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Publisher: Springer-Verlag   (Total: 2341 journals)

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Showing 1 - 200 of 2341 Journals sorted alphabetically
3D Research     Hybrid Journal   (Followers: 19, SJR: 0.214, h-index: 10)
4OR: A Quarterly J. of Operations Research     Hybrid Journal   (Followers: 9, SJR: 1.073, h-index: 25)
AAPS J.     Hybrid Journal   (Followers: 17, SJR: 1.192, h-index: 74)
AAPS PharmSciTech     Hybrid Journal   (Followers: 6, SJR: 0.718, h-index: 54)
Abdominal Imaging     Hybrid Journal   (Followers: 16, SJR: 0.723, h-index: 60)
Abhandlungen aus dem Mathematischen Seminar der Universitat Hamburg     Hybrid Journal   (Followers: 2, SJR: 0.447, h-index: 12)
Academic Psychiatry     Full-text available via subscription   (Followers: 22, SJR: 0.492, h-index: 32)
Academic Questions     Hybrid Journal   (Followers: 7, SJR: 0.135, h-index: 6)
Accreditation and Quality Assurance: J. for Quality, Comparability and Reliability in Chemical Measurement     Hybrid Journal   (Followers: 26, SJR: 0.378, h-index: 30)
Acoustical Physics     Hybrid Journal   (Followers: 10, SJR: 0.355, h-index: 20)
Acoustics Australia     Hybrid Journal  
Acta Analytica     Hybrid Journal   (Followers: 7, SJR: 0.387, h-index: 6)
Acta Applicandae Mathematicae     Hybrid Journal   (Followers: 1, SJR: 0.624, h-index: 34)
Acta Biotheoretica     Hybrid Journal   (Followers: 5, SJR: 0.419, h-index: 25)
Acta Diabetologica     Hybrid Journal   (Followers: 12, SJR: 1.318, h-index: 46)
Acta Endoscopica     Hybrid Journal   (Followers: 1, SJR: 0.113, h-index: 8)
acta ethologica     Hybrid Journal   (Followers: 4, SJR: 0.465, h-index: 23)
Acta Geochimica     Hybrid Journal   (Followers: 3)
Acta Geodaetica et Geophysica     Hybrid Journal   (Followers: 1, SJR: 0.294, h-index: 13)
Acta Geotechnica     Hybrid Journal   (Followers: 6, SJR: 1.818, h-index: 22)
Acta Informatica     Hybrid Journal   (Followers: 5, SJR: 0.524, h-index: 32)
Acta Mathematica     Hybrid Journal   (Followers: 10, SJR: 8.021, h-index: 47)
Acta Mathematica Hungarica     Hybrid Journal   (Followers: 2, SJR: 0.53, h-index: 29)
Acta Mathematica Sinica, English Series     Hybrid Journal   (Followers: 5, SJR: 0.406, h-index: 30)
Acta Mathematica Vietnamica     Hybrid Journal   (SJR: 0.451, h-index: 5)
Acta Mathematicae Applicatae Sinica, English Series     Hybrid Journal   (SJR: 0.22, h-index: 20)
Acta Mechanica     Hybrid Journal   (Followers: 18, SJR: 0.898, h-index: 52)
Acta Mechanica Sinica     Hybrid Journal   (Followers: 4, SJR: 0.426, h-index: 29)
Acta Metallurgica Sinica (English Letters)     Hybrid Journal   (Followers: 5, SJR: 0.525, h-index: 18)
Acta Meteorologica Sinica     Hybrid Journal   (Followers: 3, SJR: 0.524, h-index: 14)
Acta Neurochirurgica     Hybrid Journal   (Followers: 6, SJR: 0.833, h-index: 73)
Acta Neurologica Belgica     Hybrid Journal   (SJR: 0.348, h-index: 27)
Acta Neuropathologica     Hybrid Journal   (Followers: 3, SJR: 6.61, h-index: 117)
Acta Oceanologica Sinica     Hybrid Journal   (Followers: 3, SJR: 0.295, h-index: 17)
Acta Parasitologica     Hybrid Journal   (Followers: 9, SJR: 0.581, h-index: 28)
Acta Physiologiae Plantarum     Hybrid Journal   (Followers: 2, SJR: 0.551, h-index: 39)
Acta Politica     Hybrid Journal   (Followers: 13, SJR: 0.658, h-index: 20)
