The Classical Cournot Model -- Concave Oligopolies -- General Oligopolies -- Modified and Extended Oligopolies -- Oligopolies with Misspecified and Uncertain Price Functions, and Learning -- Overview and Directions for Future Research

Transferring Negative Externalities: Feedback Effects of Self-Protection Choices in a Two Hemispheres Model -- Structural Change, Economic Growth and Environmental Dynamics with Heterogeneous Agents -- Bifurcations and Chaotic Attractors in an Overlapping Generations Model with Negative...

In the first part of this book, we treat interacting and small open economies. We do this from an historical perspective, starting from the Classical model of the gold standard and the specie-flow mechanism and aim to show there that the Dornbusch IS-LM-PC approach, with or without rational...

The defaultable forward rate is modeled as a jump diffusion process within the Schonbucher (2000, 2003) general Heath, Jarrow and Morton (1992) framework where jumps in the defaultable term structure cause jumps and defaults to the defaultable bond prices. Within this framework, we investigate...

We consider a Heath-Jarrow-Morton models for the term structure of interest rates in which the forward rate volatility is a function of the instantaneous spot rate of interest, a set of dicrete forward rates and time to maturity of the bond. We show how the stochastic dynamics may be expressed...

Following the framework of a one risky - one riskless asset model developed by Brock and Hommes (1998), this paper considers a discrete-time model of a financial market where heterogeneous groups of agents allocate their wealth amongst multiple risky assets and a riskless asset. Agents follow...

This paper considers an asset allocation strategy over a finite period under investment uncertainty and short-sale constraints as a continuous-time stochastic control problem. Investment uncertainty is characterised by a stochastic interest rate and inflation risk. If there are no short-sale...

This paper considers the evaluation of derivative security prices within the Heath-Jarrow-Morton framework of stochastic interest rates, such as bond options. Within this framework, the stochastic dynamics driving prices are in general non-Markovian. Hence, in principle the partial differential...

This paper considers the American option pricing problem under regime-switching by using the method-of-lines (MOL) scheme. American option prices in each regime involve prices in all other regimes. We treat the prices from other regimes implicitly, thus guaranteeing consistency. Iterative...