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 Dynamics  Pages 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 Points  Pages 65-81

Boundedly Rational Monopoly with Single Continuously Distributed Time Delay  Pages 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 Market  Pages 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 Analysis  Pages 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 Risk  Pages 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

回复免费：