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Publisher: Springer-Verlag (Total: 2351 journals)

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Showing 1 - 200 of 2351 Journals sorted alphabetically
3D Printing in Medicine     Open Access  
3D Research     Hybrid Journal   (Followers: 21, SJR: 0.222, CiteScore: 1)
4OR: A Quarterly J. of Operations Research     Hybrid Journal   (Followers: 10, SJR: 0.825, CiteScore: 1)
AAPS J.     Hybrid Journal   (Followers: 22, SJR: 1.118, CiteScore: 4)
AAPS PharmSciTech     Hybrid Journal   (Followers: 7, SJR: 0.752, CiteScore: 3)
Abdominal Imaging     Hybrid Journal   (Followers: 14, SJR: 0.866, CiteScore: 2)
Abhandlungen aus dem Mathematischen Seminar der Universitat Hamburg     Hybrid Journal   (Followers: 4, SJR: 0.439, CiteScore: 0)
Academic Psychiatry     Full-text available via subscription   (Followers: 23, SJR: 0.53, CiteScore: 1)
Academic Questions     Hybrid Journal   (Followers: 8, SJR: 0.106, CiteScore: 0)
Accreditation and Quality Assurance: J. for Quality, Comparability and Reliability in Chemical Measurement     Hybrid Journal   (Followers: 26, SJR: 0.316, CiteScore: 1)
Acoustical Physics     Hybrid Journal   (Followers: 11, SJR: 0.359, CiteScore: 1)
Acoustics Australia     Hybrid Journal   (SJR: 0.232, CiteScore: 1)
Acta Analytica     Hybrid Journal   (Followers: 7, SJR: 0.367, CiteScore: 0)
Acta Applicandae Mathematicae     Hybrid Journal   (Followers: 1, SJR: 0.675, CiteScore: 1)
Acta Biotheoretica     Hybrid Journal   (Followers: 4, SJR: 0.284, CiteScore: 1)
Acta Diabetologica     Hybrid Journal   (Followers: 18, SJR: 1.587, CiteScore: 3)
Acta Endoscopica     Hybrid Journal   (Followers: 1)
acta ethologica     Hybrid Journal   (Followers: 4, SJR: 0.769, CiteScore: 1)
Acta Geochimica     Hybrid Journal   (Followers: 6, SJR: 0.24, CiteScore: 1)
Acta Geodaetica et Geophysica     Hybrid Journal   (Followers: 2, SJR: 0.305, CiteScore: 1)
Acta Geotechnica     Hybrid Journal   (Followers: 7, SJR: 1.588, CiteScore: 3)
Acta Informatica     Hybrid Journal   (Followers: 5, SJR: 0.517, CiteScore: 1)
Acta Mathematica     Hybrid Journal   (Followers: 12, SJR: 7.066, CiteScore: 3)
Acta Mathematica Hungarica     Hybrid Journal   (Followers: 2, SJR: 0.452, CiteScore: 1)
Acta Mathematica Sinica, English Series     Hybrid Journal   (Followers: 6, SJR: 0.379, CiteScore: 1)
Acta Mathematica Vietnamica     Hybrid Journal   (SJR: 0.27, CiteScore: 0)
Acta Mathematicae Applicatae Sinica, English Series     Hybrid Journal   (SJR: 0.208, CiteScore: 0)
Acta Mechanica     Hybrid Journal   (Followers: 21, SJR: 1.04, CiteScore: 2)
Acta Mechanica Sinica     Hybrid Journal   (Followers: 5, SJR: 0.607, CiteScore: 2)
Acta Metallurgica Sinica (English Letters)     Hybrid Journal   (Followers: 7, SJR: 0.576, CiteScore: 2)
Acta Meteorologica Sinica     Hybrid Journal   (Followers: 3, SJR: 0.638, CiteScore: 1)
Acta Neurochirurgica     Hybrid Journal   (Followers: 6, SJR: 0.822, CiteScore: 2)
Acta Neurologica Belgica     Hybrid Journal   (Followers: 1, SJR: 0.376, CiteScore: 1)
Acta Neuropathologica     Hybrid Journal   (Followers: 5, SJR: 7.589, CiteScore: 12)
Acta Oceanologica Sinica     Hybrid Journal   (Followers: 3, SJR: 0.334, CiteScore: 1)
Acta Parasitologica     Hybrid Journal   (Followers: 10, SJR: 0.641, CiteScore: 1)
Acta Physiologiae Plantarum     Hybrid Journal   (Followers: 2, SJR: 0.574, CiteScore: 2)
Acta Politica     Hybrid Journal   (Followers: 14, SJR: 0.605, CiteScore: 1)
Activitas Nervosa Superior     Hybrid Journal   (SJR: 0.147, CiteScore: 0)
adhäsion KLEBEN & DICHTEN     Hybrid Journal   (Followers: 7, SJR: 0.103, CiteScore: 0)
ADHD Attention Deficit and Hyperactivity Disorders     Hybrid Journal   (Followers: 23, SJR: 0.72, CiteScore: 2)
Adhesion Adhesives & Sealants     Hybrid Journal   (Followers: 9)
Administration and Policy in Mental Health and Mental Health Services Research     Partially Free   (Followers: 16, SJR: 1.005, CiteScore: 2)
Adsorption     Hybrid Journal   (Followers: 4, SJR: 0.703, CiteScore: 2)
Advances in Applied Clifford Algebras     Hybrid Journal   (Followers: 4, SJR: 0.698, CiteScore: 1)
Advances in Atmospheric Sciences     Hybrid Journal   (Followers: 37, SJR: 0.956, CiteScore: 2)
Advances in Computational Mathematics     Hybrid Journal   (Followers: 19, SJR: 0.812, CiteScore: 1)
Advances in Contraception     Hybrid Journal   (Followers: 3)
Advances in Data Analysis and Classification     Hybrid Journal   (Followers: 51, SJR: 1.09, CiteScore: 1)
Advances in Gerontology     Partially Free   (Followers: 8, SJR: 0.144, CiteScore: 0)
Advances in Health Sciences Education     Hybrid Journal   (Followers: 29, SJR: 1.64, CiteScore: 2)
Advances in Manufacturing     Hybrid Journal   (Followers: 3, SJR: 0.475, CiteScore: 2)
Advances in Polymer Science     Hybrid Journal   (Followers: 43, SJR: 1.04, CiteScore: 3)
Advances in Therapy     Hybrid Journal   (Followers: 5, SJR: 1.075, CiteScore: 3)
Aegean Review of the Law of the Sea and Maritime Law     Hybrid Journal   (Followers: 6)
Aequationes Mathematicae     Hybrid Journal   (Followers: 2, SJR: 0.517, CiteScore: 1)
Aerobiologia     Hybrid Journal   (Followers: 3, SJR: 0.673, CiteScore: 2)
Aesthetic Plastic Surgery     Hybrid Journal   (Followers: 9, SJR: 0.825, CiteScore: 1)
African Archaeological Review     Hybrid Journal   (Followers: 16, SJR: 0.862, CiteScore: 1)
Afrika Matematika     Hybrid Journal   (Followers: 1, SJR: 0.235, CiteScore: 0)
AGE     Hybrid Journal   (Followers: 7)
Ageing Intl.     Hybrid Journal   (Followers: 7, SJR: 0.39, CiteScore: 1)
Aggiornamenti CIO     Hybrid Journal   (Followers: 1)
Aging Clinical and Experimental Research     Hybrid Journal   (Followers: 3, SJR: 0.67, CiteScore: 2)
Agricultural Research     Hybrid Journal   (Followers: 5, SJR: 0.276, CiteScore: 1)
Agriculture and Human Values     Hybrid Journal   (Followers: 14, SJR: 1.173, CiteScore: 3)
