Addresses concerns regarding perceptions and measurement of risk and the resultant confusion relating to understanding of the market for audit services. Examines the theoretical justification for a plural approach to dealing with “risk” in audit fee models. Reviews the relevant literature...

Financial modelling is extensively used in all sectors of today’s business environments. In particular, it is used as a tool in the preparation of plans, budgets and many corporate projections. Simulation modelling is not widely used in this area, although it is popular and used in other areas...

We present four new methods for approximating the drift in the LIBOR market model when performing very long steps. These are compared with a variety of existing methods, including PPR, Glasserman-Zhao and predictor-corrector. We find that two of them, which use correlation adjustments to better...

We consider a non-stationary regression-type model for stock returns in which the innovations are described by four-parameter distributions and the parameters are assumed to be smooth, deterministic functions of time. Also incorporating normal distributions for modelling the innovations, our...

Purpose – The purpose of this paper is to provide a quantitative methodology based on information-gap decision theory for dealing with (true) Knightian uncertainty in the management of portfolios of assets with uncertain returns. Design/methodology/approach – Portfolio managers aim to...

Written to bridge the gap between foundational quantitative finance and market practice, this book goes beyond the basics covered in most textbooks by presenting content concerning actual industry norms, thus resulting in a clearer picture of the field for the readers. These include, for...

We elaborate on a new distributional scheme resulting from the generalised Pearson distribution with application to financial modelling. As case studies, we consider the major historical indices daily returns, DJIA, NASDAQ composite, FTSE100, CAC40, DAX and S%P500, as well as, high-frequency...

The letter concerns piecewise deterministic processes controlled by a Markov flow with exponentially, Exp(λn), distributed interarrival times Tn. Assuming all rates λn to be different, we study the distribution of a piecewise linear process with jumps.

Purpose – This paper seeks to look at failed development paradigms in West Africa, one of the world's poorest regions, and to argue that new and contextually relevant methods are needed to stem poverty, engage people in productive microenterprises, improve people's quality of life, and foster...

Purpose – Many developing countries embarked on a program of financial liberalization in order to maximize the benefits associated with a free market system. The preponderance of the evidence in the financial economics literature is that market-determined interest rates become volatile...