Recent Research in Financial Modelling

  • Evert Jan Stokking
  • Giovanni Zambruno
Conference proceedings

Part of the Contributions to Management Science book series (MANAGEMENT SC.)

Table of contents

  1. Front Matter
    Pages I-VI
  2. Evert Jan Stokking, Giovanni Zambruno
    Pages 1-3
  3. Elisa Luciano, Lorenzo Peccati
    Pages 17-23
  4. G. H. M. J. Kremer
    Pages 37-48
  5. Winfried G. Hallerbach
    Pages 59-74
  6. Mariacristina Uberti
    Pages 105-116
  7. L. Ferrari, E. Luciano, L. Peccati
    Pages 117-124
  8. Mary E. Wilkie, Andrew C. Pollock
    Pages 146-158

About these proceedings


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.


Derivative Securities Finanzierung Finanzwirtschaft Kapitalmärkte Portfolio Portfolio Management Portfolio Theory Rating capital markets financial modelling

Editors and affiliations

  • Evert Jan Stokking
    • 1
  • Giovanni Zambruno
    • 2
  1. 1.Department of Business, Administration and Management SiencesUniversity of GroningenGroningenThe Netherlands
  2. 2.Faculty of Political SciencesUniversity of MilanMilanoItaly

Bibliographic information

  • DOI
  • Copyright Information Physica-Verlag Heidelberg 1993
  • Publisher Name Physica-Verlag HD
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-7908-0683-0
  • Online ISBN 978-3-642-46938-1
  • Series Print ISSN 1431-1941
  • Buy this book on publisher's site