图书名称：Nonlinear Economic Dynamics and Financial Modelling: Essays in Honour of Carl Chiarella
作者：Roberto Dieci,Xue-Zhong He,Cars Hommes
出版社：Springer
页数：384
出版时间：July 2014
语言：English
格式：pdf
内容简介：
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 boundedly rational heterogeneous agents to estimation, time series modelling and empirical analysis and from risk management of interest-rate products, futures price volatility and American option pricing with stochastic volatility to evaluation of risk and derivatives of electricity market. The book illustrates some of the most recent research tools in these areas and will be of interest to economists working in economic dynamics and financial market modelling, to mathematicians who are interested in applying complexity theory to economics and finance and to market practitioners and researchers in quantitative finance interested in limit order, futures and electricity market modelling, derivative pricing and risk management.

Table of Content

Front Matter Pages i-xv

Introduction Pages 1-7

Part one Carl Chiarella: An Interview and Some Perspectives Pages 9-9

An Interview to Carl Chiarella, anItalo-Australian Globe Trotter Who Studies Dynamic Models for Economics and Finance Pages 11-17

What’s Beyond? Some Perspectives on the Future of Mathematical Economics Pages19-23

Part two Nonlinear Economic DynamicsPages 25-25

Expectations, Firms’ Indebtedness and Business Fluctuations in a Structural Keynesian Monetary Growth Framework Pages 27-39

Mathematical Modelling of Financial Instability and Macroeconomic Stabilisation Policies Pages 41-63

Bifurcation Structure in a Model of Monetary Dynamics with Two Kink PointsPages 65-81

Boundedly Rational Monopoly with Single Continuously Distributed Time DelayPages 83-107

Learning and Macro-Economic Dynamics Pages 109-134

How Non-normal Is US Output? Pages 135-159

Part three Financial Market Modelling Pages161-161

Heterogeneous Beliefs and Quote Transparency in an Order-Driven MarketPages 163-181

The Simplicity of Optimal Trading in OrderBook Markets Pages 183-199

Regime Switching Models in the Foreign Exchange Market Pages 201-223

Time-Varying Cross-Speculation in Currency Futures Markets: An Empirical AnalysisPages 225-233

Computational Issues in the Stochastic Discount Factor Framework for Equity Risk Premium Pages 235-249

Part four Quantitative Finance Pages251-251

On the Risk Evaluation Method Based on the Market Model Pages 253-273

On Multicurve Models for the Term Structure Pages 275-290

Pricing an American Call Under Stochastic Volatility and Interest Rates Pages291-314

On the Volatility of Commodity Futures Prices Pages 315-334

A Multi-factor Structural Model for Australian Electricity Market RiskPages 335-354

On an Integral Arising in Mathematical Finance Pages 355-370

Change of Numéraire and a Jump-Diffusion Option Pricing Formula Pages 371-389

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