Agroforestry Systems     Hybrid Journal   (Followers: 19, SJR: 0.663, CiteScore: 1)
Agronomy for Sustainable Development     Hybrid Journal   (Followers: 12, SJR: 1.864, CiteScore: 6)
AI & Society     Hybrid Journal   (Followers: 8, SJR: 0.227, CiteScore: 1)
AIDS and Behavior     Hybrid Journal   (Followers: 14, SJR: 1.792, CiteScore: 3)
Air Quality, Atmosphere & Health     Hybrid Journal   (Followers: 4, SJR: 0.862, CiteScore: 3)
Akupunktur & Aurikulomedizin     Full-text available via subscription   (Followers: 1)
Algebra and Logic     Hybrid Journal   (Followers: 6, SJR: 0.531, CiteScore: 0)
Algebra Universalis     Hybrid Journal   (Followers: 2, SJR: 0.583, CiteScore: 1)
Algebras and Representation Theory     Hybrid Journal   (Followers: 1, SJR: 1.095, CiteScore: 1)
Algorithmica     Hybrid Journal   (Followers: 9, SJR: 0.56, CiteScore: 1)
Allergo J.     Full-text available via subscription   (Followers: 1, SJR: 0.234, CiteScore: 0)
Allergo J. Intl.     Hybrid Journal   (Followers: 2)
Alpine Botany     Hybrid Journal   (Followers: 5, SJR: 1.11, CiteScore: 3)
ALTEX : Alternatives to Animal Experimentation     Open Access   (Followers: 3)
AMBIO     Hybrid Journal   (Followers: 10, SJR: 1.569, CiteScore: 4)
American J. of Cardiovascular Drugs     Hybrid Journal   (Followers: 16, SJR: 0.951, CiteScore: 3)
American J. of Community Psychology     Hybrid Journal   (Followers: 28, SJR: 1.329, CiteScore: 2)
American J. of Criminal Justice     Hybrid Journal   (Followers: 8, SJR: 0.772, CiteScore: 1)
American J. of Cultural Sociology     Hybrid Journal   (Followers: 16, SJR: 0.46, CiteScore: 1)
American J. of Dance Therapy     Hybrid Journal   (Followers: 4, SJR: 0.181, CiteScore: 0)
American J. of Potato Research     Hybrid Journal   (Followers: 2, SJR: 0.611, CiteScore: 1)
American J. of Psychoanalysis     Hybrid Journal   (Followers: 21, SJR: 0.314, CiteScore: 0)
American Sociologist     Hybrid Journal   (Followers: 12, SJR: 0.35, CiteScore: 0)
Amino Acids     Hybrid Journal   (Followers: 8, SJR: 1.135, CiteScore: 3)
AMS Review     Partially Free   (Followers: 4)
Analog Integrated Circuits and Signal Processing     Hybrid Journal   (Followers: 7, SJR: 0.211, CiteScore: 1)
Analysis and Mathematical Physics     Hybrid Journal   (Followers: 5, SJR: 0.536, CiteScore: 1)
Analysis in Theory and Applications     Hybrid Journal   (Followers: 1)
Analysis of Verbal Behavior     Hybrid Journal   (Followers: 5)
Analytical and Bioanalytical Chemistry     Hybrid Journal   (Followers: 32, SJR: 0.978, CiteScore: 3)
Anatomical Science Intl.     Hybrid Journal   (Followers: 2, SJR: 0.367, CiteScore: 1)
Angewandte Schmerztherapie und Palliativmedizin     Hybrid Journal  
Angiogenesis     Hybrid Journal   (Followers: 3, SJR: 2.177, CiteScore: 5)
Animal Cognition     Hybrid Journal   (Followers: 19, SJR: 1.389, CiteScore: 3)
Annales françaises de médecine d'urgence     Hybrid Journal   (Followers: 1, SJR: 0.192, CiteScore: 0)
Annales Henri Poincaré     Hybrid Journal   (Followers: 3, SJR: 1.097, CiteScore: 2)
Annales mathématiques du Québec     Hybrid Journal   (Followers: 4, SJR: 0.438, CiteScore: 0)
Annali dell'Universita di Ferrara     Hybrid Journal   (SJR: 0.429, CiteScore: 0)
Annali di Matematica Pura ed Applicata     Hybrid Journal   (Followers: 1, SJR: 1.197, CiteScore: 1)
Annals of Biomedical Engineering     Hybrid Journal   (Followers: 18, SJR: 1.042, CiteScore: 3)
Annals of Combinatorics     Hybrid Journal   (Followers: 4, SJR: 0.932, CiteScore: 1)
Annals of Data Science     Hybrid Journal   (Followers: 12)
Annals of Dyslexia     Hybrid Journal   (Followers: 10, SJR: 0.85, CiteScore: 2)
Annals of Finance     Hybrid Journal   (Followers: 30, SJR: 0.579, CiteScore: 1)
Annals of Forest Science     Hybrid Journal   (Followers: 7, SJR: 0.986, CiteScore: 2)
Annals of Global Analysis and Geometry     Hybrid Journal   (Followers: 1, SJR: 1.228, CiteScore: 1)
Annals of Hematology     Hybrid Journal   (Followers: 15, SJR: 1.043, CiteScore: 2)
Annals of Mathematics and Artificial Intelligence     Hybrid Journal   (Followers: 12, SJR: 0.413, CiteScore: 1)
Annals of Microbiology     Hybrid Journal   (Followers: 10, SJR: 0.479, CiteScore: 2)
Annals of Nuclear Medicine     Hybrid Journal   (Followers: 4, SJR: 0.687, CiteScore: 2)
Annals of Operations Research     Hybrid Journal   (Followers: 10, SJR: 0.943, CiteScore: 2)
Annals of Ophthalmology     Hybrid Journal   (Followers: 11)
Annals of Regional Science     Hybrid Journal   (Followers: 7, SJR: 0.614, CiteScore: 1)
Annals of Software Engineering     Hybrid Journal   (Followers: 13)
Annals of Solid and Structural Mechanics     Hybrid Journal   (Followers: 9, SJR: 0.239, CiteScore: 1)
Annals of Surgical Oncology     Hybrid Journal   (Followers: 13, SJR: 1.986, CiteScore: 4)
Annals of Telecommunications     Hybrid Journal   (Followers: 9, SJR: 0.223, CiteScore: 1)
Annals of the Institute of Statistical Mathematics     Hybrid Journal   (Followers: 1, SJR: 1.495, CiteScore: 1)
Antonie van Leeuwenhoek     Hybrid Journal   (Followers: 5, SJR: 0.834, CiteScore: 2)
Apidologie     Hybrid Journal   (Followers: 4, SJR: 1.22, CiteScore: 3)
APOPTOSIS     Hybrid Journal   (Followers: 8, SJR: 1.424, CiteScore: 4)
Applicable Algebra in Engineering, Communication and Computing     Hybrid Journal   (Followers: 2, SJR: 0.294, CiteScore: 1)
Applications of Mathematics     Hybrid Journal   (Followers: 2, SJR: 0.602, CiteScore: 1)
Applied Biochemistry and Biotechnology     Hybrid Journal   (Followers: 43, SJR: 0.571, CiteScore: 2)
Applied Biochemistry and Microbiology     Hybrid Journal   (Followers: 17, SJR: 0.21, CiteScore: 1)
Applied Cancer Research     Open Access  
Applied Categorical Structures     Hybrid Journal   (Followers: 2, SJR: 0.49, CiteScore: 0)
Applied Composite Materials     Hybrid Journal   (Followers: 49, SJR: 0.58, CiteScore: 2)
