Nonlinear Economic Dynamics and Financial Modelling

Essays in Honour of Carl Chiarella

  • Roberto Dieci
  • Xue-Zhong He
  • Cars Hommes

Table of contents

  1. Front Matter
    Pages i-xv
  2. Roberto Dieci, Xue-Zhong He, Cars Hommes
    Pages 1-7
  3. Carl Chiarella: An Interview and Some Perspectives

  4. Nonlinear Economic Dynamics

    1. Front Matter
      Pages 25-25
    2. Matthieu Charpe, Peter Flaschel, Christian R. Proaño, Willi Semmler
      Pages 27-39
    3. Anna Agliari, Laura Gardini, Iryna Sushko
      Pages 65-81
    4. Akio Matsumoto, Ferenc Szidarovszky
      Pages 83-107
    5. Simone Landini, Mauro Gallegati, Joseph E. Stiglitz, Xihao Li, Corrado Di Guilmi
      Pages 109-134
    6. Reiner Franke
      Pages 135-159
  5. Financial Market Modelling

    1. Front Matter
      Pages 161-161
    2. Daniel Ladley, Paolo Pellizzari
      Pages 183-199
    3. Wai-Mun Chia, Mengling Li, Huanhuan Zheng
      Pages 201-223
  6. Quantitative Finance

    1. Front Matter
      Pages 251-251
    2. Masaaki Kijima, Yukio Muromachi
      Pages 253-273
    3. Laura Morino, Wolfgang J. Runggaldier
      Pages 275-290
    4. Les Clewlow, Boda Kang, Christina Sklibosios Nikitopoulos
      Pages 315-334
    5. John Breslin, Les Clewlow, Chris Strickland
      Pages 335-354
    6. Gerald H. L. Cheang, Gim-Aik Teh
      Pages 371-389

About this book


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.


Complexity theory Computational finance Economic dynamics Financial market modelling Monetary dynamics Nonlinear economic dynamics Quantitative finace Risk management

Editors and affiliations

  • Roberto Dieci
    • 1
  • Xue-Zhong He
    • 2
  • Cars Hommes
    • 3
  1. 1.Department of MathematicsUniversity of BolognaBolognaItaly
  2. 2.UTS Business SchoolUniversity of Technology, SydneySydneyAustralia
  3. 3.Amsterdam School of EconomicsUniversity of AmsterdamAmsterdamThe Netherlands

Bibliographic information

  • DOI
  • Copyright Information Springer International Publishing Switzerland 2014
  • Publisher Name Springer, Cham
  • eBook Packages Business and Economics
  • Print ISBN 978-3-319-07469-6
  • Online ISBN 978-3-319-07470-2
  • Buy this book on publisher's site
Industry Sectors
Finance, Business & Banking