adhäsion KLEBEN & DICHTEN     Hybrid Journal   (Followers: 5, SJR: 0.103, h-index: 4)
ADHD Attention Deficit and Hyperactivity Disorders     Hybrid Journal   (Followers: 20, SJR: 0.871, h-index: 15)
Adhesion Adhesives & Sealants     Hybrid Journal   (Followers: 7)
Administration and Policy in Mental Health and Mental Health Services Research     Partially Free   (Followers: 14, SJR: 0.795, h-index: 40)
Adsorption     Hybrid Journal   (Followers: 4, SJR: 0.774, h-index: 52)
Advances in Applied Clifford Algebras     Hybrid Journal   (Followers: 3, SJR: 0.319, h-index: 15)
Advances in Atmospheric Sciences     Hybrid Journal   (Followers: 34, SJR: 0.959, h-index: 44)
Advances in Computational Mathematics     Hybrid Journal   (Followers: 15, SJR: 1.255, h-index: 44)
Advances in Contraception     Hybrid Journal   (Followers: 2)
Advances in Data Analysis and Classification     Hybrid Journal   (Followers: 52, SJR: 1.113, h-index: 14)
Advances in Gerontology     Partially Free   (Followers: 8, SJR: 0.141, h-index: 3)
Advances in Health Sciences Education     Hybrid Journal   (Followers: 23, SJR: 1.397, h-index: 42)
Advances in Manufacturing     Hybrid Journal   (Followers: 3, SJR: 0.2, h-index: 4)
Advances in Polymer Science     Hybrid Journal   (Followers: 40, SJR: 0.637, h-index: 89)
Advances in Therapy     Hybrid Journal   (Followers: 5, SJR: 0.79, h-index: 44)
Aegean Review of the Law of the Sea and Maritime Law     Hybrid Journal   (Followers: 7)
Aequationes Mathematicae     Hybrid Journal   (Followers: 2, SJR: 0.882, h-index: 23)
Aerobiologia     Hybrid Journal   (Followers: 1, SJR: 0.511, h-index: 36)
Aesthetic Plastic Surgery     Hybrid Journal   (Followers: 8, SJR: 0.821, h-index: 49)
African Archaeological Review     Hybrid Journal   (Followers: 14, SJR: 0.612, h-index: 24)
Afrika Matematika     Hybrid Journal   (Followers: 1, SJR: 0.248, h-index: 6)
AGE     Hybrid Journal   (Followers: 7, SJR: 1.358, h-index: 33)
Ageing Intl.     Hybrid Journal   (Followers: 7, SJR: 0.337, h-index: 10)
Aggiornamenti CIO     Hybrid Journal   (Followers: 1)
Aging Clinical and Experimental Research     Hybrid Journal   (Followers: 3, SJR: 0.529, h-index: 55)
Agricultural Research     Hybrid Journal   (Followers: 3)
Agriculture and Human Values     Hybrid Journal   (Followers: 12, SJR: 1.197, h-index: 49)
Agroforestry Systems     Hybrid Journal   (Followers: 20, SJR: 0.64, h-index: 56)
Agronomy for Sustainable Development     Hybrid Journal   (Followers: 10, SJR: 1.732, h-index: 59)
AI & Society     Hybrid Journal   (Followers: 7, SJR: 0.171, h-index: 19)
AIDS and Behavior     Hybrid Journal   (Followers: 13, SJR: 2.006, h-index: 71)
Air Quality, Atmosphere & Health     Hybrid Journal   (Followers: 2, SJR: 0.706, h-index: 19)
Akupunktur & Aurikulomedizin     Full-text available via subscription   (Followers: 1)
Algebra and Logic     Hybrid Journal   (Followers: 2, SJR: 0.566, h-index: 18)
Algebra Universalis     Hybrid Journal   (Followers: 2, SJR: 0.388, h-index: 22)
Algebras and Representation Theory     Hybrid Journal   (Followers: 1, SJR: 0.868, h-index: 20)
Algorithmica     Hybrid Journal   (Followers: 7, SJR: 0.898, h-index: 56)
Allergo J.     Full-text available via subscription   (Followers: 1, SJR: 0.183, h-index: 20)
Allergo J. Intl.     Hybrid Journal   (Followers: 2)
Alpine Botany     Hybrid Journal   (Followers: 3, SJR: 0.729, h-index: 20)
