November 27th, 2008, 8:42 pm
People at the Dutch universities have done some good stuff on demand deposits and recently the Germans and Swiss are attacking these topics using stochastic dynamic programming. Try the University of St Galen. The American chappies James O'Brien and Richard Sheehan have written what I think is good stuff too. All demand depo stuff. More generally, there is an alm text by Chris Matten (spelling?) which a lot of people like, it looks very short on details but raises interesting ideas. In the final analysis there is a great deal of confusion about the topic so you will probably not find the mother of all tracts on alm. Consider equity duration, for example. Some people think it is very short, some think it is very long. No received wisdom, which when you think about it is a bit frightening.