Applied Entomology and Zoology     Partially Free   (Followers: 3, SJR: 0.422, CiteScore: 1)
Applied Geomatics     Hybrid Journal   (Followers: 3, SJR: 0.733, CiteScore: 3)
Applied Geophysics     Hybrid Journal   (Followers: 8, SJR: 0.488, CiteScore: 1)
Applied Intelligence     Hybrid Journal   (Followers: 12, SJR: 0.6, CiteScore: 2)
Applied Magnetic Resonance     Hybrid Journal   (Followers: 4, SJR: 0.319, CiteScore: 1)
Applied Mathematics & Optimization     Hybrid Journal   (Followers: 6, SJR: 0.886, CiteScore: 1)
Applied Mathematics - A J. of Chinese Universities     Hybrid Journal   (SJR: 0.17, CiteScore: 0)
Applied Mathematics and Mechanics     Hybrid Journal   (Followers: 5, SJR: 0.461, CiteScore: 1)
Applied Microbiology and Biotechnology     Hybrid Journal   (Followers: 63, SJR: 1.182, CiteScore: 4)
Applied Physics A     Hybrid Journal   (Followers: 9, SJR: 0.481, CiteScore: 2)
Applied Physics B: Lasers and Optics     Hybrid Journal   (Followers: 24, SJR: 0.74, CiteScore: 2)
Applied Psychophysiology and Biofeedback     Hybrid Journal   (Followers: 8, SJR: 0.519, CiteScore: 2)
Applied Research in Quality of Life     Hybrid Journal   (Followers: 12, SJR: 0.316, CiteScore: 1)
Applied Solar Energy     Hybrid Journal   (Followers: 18, SJR: 0.225, CiteScore: 0)
Applied Spatial Analysis and Policy     Hybrid Journal   (Followers: 5, SJR: 0.542, CiteScore: 1)
Aquaculture Intl.     Hybrid Journal   (Followers: 23, SJR: 0.591, CiteScore: 2)
Aquarium Sciences and Conservation     Hybrid Journal   (Followers: 1)
Aquatic Ecology     Hybrid Journal   (Followers: 34, SJR: 0.656, CiteScore: 2)
Aquatic Geochemistry     Hybrid Journal   (Followers: 4, SJR: 0.591, CiteScore: 1)
Aquatic Sciences     Hybrid Journal   (Followers: 13, SJR: 1.109, CiteScore: 3)
Arabian J. for Science and Engineering     Hybrid Journal   (Followers: 5, SJR: 0.303, CiteScore: 1)
Arabian J. of Geosciences     Hybrid Journal   (Followers: 2, SJR: 0.319, CiteScore: 1)
Archaeological and Anthropological Sciences     Hybrid Journal   (Followers: 20, SJR: 1.052, CiteScore: 2)
Archaeologies     Hybrid Journal   (Followers: 12, SJR: 0.224, CiteScore: 0)
Archiv der Mathematik     Hybrid Journal   (Followers: 1, SJR: 0.725, CiteScore: 1)
Archival Science     Hybrid Journal   (Followers: 60, SJR: 0.745, CiteScore: 2)
Archive for History of Exact Sciences     Hybrid Journal   (Followers: 8, SJR: 0.186, CiteScore: 1)
Archive for Mathematical Logic     Hybrid Journal   (Followers: 2, SJR: 0.909, CiteScore: 1)
Archive for Rational Mechanics and Analysis     Hybrid Journal   (SJR: 3.93, CiteScore: 3)
Archive of Applied Mechanics     Hybrid Journal   (Followers: 5, SJR: 0.79, CiteScore: 2)
Archives and Museum Informatics     Hybrid Journal   (Followers: 143, SJR: 0.101, CiteScore: 0)
Archives of Computational Methods in Engineering     Hybrid Journal   (Followers: 5, SJR: 1.41, CiteScore: 5)
Archives of Dermatological Research     Hybrid Journal   (Followers: 7, SJR: 1.006, CiteScore: 2)
Archives of Environmental Contamination and Toxicology     Hybrid Journal   (Followers: 14, SJR: 0.773, CiteScore: 2)
Archives of Gynecology and Obstetrics     Hybrid Journal   (Followers: 16, SJR: 0.956, CiteScore: 2)
Archives of Microbiology     Hybrid Journal   (Followers: 8, SJR: 0.644, CiteScore: 2)
Archives of Orthopaedic and Trauma Surgery     Hybrid Journal   (Followers: 8, SJR: 1.146, CiteScore: 2)
Archives of Osteoporosis     Hybrid Journal   (Followers: 2, SJR: 0.71, CiteScore: 2)
Archives of Sexual Behavior     Hybrid Journal   (Followers: 10, SJR: 1.493, CiteScore: 3)
Archives of Toxicology     Hybrid Journal   (Followers: 17, SJR: 1.541, CiteScore: 5)
Archives of Virology     Hybrid Journal   (Followers: 5, SJR: 0.973, CiteScore: 2)
Archives of Women's Mental Health     Hybrid Journal   (Followers: 14, SJR: 1.274, CiteScore: 3)
Archivio di Ortopedia e Reumatologia     Hybrid Journal  
Archivum Immunologiae et Therapiae Experimentalis     Hybrid Journal   (Followers: 2, SJR: 0.946, CiteScore: 3)
ArgoSpine News & J.     Hybrid Journal  
Argumentation     Hybrid Journal   (Followers: 5, SJR: 0.349, CiteScore: 1)
Arid Ecosystems     Hybrid Journal   (Followers: 2, SJR: 0.2, CiteScore: 0)
Arkiv för Matematik     Hybrid Journal   (Followers: 1, SJR: 0.766, CiteScore: 1)
Arnold Mathematical J.     Hybrid Journal   (Followers: 1, SJR: 0.355, CiteScore: 0)
Arthropod-Plant Interactions     Hybrid Journal   (Followers: 2, SJR: 0.839, CiteScore: 2)
Arthroskopie     Hybrid Journal   (Followers: 1, SJR: 0.131, CiteScore: 0)
Artificial Intelligence and Law     Hybrid Journal   (Followers: 11, SJR: 0.937, CiteScore: 2)
Artificial Intelligence Review     Hybrid Journal   (Followers: 14, SJR: 0.833, CiteScore: 4)
Artificial Life and Robotics     Hybrid Journal   (Followers: 9, SJR: 0.226, CiteScore: 0)
Asia Europe J.     Hybrid Journal   (Followers: 5, SJR: 0.504, CiteScore: 1)
Asia Pacific Education Review     Hybrid Journal   (Followers: 12, SJR: 0.479, CiteScore: 1)
Asia Pacific J. of Management     Hybrid Journal   (Followers: 16, SJR: 1.185, CiteScore: 2)
Asia-Pacific Education Researcher     Hybrid Journal   (Followers: 12, SJR: 0.353, CiteScore: 1)
Asia-Pacific Financial Markets     Hybrid Journal   (Followers: 2, SJR: 0.187, CiteScore: 0)
Asia-Pacific J. of Atmospheric Sciences     Hybrid Journal   (Followers: 19, SJR: 0.855, CiteScore: 1)
Asian Business & Management     Hybrid Journal   (Followers: 9, SJR: 0.378, CiteScore: 1)
Asian J. of Business Ethics     Hybrid Journal   (Followers: 9)
Asian J. of Criminology     Hybrid Journal   (Followers: 5, SJR: 0.543, CiteScore: 1)
AStA Advances in Statistical Analysis     Hybrid Journal   (Followers: 3, SJR: 0.548, CiteScore: 1)
AStA Wirtschafts- und Sozialstatistisches Archiv     Hybrid Journal   (Followers: 5, SJR: 0.183, CiteScore: 0)
ästhetische dermatologie & kosmetologie     Full-text available via subscription  

