Nonlinear economic dynamics and financial modelling : essays in honour of Carl Chiarella / Roberto Dieci, Xue-Zhong He, Cars Hommes, editors.
"This book reflects the state of the art on nonlinear economic dynamics, financial market modelling and quantitative finance. It contains eighteen papers with topics ranging from disequilibrium macroeconomics, monetary dynamics, monopoly, financial market and limit order market models with boun...
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| Format: | Ebook |
| Language: | English |
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Cham :
Springer,
2014.
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| Online Access: | Springer eBooks |
Table of Contents:
- Introduction / Roberto Dieci, Xue-Zhong He, Cars Hommes
- Carl Chiarella: An Interview and Some Perspectives:
- An Interview to Carl Chiarella, an Italo-Australian Globe Trotter Who Studies Dynamic Models for Economics and Finance / Gian Italo Bischi
- What’s Beyond? Some Perspectives on the Future of Mathematical Economics / Carl Chiarella
- Nonlinear Economic Dynamics:
- Expectations, Firms’ Indebtedness and Business Fluctuations in a Structural Keynesian Monetary Growth Framework / Matthieu Charpe, Peter Flaschel, Christian R. Proaño, Willi Semmler
- Mathematical Modelling of Financial Instability and Macroeconomic Stabilisation Policies / Toichiro Asada
- Bifurcation Structure in a Model of Monetary Dynamics with Two Kink Points / Anna Agliari, Laura Gardini, Iryna Sushko
- Boundedly Rational Monopoly with Single Continuously Distributed Time Delay / Akio Matsumoto, Ferenc Szidarovszky
- Learning and Macro-Economic Dynamics / Simone Landini, Mauro Gallegati, Joseph E. Stiglitz, Xihao Li, Corrado Di Guilmi
- How Non-normal Is US Output? / Reiner Franke
- Financial Market Modelling:
- Heterogeneous Beliefs and Quote Transparency in an Order-Driven Market / Polina Kovaleva, Giulia Iori
- The Simplicity of Optimal Trading in Order Book Markets / Daniel Ladley, Paolo Pellizzari
- Regime Switching Models in the Foreign Exchange Market / Wai-Mun Chia, Mengling Li, Huanhuan Zheng
- Time-Varying Cross-Speculation in Currency Futures Markets: An Empirical Analysis / Andreas Röthig, Andreea Röthig
- Computational Issues in the Stochastic Discount Factor Framework for Equity Risk Premium / Ramaprasad Bhar, A. G. Malliaris
- Quantitative Finance:
- On the Risk Evaluation Method Based on the Market Model / Masaaki Kijima, Yukio Muromachi
- On Multicurve Models for the Term Structure / Laura Morino, Wolfgang J. Runggaldier
- Pricing an American Call Under Stochastic Volatility and Interest Rates / Boda Kang, Gunter H. Meyer
- On the Volatility of Commodity Futures Prices / Les Clewlow, Boda Kang, Christina Sklibosios Nikitopoulos
- A Multi-factor Structural Model for Australian Electricity Market Risk / John Breslin, Les Clewlow, Chris Strickland
- On an Integral Arising in Mathematical Finance / Mark Craddock
- Change of Numéraire and a Jump-Diffusion Option Pricing Formula / Gerald H. L. Cheang, Gim-Aik Teh.