Recent research in financial modelling
著者
書誌事項
Recent research in financial modelling
(Contributions to management science)
Physica-Verlag, c1993
大学図書館所蔵 全6件
  青森
  岩手
  宮城
  秋田
  山形
  福島
  茨城
  栃木
  群馬
  埼玉
  千葉
  東京
  神奈川
  新潟
  富山
  石川
  福井
  山梨
  長野
  岐阜
  静岡
  愛知
  三重
  滋賀
  京都
  大阪
  兵庫
  奈良
  和歌山
  鳥取
  島根
  岡山
  広島
  山口
  徳島
  香川
  愛媛
  高知
  福岡
  佐賀
  長崎
  熊本
  大分
  宮崎
  鹿児島
  沖縄
  韓国
  中国
  タイ
  イギリス
  ドイツ
  スイス
  フランス
  ベルギー
  オランダ
  スウェーデン
  ノルウェー
  アメリカ
注記
Includes bibliographical references
内容説明・目次
内容説明
The book contains a selection of recently revised papers
that have initiallybeen presented at two different meetings
of the EURO Working Group on Financial Modelling. The papers
related to the microstructure of capital markets provide
evidence that the price dynamics of financial assets can on-
ly 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. The papers by Pec-
cati, Luciano, Ferrari and Cornaglia belong to this catego-
ry, and help considerably unterstand the performance of mar-
kets which are relatively far from perfection (owing to
thinness, frictions, taxation and the like). This is indeed
the case for some European Exchanges.
The very foundations of quantitative financial analysis have
been discussed in the contributions of Luciano, Canestrelli,
Uberti and Van der Meulen. The classical - although recent
- advances on the pricing of derivative securities have been
analyzed and applied by Kremer, Hallerbach and Jensen/Niel-
son, thus demonstrating that established theories still pro-
vide space for a deeper investigation.
Another major topic of interest relates to empirical studies
about how markets behave with respect to theoretical models.
In this respect, the contributions of Viren, Bradfield and
Wilkie/Pollock are quite significant. They present evidence
based on real data discussed in the light of advanced stati-
stical techniques. It is apparent that Corporate Finance and
Capital Markets are becoming more and more related and in-
teractingwith each other.
目次
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.
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