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Journal Cover
Annals of Finance
Journal Prestige (SJR): 0.579
Citation Impact (citeScore): 1
Number of Followers: 30  
 
  Hybrid Journal Hybrid journal (It can contain Open Access articles)
ISSN (Print) 1614-2454 - ISSN (Online) 1614-2446
Published by Springer-Verlag Homepage  [2351 journals]
  • Regulation, supervision and deposit insurance for financial cooperatives:
           an empirical investigation
    • Authors: Amr Khafagy
      Pages: 143 - 193
      Abstract: This paper analyses the impact of different regulation and supervision approaches, as well as deposit insurance schemes, on the development of financial cooperatives in developing countries, using random and fixed effects estimators. Information on laws regulating financial cooperatives, the supervisory approaches adopted, and deposit insurance schemes in sixty-five developing countries were collected—mostly—from original legislations for the period 1995–2014. Key findings suggest that indicators of financial cooperative development are positively correlated with the existence of a specialized regulation; supervision under non-bank financial supervisory authorities; and the presence of deposit insurance schemes, while general cooperative society’s regulations and banking regulations are negatively correlated with financial cooperatives’ indicators. These results are robust after controlling for economic and institutional factors as well as potential endogeneity bias.
      PubDate: 2018-05-01
      DOI: 10.1007/s10436-017-0307-y
      Issue No: Vol. 14, No. 2 (2018)
       
