skip to content
Recent research in financial modelling Preview this item
ClosePreview this item
Checking...

Recent research in financial modelling

Author: E J Stokking; Giovanni Zambruno
Publisher: Heidelberg, FRG : Physica-Verlag, ©1993.
Series: Contributions to management science.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

 

Find a copy online

Links to this item

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Genre/Form: Electronic books
études diverses
Additional Physical Format: Print version:
(DLC) 93244966
(OCoLC)28973097
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: E J Stokking; Giovanni Zambruno
ISBN: 9783642469381 3642469388
OCLC Number: 777006918
Description: 1 online resource (vi, 174 pages) : illustrations.
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.
Series Title: Contributions to management science.
Responsibility: Evert Jan Stokking, Giovanni Zambruno (eds.).

Abstract:

The papersrelated to the microstructure of capital markets provideevidence that the price dynamics of financial assets can on-ly be explained - and modelled - on the basis of a  Read more...

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/777006918> # Recent research in financial modelling
    a schema:CreativeWork, schema:MediaObject, schema:Book ;
   library:oclcnum "777006918" ;
   library:placeOfPublication <http://experiment.worldcat.org/entity/work/data/353688894#Place/heidelberg_frg> ; # Heidelberg, FRG
   library:placeOfPublication <http://id.loc.gov/vocabulary/countries/gw> ;
   schema:about <http://experiment.worldcat.org/entity/work/data/353688894#Topic/modell> ; # Modell
   schema:about <http://id.loc.gov/authorities/subjects/sh85048260> ; # Finance--Mathematical models
   schema:about <http://experiment.worldcat.org/entity/work/data/353688894#Topic/unternehmensfinanzierung_kapitalanlage_theorie> ; # Unternehmensfinanzierung--Kapitalanlage--Theorie
   schema:about <http://experiment.worldcat.org/entity/work/data/353688894#Topic/economische_modellen> ; # Economische modellen
   schema:about <http://experiment.worldcat.org/entity/work/data/353688894#Topic/finances_modele_mathematique> ; # finances--modèle mathématique
   schema:about <http://id.worldcat.org/fast/924398> ; # Finance--Mathematical models
   schema:about <http://dewey.info/class/332.015118/e20/> ;
   schema:about <http://experiment.worldcat.org/entity/work/data/353688894#Topic/financiering> ; # Financiering
   schema:about <http://experiment.worldcat.org/entity/work/data/353688894#Topic/finanzanalyse> ; # Finanzanalyse
   schema:bookFormat schema:EBook ;
   schema:contributor <http://experiment.worldcat.org/entity/work/data/353688894#Person/zambruno_giovanni> ; # Giovanni Zambruno
   schema:contributor <http://experiment.worldcat.org/entity/work/data/353688894#Person/stokking_e_j> ; # E. J. Stokking
   schema:copyrightYear "1993" ;
   schema:datePublished "1993" ;
   schema:description "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."@en ;
   schema:description "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."@en ;
   schema:exampleOfWork <http://worldcat.org/entity/work/id/353688894> ;
   schema:genre "Electronic books"@en ;
   schema:inLanguage "en" ;
   schema:isPartOf <http://experiment.worldcat.org/entity/work/data/353688894#Series/contributions_to_management_science> ; # Contributions to management science.
   schema:isSimilarTo <http://www.worldcat.org/oclc/28973097> ;
   schema:name "Recent research in financial modelling"@en ;
   schema:productID "777006918" ;
   schema:publication <http://www.worldcat.org/title/-/oclc/777006918#PublicationEvent/heidelberg_frg_physica_verlag_1993> ;
   schema:publisher <http://experiment.worldcat.org/entity/work/data/353688894#Agent/physica_verlag> ; # Physica-Verlag
   schema:url <http://dx.doi.org/10.1007/978-3-642-46938-1> ;
   schema:url <http://books.google.com/books?id=XEAUAQAAMAAJ> ;
   schema:url <http://link.springer.com/10.1007/978-3-642-46938-1> ;
   schema:url <http://public.eblib.com/choice/publicfullrecord.aspx?p=3090128> ;
   schema:workExample <http://worldcat.org/isbn/9783642469381> ;
   wdrs:describedby <http://www.worldcat.org/title/-/oclc/777006918> ;
    .


Related Entities

<http://experiment.worldcat.org/entity/work/data/353688894#Person/stokking_e_j> # E. J. Stokking
    a schema:Person ;
   schema:familyName "Stokking" ;
   schema:givenName "E. J." ;
   schema:name "E. J. Stokking" ;
    .

<http://experiment.worldcat.org/entity/work/data/353688894#Person/zambruno_giovanni> # Giovanni Zambruno
    a schema:Person ;
   schema:familyName "Zambruno" ;
   schema:givenName "Giovanni" ;
   schema:name "Giovanni Zambruno" ;
    .

<http://experiment.worldcat.org/entity/work/data/353688894#Series/contributions_to_management_science> # Contributions to management science.
    a bgn:PublicationSeries ;
   schema:hasPart <http://www.worldcat.org/oclc/777006918> ; # Recent research in financial modelling
   schema:name "Contributions to management science." ;
   schema:name "Contributions to management science" ;
    .

<http://experiment.worldcat.org/entity/work/data/353688894#Topic/economische_modellen> # Economische modellen
    a schema:Intangible ;
   schema:name "Economische modellen"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/353688894#Topic/finances_modele_mathematique> # finances--modèle mathématique
    a schema:Intangible ;
   schema:name "finances--modèle mathématique"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/353688894#Topic/unternehmensfinanzierung_kapitalanlage_theorie> # Unternehmensfinanzierung--Kapitalanlage--Theorie
    a schema:Intangible ;
   schema:name "Unternehmensfinanzierung--Kapitalanlage--Theorie"@en ;
    .

<http://id.loc.gov/authorities/subjects/sh85048260> # Finance--Mathematical models
    a schema:Intangible ;
   schema:name "Finance--Mathematical models"@en ;
    .

<http://id.worldcat.org/fast/924398> # Finance--Mathematical models
    a schema:Intangible ;
   schema:name "Finance--Mathematical models"@en ;
    .

<http://link.springer.com/10.1007/978-3-642-46938-1>
   rdfs:comment "from Springer" ;
   rdfs:comment "(Unlimited Concurrent Users)" ;
    .

<http://worldcat.org/isbn/9783642469381>
    a schema:ProductModel ;
   schema:isbn "3642469388" ;
   schema:isbn "9783642469381" ;
    .

<http://www.worldcat.org/oclc/28973097>
    a schema:CreativeWork ;
   schema:description "Print version:" ;
   schema:isSimilarTo <http://www.worldcat.org/oclc/777006918> ; # Recent research in financial modelling
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.