Book 2014

Nonlinear Economic Dynamics and Financial Modelling

Essays in Honour of Carl Chiarella

Editors:

ISBN: 978-3-319-07469-6 (Print) 978-3-319-07470-2 (Online)

Table of contents (21 chapters)

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  1. Front Matter

    Pages i-xv

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    Chapter

    Pages 1-7

    Introduction

  3. Carl Chiarella: An Interview and Some Perspectives

    1. Front Matter

      Pages 9-9

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      Chapter

      Pages 11-17

      An Interview to Carl Chiarella, an Italo-Australian Globe Trotter Who Studies Dynamic Models for Economics and Finance

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      Chapter

      Pages 19-23

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

  4. Nonlinear Economic Dynamics

    1. Front Matter

      Pages 25-25

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      Chapter

      Pages 27-39

      Expectations, Firms’ Indebtedness and Business Fluctuations in a Structural Keynesian Monetary Growth Framework

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      Chapter

      Pages 41-63

      Mathematical Modelling of Financial Instability and Macroeconomic Stabilisation Policies

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      Chapter

      Pages 65-81

      Bifurcation Structure in a Model of Monetary Dynamics with Two Kink Points

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      Chapter

      Pages 83-107

      Boundedly Rational Monopoly with Single Continuously Distributed Time Delay

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      Chapter

      Pages 109-134

      Learning and Macro-Economic Dynamics

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      Chapter

      Pages 135-159

      How Non-normal Is US Output?

  5. Financial Market Modelling

    1. Front Matter

      Pages 161-161

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      Chapter

      Pages 163-181

      Heterogeneous Beliefs and Quote Transparency in an Order-Driven Market

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      Chapter

      Pages 183-199

      The Simplicity of Optimal Trading in Order Book Markets

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      Chapter

      Pages 201-223

      Regime Switching Models in the Foreign Exchange Market

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      Chapter

      Pages 225-233

      Time-Varying Cross-Speculation in Currency Futures Markets: An Empirical Analysis

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      Chapter

      Pages 235-249

      Computational Issues in the Stochastic Discount Factor Framework for Equity Risk Premium

  6. Quantitative Finance

    1. Front Matter

      Pages 251-251

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      Chapter

      Pages 253-273

      On the Risk Evaluation Method Based on the Market Model

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      Chapter

      Pages 275-290

      On Multicurve Models for the Term Structure

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      Chapter

      Pages 291-314

      Pricing an American Call Under Stochastic Volatility and Interest Rates

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      Chapter

      Pages 315-334

      On the Volatility of Commodity Futures Prices

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      Chapter

      Pages 335-354

      A Multi-factor Structural Model for Australian Electricity Market Risk

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      Chapter

      Pages 355-370

      On an Integral Arising in Mathematical Finance

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