  • Approximate option pricing and hedging in the CEV model via path-wise
           comparison of stochastic processes
    • Authors: Vladislav Krasin; Ivan Smirnov; Alexander Melnikov
      Pages: 195 - 209
      Abstract: This paper presents a methodology of finding explicit boundaries for some financial quantities via comparison of stochastic processes. The path-wise comparison theorem is used to establish domination of the stock price process by a process with a known distribution that is relatively simple. We demonstrate how the comparison theorem can be applied in the constant elasticity of variance model to derive closed-form expressions for option price bounds, an approximate hedging strategy and a conditional value-at-risk estimate. We also provide numerical examples and compare precision of our method with the distribution-free approach.
      PubDate: 2018-05-01
      DOI: 10.1007/s10436-017-0309-9
      Issue No: Vol. 14, No. 2 (2018)
       
  • Barrier style contracts under Lévy processes once again
    • Authors: José Fajardo
      Pages: 93 - 103
      Abstract: In this paper we present new pricing formulas for some Barrier style contracts of European type when the underlying process is driven by an important class of Lévy processes, which includes CGMY model, generalized hyperbolic Model and Meixner Model, when no symmetry properties are assumed, complementing in this way previous findings in Fajardo (J Bank Financ 53:179–187, 2015). Also, we show how to implement our new formulas.
      PubDate: 2018-02-01
      DOI: 10.1007/s10436-017-0303-2
      Issue No: Vol. 14, No. 1 (2018)
       
