Classic Models in Finance: Solved and Unsolved Issues Decision Weights, Change of Wealth, and Value Function: The Experimental Evidence Empirical and Experimental Evidence Regarding Preferences: Absolute and Relative Risk Aversion Inefficient Choices and Investors' Irrationality The Microscopic Simulation Method Microscopic Simulations in Various Fields The LLS Microscopic Simulation Model Various Financial Microscopic Simulations Prospect Theory, Asset Pricing, and Market Dynamics Applications of Microscopic Simulation to the CAPM: Heterogeneous Expectations and the Number of Assets in the Portfolio Application of Microscopic Simulation to Option Pricing: Uncertainty and Disagreement about the Volatility
Key Features * Emphasizes investor behavior in determining asset prices and market dynamics * Introduces Microscopic Simulation within a simplified framework * Offers ways to model deviations from rational decision-making
Haim Levy is a Miles Robinson Professor of Business Administration at The Hebrew University, Jerusalem. Ranked as the most frequently cited author in finance, he has written on financial management, business statistics, portfolio and investment selection, decision-making under uncertainty, investments, and many other subjects. Moshe Levy, a Lecturer at The Hebrew University's School of Business Adminstration, has a background in physics, and employed MS techniques to investigate complex economic and financial systems for his Ph.D. work. Sorin Solomon is a Professor of Theoretical Physics at the Racah Institute of Physics, The Hebrew University, Jerusalem. Winner of the Levinson and J.F. Kennedy prizes for scientific research, he frequently writes on finance.
"Levy, Levy, and Solomon's Microscopic Simulation of Financial Markets points us towards the future of financial economics. If we restrict ourselves to models which can be solved analytically, we will be modeling for our mutual entertainment, not to maximize explanatory or predictive power." --HARRY M. MARKOWITZ, President, Harry Markowitz Co., and Nobel Laureate in Economics "Many theoretical physicists now try to apply their research techniques to problems in finance; this is a book to help them in such computer simulations. In contrast to earlier "econophysics" books, Levy et al. Emphasize the modeling of individual traders, and they give credit to economists who used such methods already before." --DIETRICH STAUFFER, Physics Department, Cologne University, Cologne, Germany "This book contains the first fully comprehensive treatment of Microscopic Simulation in finance. The authors make a compelling case that this technique, originally used in physics to solve otherwise intractable problems, is destined to become a standard tool in finance. It is particularly well-suited for highly complex financial problems in behavioral finance where standard methods are inadequate." --RICHARD ROLL, Allstate Professor of Insurance and Finance at the Anderson School of Business, UCLA