The Handbook of Post Crisis Financial Modelling

1. Front Matter

   Pages i-xix

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2. Financial Development and Financial Crises: Lessons from the Early United States

   • Peter L. Rousseau

   Pages 1-17

3. Monetary Transmission and Regulatory Impacts: Empirical Evidence from the Post-Crisis Banking Literature

   • Sanja Jakovljević, Hans Degryse, Steven Ongena

   Pages 18-41

4. Market Discipline, Public Disclosure and Financial Stability

   • Rhiannon Sowerbutts, Peter Zimmerman

   Pages 42-64

5. Strategic Monetary and Fiscal Policy Interaction in a Liquidity Trap

   • Ali al-Nowaihi, Sanjit Dhami

   Pages 65-109

6. Analyzing Bank Efficiency: Are “Too-Big-to-Fail” Banks Efficient?

   • Hulusi Inanoglu, Michael Jacobs Jr., Junrong Liu, Robin Sickles

   Pages 110-146

7. Efficiency, Competition and the Shadow Price of Capital

   • Thomas Weyman-Jones

   Pages 147-167

8. Model-Free Methods in Valuation and Hedging of Derivative Securities

   • Mark H. A. Davis

   Pages 168-189

9. The Private Information Price of Risk

   • Jérôme Detemple, Marcel Rindisbacher

   Pages 190-213

10. Evolutionary Behavioral Finance

    • Igor Evstigneev, Thorsten Hens, Klaus Reiner Schenk-Hoppé

    Pages 214-234

11. Post-Crisis Macrofinancial Modeling: Continuous Time Approaches

    • Jukka Isohätälä, Nataliya Klimenko, Alistair Milne

    Pages 235-282

12. Recent Results on Operator Techniques in the Description of Macroscopic Systems

    • Fabio Bagarello

    Pages 283-314

13. Back Matter

    Pages 315-316

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The 2008 financial crisis was a watershed moment which clearly influenced the public's perception of the role of 'finance' in society. Since 2008, a plethora of books and newspaper articles have been produced accusing the academic community of being unable to produce valid models which can accommodate those extreme events.

This unique Handbook brings together leading practitioners and academics in the areas of banking, mathematics, and law to present original research on the key issues affecting financial modelling since the 2008 financial crisis. As well as exploring themes of distributional assumptions and efficiency the Handbook also explores how financial modelling can possibly be re-interpreted in light of the 2008 crisis.

• Financial Development
• Financial Crises
• United States
• Monetary Transmission
• Regulatory Impacts
• Banking
• Market Discipline
• Public Disclosure
• Financial Stability
• Fiscal Policy
• Liquidity
• Bank Efficiency
• too-big-to-fail
• Shadow Banking
• Models
• Valuation
• Hedging
• Derivatives
• Securities
• Price
• bank
• banking
• derivatives
• efficiency
• hedging
• liquidity
• modeling
• Stochastic modelling
• valuation

• School of Management and Institute of Finance, University of Leicester, UK

  Emmanuel Haven

• College of Business, Law, Education and Social Science, Bangor University, UK

  Philip Molyneux

• University of St Andrews, UK

  John O. S. Wilson

• University of Manchester, UK

  Sergei Fedotov

• Hull University Business School, UK

  Meryem Duygun

Emmanuel Haven is a professor at the School of Management at the University of Leicester, UK, and previously held an academic post at Essex Business School, University of Essex. Emmanuel has published papers in a variety of journals including the Journal of Economic Dynamics and Control; the Journal of Mathematical Psychology; the European Journal of Operational Research; and the Journal of Mathematical Analysis and Applications. He is co-author of Quantum Social Science with Andrei Khrennikov (Cambridge University Press).

Philip Molyneux is Dean of the College of Business, Law, Education and Social Sciences and Professor of Banking and Finance at Bangor University, UK. His main areas of research covers the structure and efficiency of banking markets and he has published widely in this area. Recent books include Introduction to Banking (2nd Edition, FT Prentice Hall, with B.Casu and C. Girardone) and the Oxford Handbook of Banking (2nd Edition, Oxford University Press, with Allen N Berger and John OS Wilson).

John O.S. Wilson is Professor of Banking & Finance and Director for the Centre for Responsible Banking & Finance at the University of St Andrews. His research focuses on banking andcredit unions. He is the author and co-author of numerous books and peer-reviewed journal articles. He co-edited the Oxford Handbook of Banking (with Allen Berger and Phil Molyneux).

Sergei Fedotov is Professor of Applied Mathematics at the School of Mathematics, University of Manchester. He studied mathematics at Ural State University, Ekaterinburg, Russia, before completing a PhD in applied mathematics, also at USU. Fedotov's major research interests lie in the general area of random walk theory, mathematical finance and non-linear phenomena in statistical physics. He has held visiting professor positions at Stanford University, US, the University of New South Wales, Sydney, and the Autonomous University of Barcelona, Spain.

Meryem Duygun is Professor of Banking and Finance at Hull University Business School. She joined Hull from the University of Leicester School of Management, where she remains a Visiting Professor. Meryem is also an Honorary Research Fellow at the Centre for Islamic Business and Finance Research at the University of Nottingham, Malaysia. Her major research fields are banking and corporate finance.

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