  • Conic asset pricing and the costs of price fluctuations
    • Authors: Dilip B. Madan; Wim Schoutens
      Abstract: Prudent upper and lower valuations from the literature on arbitrage free two price economies provide risk characteristics driving required returns. The risk characteristics assess the risk of price fluctuations. The difference between the upper and lower prudent valuations can be viewed as a capital charge. In addition the lower valuation assesses the down side tail risk. The required risk characteristics may be estimated on a daily basis from past data and we elaborate on how to perform such upper and lower valuations using distorted expectations. Details are provided for calculations using just the raw data, or by first fitting a probability distribution, or in terms of estimated arrival rates for jumps. The valuations are obtained with a dynamic calibration of a parametric distortion on the S&P 500 index options market. Results for required returns based on capital charges and down side risk compensation show an improvement when risk is represented by the arrival rates of jump sizes. For risk assessments based on arrival rates, capital charges constitute between 67 and 85% of the required return. The rest being a charge for downside risk exposures. After the introduction of risk characteristics into required returns there is little scope for covariation measures like asset betas. Different proposed constructions for required returns deliver differences in the value of an invested dollar and associated differences in asset rankings across time.
      PubDate: 2018-06-11
      DOI: 10.1007/s10436-018-0328-1
       
  • Option pricing under fast-varying and rough stochastic volatility
    • Authors: Josselin Garnier; Knut Sølna
      Abstract: Recent empirical studies suggest that the volatilities associated with financial time series exhibit short-range correlations. This entails that the volatility process is very rough and its autocorrelation exhibits sharp decay at the origin. Another classic stylistic feature often assumed for the volatility is that it is mean reverting. In this paper it is shown that the price impact of a rapidly mean reverting rough volatility model coincides with that associated with fast mean reverting Markov stochastic volatility models. This reconciles the empirical observation of rough volatility paths with the good fit of the implied volatility surface to models of fast mean reverting Markov volatilities. Moreover, the result conforms with recent numerical results regarding rough stochastic volatility models. It extends the scope of models for which the asymptotic results of fast mean reverting Markov volatilities are valid. The paper concludes with a general discussion of fractional volatility asymptotics and their interrelation. The regimes discussed there include fast and slow volatility factors with strong or small volatility fluctuations and with the limits not commuting in general. The notion of a characteristic term structure exponent is introduced, this exponent governs the implied volatility term structure in the various asymptotic regimes.
      PubDate: 2018-06-08
      DOI: 10.1007/s10436-018-0325-4
       
  • Analysis of the SRISK measure and its application to the Canadian banking
           and insurance industries
    • Abstract: In this paper, we analyse, modify, and apply one of the most widely used measures of systemic risk, SRISK, developed by Brownlees and Engle (in Rev Financ Stud 30:48–79, 2016). The measure is defined as the expected capital shortfall of a firm conditional on a prolonged market decline. We argue that segregated funds, also known as separate accounts in the US, should be excluded from actuarial liabilities when SRISK is calculated for insurance companies. We also demonstrate the importance of careful analysis of accounting standards when specifying the prudential capital ratio used in SRISK methodology. Based on the proposed adjustments to SRISK, we assess the systemic risk of the Canadian banking and insurance industries. It is shown that in its current implementation, the SRISK methodology substantially overestimates the systemic risk of Canadian insurance companies.
      PubDate: 2018-06-06
      DOI: 10.1007/s10436-018-0326-3
       
  • Vanishing central bank intervention in stochastic impulse control
    • Authors: Gregory Gagnon
      Abstract: Stochastic control of exchange rates when a central bank employs anti-inflationary stochastic differential equation (SDE) monetary policy is the key topic of our paper. Despite low money growth SDE policy means exchange rates invariably violate the central bank’s targets. Monetary policy also incorporates interventions reflected by sudden money supply jumps that moderate deviations from targets. Controlling exchange rates involves minimizing target deviation and intervention costs. Restrictions on these costs ensure intervention vanishes under the optimal control, implying the central bank engineers freely floating exchange rates instead of managed floating or fixed exchange rates. Econometric evidence suggests discretionary interventions may be ineffective or generate excess volatility and speculation in currency markets. Our result demonstrates mathematically that such collateral damage discourages intervention.
      PubDate: 2018-06-01
      DOI: 10.1007/s10436-018-0327-2
       
  • Correction to: Modeling the inconsistency in intertemporal choice: the
           generalized Weibull discount function and its extension
    • Authors: Salvador Cruz Rambaud; Isabel González Fernández; Viviana Ventre
      Abstract: In the original publication, the second author’s name was incorrect. The correct name should be Isabel González Fernández.
      PubDate: 2018-05-23
      DOI: 10.1007/s10436-018-0322-7
       
  • Debt financing in private and public firms
    • Authors: Kim P. Huynh; Teodora Paligorova; Robert Petrunia
      Abstract: Using administrative confidential data on the universe of Canadian corporate firms, we compare debt financing choices of private and public firms. Private firms have higher leverage ratios, which are entirely driven by private firms’ stronger reliance on short-term debt. Further, private firms rely more of leverage during economic expansions, while public firms rely on equity financing. Specifically, private firms manage to increase their long-term debt during expansions, while short-term debt is used during downturns. Our findings have implications for a better understanding of the role of asymmetric information in private firms’ capital structure decisions.
      PubDate: 2018-04-19
      DOI: 10.1007/s10436-018-0323-6
       
