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Recent Research in Financial Modelling

  • Conference proceedings
  • © 1993

Overview

Editors:
  1. Evert Jan Stokking

    1. Department of Business, Administration and Management Siences, University of Groningen, Groningen, The Netherlands

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    You can also search for this editor in PubMed   Google Scholar

  2. Giovanni Zambruno

    1. Faculty of Political Sciences, University of Milan, Milano, Italy

    View editor publications

    You can also search for this editor in PubMed   Google Scholar

Part of the book series: Contributions to Management Science (MANAGEMENT SC.)

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Table of contents (16 papers)

  1. Front Matter

    Pages I-VI
    Download chapter PDF

  2. Recent Research in Financial Modelling

    • Evert Jan Stokking, Giovanni Zambruno
    Pages 1-3

  3. Bank Management and the Financial Service Industry

    • Göran Bergendahl
    Pages 4-16

  4. A Decomposition of Random Net Present Values

    • Elisa Luciano, Lorenzo Peccati
    Pages 17-23

  5. Dynamic Portfolio Management with a Discrete-Time Stochastic Maximum Principle

    • Elio Canestrelli, Carla Nardelli
    Pages 24-36

  6. Factor Immunization

    • G. H. M. J. Kremer
    Pages 37-48

  7. Applicability and Future of Modern Portfolio Theory

    • Jan van der Meulen
    Pages 49-58

  8. Present Value Models and Multi-Factor Risk Analysis

    • Winfried G. Hallerbach
    Pages 59-74

  9. Interest Rates and Policy Reactions: Some International Evidence

    • Matti Virén
    Pages 75-90

  10. An Explanation for the Weak Evidence in Support of the Systematic Risk-Return Relationship

    • D. J. Bradfield
    Pages 91-104

  11. Present Value Decomposition of Foreign Currency Assets

    • Mariacristina Uberti
    Pages 105-116

  12. Institutionally Heterogeneous Agents in an Imitative Stock-Market

    • L. Ferrari, E. Luciano, L. Peccati
    Pages 117-124

  13. Pricing Contingent Claims: First- and Second-Order Effects from Stochastic Interest Rate Development

    • Bjarne Astrup Jensen, Jørgen Aase Nielsen
    Pages 125-134

  14. Market Making with Noise: The Case of a Specialist Financial Market with Heterogeneous Traders

    • Elisa Luciano
    Pages 135-145

  15. Can Subjective Exchange Rate Forecasts be Improved?

    • Mary E. Wilkie, Andrew C. Pollock
    Pages 146-158

  16. A Nonlinear Model of Stock Market with Institutionally Different Agents and Imitation

    • Anna Cornaglia
    Pages 159-166

  17. Small Business Diagnosis Using Statistical Modelling and Artificial Intelligence

    • Omer van der Horst Jansen
    Pages 167-174
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Keywords

About this book

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.

Editors and Affiliations

  • Department of Business, Administration and Management Siences, University of Groningen, Groningen, The Netherlands

    Evert Jan Stokking

  • Faculty of Political Sciences, University of Milan, Milano, Italy

    Giovanni Zambruno

Bibliographic Information

  • Book Title: Recent Research in Financial Modelling

  • Editors: Evert Jan Stokking, Giovanni Zambruno

  • Series Title: Contributions to Management Science

  • DOI: https://doi.org/10.1007/978-3-642-46938-1

  • Publisher: Physica Heidelberg

  • eBook Packages: Springer Book Archive

  • Copyright Information: Physica-Verlag Heidelberg 1993

  • Softcover ISBN: 978-3-7908-0683-0Published: 27 May 1993

  • eBook ISBN: 978-3-642-46938-1Published: 06 December 2012

  • Series ISSN: 1431-1941

  • Series E-ISSN: 2197-716X

  • Edition Number: 1

  • Number of Pages: VI, 174

  • Topics: Finance, general, Business Strategy/Leadership

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