Modeling the Market
New Theories and Techniques
Frank J. Fabozzi Series
1. Edition January 1997
302 Pages, Hardcover
Wiley & Sons Ltd
ISBN:
978-1-883249-12-0
John Wiley & Sons
The authors have done an admirable job...This book is a revealing
and fascinating glimpse of the technologies which may rule the
financial world in the years to come. --The Financial Times,
February 1997
[This] new book looks at the progress made, both in practice and in
theory, toward producing a usable model of the market. Some of the
theoretical foundations of efficient market theory are being
demolished.
About the Authors.
Preface.
Acknowledgements.
PART I: CONCEPT AND METHODS.
1. Basic Concepts.
2. Modeling Under Equilibrium.
3. Technology Developments in the Classical Framework.
4. Models of Non-Equilibrium Markets and Non-Linear Methods.
PART II: IMPLEMENTATION.
5. Investment Management.
6. Trading.
7. Risk Management.
8. The Outlook for Adaptive Methods in Finance.
PART III: ISSUES AND THE MARKET.
9. The Market for Products and Services.
10. Technology Issues.
11. Management Issues.
12. Future Scenarios.
PART IV: THE MATHEMATICS OF UNCERTAINTY AND LEARNING.
13. The Mathematical Handling of Uncertainty.
14. The Representation of Security Markets.
15. The Representation of Market Constraints and Asset
Pricing.
16. At the Frontier of Research.
17. Adaptive Computational Methods.
Preface.
Acknowledgements.
PART I: CONCEPT AND METHODS.
1. Basic Concepts.
2. Modeling Under Equilibrium.
3. Technology Developments in the Classical Framework.
4. Models of Non-Equilibrium Markets and Non-Linear Methods.
PART II: IMPLEMENTATION.
5. Investment Management.
6. Trading.
7. Risk Management.
8. The Outlook for Adaptive Methods in Finance.
PART III: ISSUES AND THE MARKET.
9. The Market for Products and Services.
10. Technology Issues.
11. Management Issues.
12. Future Scenarios.
PART IV: THE MATHEMATICS OF UNCERTAINTY AND LEARNING.
13. The Mathematical Handling of Uncertainty.
14. The Representation of Security Markets.
15. The Representation of Market Constraints and Asset
Pricing.
16. At the Frontier of Research.
17. Adaptive Computational Methods.
Sergio Focardi is a partner of The Intertek Group. He has authored
and co-authored numerous articles, reports, and books on simulation
and adaptive methods in research and industry.
Caroline Jonas is a partner of the Intertek Group. She has
co-authored reports on advanced computational methods in banking
and finance.
and co-authored numerous articles, reports, and books on simulation
and adaptive methods in research and industry.
Caroline Jonas is a partner of the Intertek Group. She has
co-authored reports on advanced computational methods in banking
and finance.
