Recent Research in Financial Modelling

ISBN-13: 9783790806830 / Angielski / Miękka / 1993 / 174 str.

Evert J. Stokking; Giovanni Zambruno

Opis

This volume is based on a series of papers presented at meetings of the EURO Working Group on Financial Modelling, which provides evidence that the price dynamics of financial assets can only be explained and modelled on the basis of an examination of traders' decision processes.

Spis treści

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.