulse system

Session 9: Simulation and design of financial service systems 1

15:30 MANKILA M. Retaining students in retail banking through price bundling
15:50 LOISTL O., SCHOSSMANN B., VEVERKA A. Tick Size and Spreads:The Case of Nasdaq's Decimalization
16:10 PRANEVICHIUS H. The use of formal methods for simulation of bank activity processes
16:30 SHAFRANSKY J.M., DOUDKIN A. A. Large optimization procedures for the clearing of interbank payments

Session 10: Utility measures and risk management

17:10 MAZZOLENI P. Risk measures and return performance: a critical approach
17:30 MODESTI P. Lottery-dependent utility via stochastic benchmarking
17:50 RASIMAVICHIUS G. The Influence of Fundamental, Economic Factors to Stock Returns and Risk
18:10 SNIESKA V. Risk premium from investing in domestic and foreign bonds

To Content To top of page


May 5, 2001 (Saturday)

Session 11: Economics

8:30 GUPTA J., CHEVALIER A., DUTTA S. Framework for Risk Assessment for Venture Capital in a Developing Country Context
8:50 DRAGOTA V, MITRICA E. Romanian capital market - testing efficiency
9:10 RUTKAUSKAS A.V., RUTKAUSKAS V. The main regional business monitoring development problems
9:30 JURELE P. Influence of profit and investors' value taxation on financing decisions of Lithuanian companies

Session 12: Simulation and design of financial service systems 2

10:10 VAICIULIS M. Decision making process in the dealing room and necessary developments
10:30 LAUKAITIS A. Functional data analysis for fraud detection and forecasting in payment systems
10:50 SIMOVIC V., CRNJAC M., ZRINUSIC Z. The Optimal Working Solutions for The Specific Parts of The Financial Service Systems

Session 13: Educational problems

11:30 PETTERE G., BRIVERS I., RUSKULE I. Teaching of "Application of mathematical models" in economics: organization in banking institution of higher education in Latvia
11:50 MOCKUS J. About graduate studies and research collaboration in the internet environment
12:10 TVARONAVICHIENE M., RUTKAUSKAS A.V. Thinking and teaching under risk and uncertainty

To Content To top of page


Last updated on February 21, 2001
sakal@ktl.mii.lt