This paper derives an arbitrage‐free interest rate movements model (AR model). This
model takes the complete term structure as given and derives the subsequent stochastic …

The paper examines the optimal behavior of a single dealer who is faced with a stochastic
demand to trade (modeled by a continuous time Poisson jump process) and facing return risk …

The essential premise of this book is that theory and practice are equally important in describing
financial modeling. In it the authors try to strike a balance in their discussions between …

This article describes materials and methods for a course in systems analysis and design.
While the article is prescriptive rather than empirical, it offers new directions for instructors …

This paper has developed a model of bank margins or spreads in which the bank is viewed
as a risk-averse dealer. It was demonstrated that an interest spread or margin would always …

The behavior of competing dealers in securities markets is analyzed. Securities are
characterized by stochastic returns and stochastic transactions. Reservation bid and ask prices of …

The manufacturing of pure polyacrylonitrile (PAN) fibers and magnetic PAN/Fe 3 O 4
nanocomposite fibers is explored by an electrospinning process. A uniform, bead-free fiber …

SECURITIES MARKETS arise to economize on the costs of trading by investors. These
costs include the cost of communicating bids and offers, the cost of waiting, and the cost of …

This paper establishes three empirical results. We find positive autocorrelation in actual intra‐day
stock returns, in intra‐day returns computed from quote midpoints, and in the arrival of …

This article provides an overview of current research activities on the synthesis and
applications of magnetic nanocomposites, especially highlights their potential environmental …