  • On relative performance, remuneration and risk taking of asset managers
    • Authors: Emilio Barucci; Gaetano La Bua; Daniele Marazzina
      Abstract: We analyze the asset management problem when the manager is remunerated through a scheme based on the performance of the fund with respect to a benchmark and his/her choices are driven by a power utility function. We show that it is not the asymmetric-fulcrum type feature of the scheme that makes the difference in preventing excessive risk taking in case of a poor performance. To prevent gambling when the performance deteriorates, it is important not to provide a fixed fee to the asset manager, and that remuneration is sensitive to a very poor relative performance as in the case of a capital stake or of a management fee with flow funds. We provide empirical evidence on the mutual fund industry showing excessive risk taking in case of a very poor performance and limited risk taking in case of overperformance with respect to the benchmark. These results agree with a remuneration scheme including a fixed fee and a cap.
      PubDate: 2018-04-19
      DOI: 10.1007/s10436-018-0324-5
       
  • What determines the share of non-resident public debt ownership'
           Evidence from Euro Area countries
    • Authors: João Tovar Jalles
      Abstract: This paper provides, for the first time, a detailed picture of the composition of public debt by type of holder (foreign vs. domestic) and type of holding institution for a set of 7 Euro Area countries between 1991Q1 and 2015Q4. In addition, it empirically inspects the determinants of nonresident public debt ownership, accounting for both domestic and external factors and paying special attention to the global financial crisis period. Using a previously unexplored dataset and by means of panel and country-specific time series regressions, we find that improved fiscal positions, systemic stress and financial volatility, a strong business cycle position, all increase share of public debt held by non-residents. Also, a higher share of monetary and financial institutions cross-border holdings of sovereign debt issued by the other Euro Area countries was correlated with higher share of public debt held by non-residents. Finally, results are robust to outliers inspection and other sensitivity checks.
      PubDate: 2018-03-27
      DOI: 10.1007/s10436-018-0321-8
       
  • Bubbles, growth and imperfection of credit market in a two-country model
    • Authors: Ryosuke Shimizu
      Abstract: This study extends Hirano and Yanagawa (Rev Econ Stud 84(1):406–443, 2017) to an asymmetric two-country model and examines bubbles effects on each country’s long-run economic growth rate. This study also provides numerical examples with respect to the relationship between each country’s growth rate and their financial frictions in the balanced growth equilibria with bubbles and without bubbles. It shows that foreign bubbles have positive and negative effects on both countries’ growth rates, and which effect dominates depends on the level of financial development in both countries. In this study, the positive effect of bubbles tends to dominate when the total level of financial frictions in both countries is relatively low. When the total effect of bubbles on the growth rate is positive, the burst of foreign bubbles leads to a decrease in the growth rate in both countries. This implies that there is a positive correlation between foreign bubbles and the domestic as well as the foreign country’s growth rate.
      PubDate: 2018-03-08
      DOI: 10.1007/s10436-018-0320-9
       
  • A nonparametric quantity-of-quality approach to assessing financial asset
           return performance
    • Authors: M. Ryan Haley
      Abstract: This paper adapts two recent developments from the bibliometric literature to the problem of assessing the return performance of a financial asset. The result is a quantity-of-quality metric, which is both nonparametric and moment-free. As such, it offers a nonstandard perspective on the informational patterns in asset returns, and accordingly can complement traditional moment-based asset evaluation methods. The proposed approach is simple to apply, and while moment-free, captures intuitively important aspects of asset performance such as location, upside potential, downside risk, and volatility. It can also be expressed as a reward-to-risk ratio, which serves as a counterpart to the Sharpe ratio. Empirical and simulation results suggest that, relative to the Sharpe ratio, the proposed approach prefers assets with moderately higher means and standard deviations, and more favorable skewness.
      PubDate: 2018-02-26
      DOI: 10.1007/s10436-018-0319-2
       
  • Modeling the inconsistency in intertemporal choice: the generalized
           Weibull discount function and its extension
    • Authors: Salvador Cruz Rambaud; Isabel Fernández González; Viviana Ventre
      Abstract: The aim of this paper is to obtain the family of the so-called generalized Weibull discount functions, introduced by Takeuchi (Game Econ Behav 71:456–478, 2011), by deforming the q-exponential discount function by means of the Stevens’ “power” law. The obtained discount functions exhibit different degrees of inconsistency and so they can be classified according to the value of their characteristic deforming parameters. Moreover, we extend the construction of the generalized Weibull discount function starting from any discount function instead of the q-exponential discounting. In any case, the value of the parameter \(\theta \) of these new discount functions is extended from (0, 1] to the union of the intervals \((-\,\infty ,0) \cup (0,+\,\infty )\) .
      PubDate: 2018-02-13
      DOI: 10.1007/s10436-018-0318-3
       
  • Asset market equilibrium with liquidity risk
    • Authors: Robert Jarrow
      Abstract: This paper derives an equilibrium asset pricing model with endogenous liquidity risk. Liquidity risk is modeled as a stochastic quantity impact on the price from trading, where the size of the impact depends on trade size. Under a strong set of assumptions, we prove that a unique equilibrium liquidity cost process and a unique equilibrium price process exists for our economy. We characterize the market’s state price density, which enables the derivation of the risk-return relation for the stock’s expected return including liquidity risk. We derive a generalized intertemporal CAPM and consumption CAPM for these markets. In contrast to the traditional models without liquidity risk, there is an additional systematic liquidity risk factor which is related to the stock return’s covariation with the market’s stochastic liquidity cost. Traditional transaction costs are a special case of our formulation.
      PubDate: 2017-12-08
      DOI: 10.1007/s10436-017-0316-x
       
