Recent Research in Financial Modelling için kapak resmi
Recent Research in Financial Modelling
Başlık:
Recent Research in Financial Modelling
ISBN:
9783642469381
Edition:
1st ed. 1993.
Yayın Bilgileri:
Heidelberg : Physica-Verlag HD : Imprint: Physica, 1993.
Fiziksel Tanımlama:
VI, 174 p. online resource.
Series:
Contributions to Management Science,
Contents:
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.
Abstract:
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.
Dil:
English