Recent Research in Financial Modelling

Häftad, Engelska, 1993

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This is a selection of revised papers that were originally presented at two different meetings of the EURO Working Group on Financial Modelling. The papers relate to the microstructure of capital markets and provide evidence that the price dynamics of financial assets can only be explained - and modelled - on the basis of a careful examination of the decision process which leads traders to interact and fix the equilibrium prices.

Produktinformation

Utgivningsdatum1993-05-27
Mått155 x 235 x 11 mm
Vikt289 g
FormatHäftad
SpråkEngelska
SerieContributions to Management Science
Antal sidor174
FörlagSpringer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN9783790806830

Tillhör följande kategorier

Finansiering inom Ekonomi och Ledarskap
Projektledning inom Ekonomi och Ledarskap

Recent Research in Financial Modelling.- Bank Management and the Financial Service Industry.- A Decomposition of Random Net Present Values.- Dynamic Portfolio Management with a Discrete-Time Stochastic Maximum Principle.- Factor Immunization.- Applicability and Future of Modern Portfolio Theory.- Present Value Models and Multi-Factor Risk Analysis.- Interest Rates and Policy Reactions: Some International Evidence.- An Explanation for the Weak Evidence in Support of the Systematic Risk-Return Relationship.- Present Value Decomposition of Foreign Currency Assets.- Institutionally Heterogeneous Agents in an Imitative Stock-Market.- Pricing Contingent Claims: First-and Second-Order Effects from Stochastic Interest Rate Development.- Market Making with Noise: The Case of a Specialist Financial Market with Heterogeneous Traders.- Can Subjective Exchange Rate Forecasts be Improved?.- A Nonlinear Model of Stock Market with Institutionally Different Agents and Imitation.- Small Business Diagnosis Using Statistical Modelling and Artificial Intelligence.