  • On the implied market price of risk under the stochastic numéraire
    • Authors: Nikolai Dokuchaev
      Abstract: This papers addresses the stock option pricing problem in a continuous time market model where there are two stochastic tradable assets, and one of them is selected as a numéraire. An equivalent martingale measure is not unique for this market, and there are non-replicable claims. Some rational choices of the equivalent martingale measures are suggested and discussed, including implied measures calculated from bond prices constructed as a risk-free investment with deterministic payoff at the terminal time. This leads to possibility to infer a implied market price of risk process from observed historical bond prices.
      PubDate: 2017-12-02
      DOI: 10.1007/s10436-017-0315-y
       
  • Financial equilibrium with non-linear valuations
    • Authors: Dilip B. Madan
      Abstract: Classical Arrow Debreu equilibria employ budget feasibility to require individuals to ensure excess supplies to be nonnegative in value using the single equilibrium price system for valuation purposes. Yet by the selection of state contingent prices, they seek excess supplies that are nonnegative in each component, and not just the value. A financial equilibrium, on the other hand, defines acceptable economic risks as excess supplies that are nonnegative in value for a number of prespecified valuation price systems. The collection of prespecified valuation price systems may be referred to as features for which clearing is sought. The number of features will generally be less than the number of states. It is then shown that by also defining budget feasibility nonlinearly one may construct a financial equilibrium with fewer securities than there are features to be cleared.
      PubDate: 2017-11-08
      DOI: 10.1007/s10436-017-0312-1
       
  • Venture capital and underpricing: capacity constraints and early sales
    • Authors: Roberto Pinheiro
      Abstract: I present a model of the venture capital (VC) and public markets in which VCs suffer from capacity constraints, due to the shortage of skilled VC managers. Consequently, VC firms can only handle a limited number of new projects at once, having to divest from ongoing projects in order to take advantage of new opportunities. This framework is able to match key features presented by the VC and initial public offer (IPO) empirical literatures: (1) VC-backed firms are younger, smaller, and less profitable at the IPO than their non-VC backed counterparts; (2) VC-backed IPOs are more underpriced than non-VC backed ones, (3) there is a positive relationship between underpricing and VC fundraising; (4) small and young VC firms usually take portfolio firms public earlier than their large and mature counterparts; (5) in hot IPO markets, VCs are more likely to take public both very young and small firms as well as mature and large firms, compared to cold markets. Differently, non-VC backed firms are usually smaller and younger in hot markets than in cold ones.
      PubDate: 2017-11-08
      DOI: 10.1007/s10436-017-0311-2
       
  • Systemic risk in Europe: deciphering leading measures, common patterns and
           real effects
    • Authors: Mikhail Stolbov; Maria Shchepeleva
      Abstract: The paper studies salient features of systemic risk in a sample of 22 European (EU and non-EU) countries during January 2010–March 2016. Building on a novel dataset and conducting an empirical horse race, we determine pivotal systemic risk measures for the sample countries. SRISK and volatility indicator tend to lead other metrics, followed by leverage. In contrast to the conventional wisdom, composite systemic risk measures aggregated with the aid of principal and independent component analysis perform worse. The leading systemic risk measures exhibit a high degree of connectedness. The VIX index, TED spread, the Composite Index of Systemic Stress (CISS) and long-term interest rates underlie their dynamics. Two clusters within the sample are identified, with CISS and long-term interest rates being crucial to distinguish between them. There is only scarce evidence for causal linkages between systemic risk and industrial production in the sample countries, based on the concurring results of standard and nonparametric Granger causality tests.
      PubDate: 2017-10-24
      DOI: 10.1007/s10436-017-0310-3
       
  • Business cycles, financial cycles and capital structure
    • Authors: Haitham A. Al-Zoubi; Jennifer A. O’Sullivan; Abdulaziz M. Alwathnani
      Abstract: We perform peridogram based cycle analysis of firm capital structure and find evidence that firms’ leverage is both persistent and cyclical. The cyclicality of leverage is supported by the trade-off, pecking order and market timing capital structure theories (Korajczyk and Levy in J Financ Econ 68:75–109, 2003; Bhamra et al. in Rev Financ Stud 23:645–703, 2010). Although market timing theory research supports persistence, previous literature dictates that the trade-off and pecking order theories may predict either persistent or mean reverting leverage. Our tests reject mean reversion in favor of persistent and cyclical leverage. We corroborate pecking order theory literature that predicts leverage is persistent. In these models, when firms’ investment spending is below earnings, leverage decreases. In addition, we examine whether firms change their capital structure as a result of business and financial cycles. Since financial cycles last longer than business cycles, financial cycles should have a long term effect on leverage. Our findings confirm the persistent leverage business cycle models that suggest firms change their capital structure due to financial and credit cycles (Jermann and Quadrini in Am Econ Rev 102:238–271, 2012; Azariadis et al. in Rev Econ Stud 83:1364–1405, 2016). We conclude that leverage is persistent due to the cyclicality of the financing decision.
      PubDate: 2017-08-20
      DOI: 10.1007/s10436-017-0306-z
       
 
 
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