ALTEX : Alternatives to Animal Experimentation     Open Access   (Followers: 3, SJR: 1.392, h-index: 32)
AMBIO     Hybrid Journal   (Followers: 14, SJR: 1.094, h-index: 87)
American J. of Cardiovascular Drugs     Hybrid Journal   (Followers: 10, SJR: 0.864, h-index: 39)
American J. of Community Psychology     Hybrid Journal   (Followers: 24, SJR: 1.237, h-index: 83)
American J. of Criminal Justice     Hybrid Journal   (Followers: 5, SJR: 0.634, h-index: 13)
American J. of Cultural Sociology     Hybrid Journal   (Followers: 11, SJR: 0.283, h-index: 3)
American J. of Dance Therapy     Hybrid Journal   (Followers: 4, SJR: 0.175, h-index: 13)
American J. of Potato Research     Hybrid Journal   (Followers: 2, SJR: 0.558, h-index: 35)
American J. of Psychoanalysis     Hybrid Journal   (Followers: 21, SJR: 0.293, h-index: 13)
American Sociologist     Hybrid Journal   (Followers: 11, SJR: 0.18, h-index: 13)
Amino Acids     Hybrid Journal   (Followers: 7, SJR: 1.362, h-index: 83)
AMS Review     Partially Free   (Followers: 4)
Analog Integrated Circuits and Signal Processing     Hybrid Journal   (Followers: 5, SJR: 0.21, h-index: 37)
Analysis and Mathematical Physics     Hybrid Journal   (Followers: 4, SJR: 0.665, h-index: 7)
Analysis in Theory and Applications     Hybrid Journal  
Analysis of Verbal Behavior     Hybrid Journal   (Followers: 4)
Analytical and Bioanalytical Chemistry     Hybrid Journal   (Followers: 28, SJR: 1.096, h-index: 123)
Anatomical Science Intl.     Hybrid Journal   (Followers: 2, SJR: 0.301, h-index: 26)
Angewandte Schmerztherapie und Palliativmedizin     Hybrid Journal  
Angiogenesis     Hybrid Journal   (Followers: 3, SJR: 2.212, h-index: 69)
Animal Cognition     Hybrid Journal   (Followers: 14, SJR: 1.122, h-index: 55)
Annales françaises de médecine d'urgence     Hybrid Journal   (Followers: 1, SJR: 0.156, h-index: 4)
Annales Henri Poincaré     Hybrid Journal   (Followers: 3, SJR: 1.377, h-index: 32)
Annales mathématiques du Québec     Hybrid Journal   (Followers: 4)
Annali dell'Universita di Ferrara     Hybrid Journal   (SJR: 0.504, h-index: 14)
Annali di Matematica Pura ed Applicata     Hybrid Journal   (Followers: 1, SJR: 1.167, h-index: 26)
Annals of Behavioral Medicine     Hybrid Journal   (Followers: 11, SJR: 2.112, h-index: 98)
Annals of Biomedical Engineering     Hybrid Journal   (Followers: 18, SJR: 1.182, h-index: 94)
Annals of Combinatorics     Hybrid Journal   (Followers: 3, SJR: 0.849, h-index: 15)
Annals of Data Science     Hybrid Journal   (Followers: 8)
Annals of Dyslexia     Hybrid Journal   (Followers: 9, SJR: 0.857, h-index: 40)
Annals of Finance     Hybrid Journal   (Followers: 27, SJR: 0.686, h-index: 14)
Annals of Forest Science     Hybrid Journal   (Followers: 4, SJR: 0.929, h-index: 57)
Annals of Global Analysis and Geometry     Hybrid Journal   (Followers: 1, SJR: 1.136, h-index: 23)
Annals of Hematology     Hybrid Journal   (Followers: 13, SJR: 1.117, h-index: 62)
Annals of Mathematics and Artificial Intelligence     Hybrid Journal   (Followers: 6, SJR: 0.593, h-index: 42)
Annals of Microbiology     Hybrid Journal   (Followers: 9, SJR: 0.402, h-index: 26)
Annals of Nuclear Medicine     Hybrid Journal   (Followers: 5, SJR: 0.68, h-index: 45)
Annals of Operations Research     Hybrid Journal   (Followers: 8, SJR: 1.186, h-index: 78)
Annals of Regional Science     Hybrid Journal   (Followers: 7, SJR: 0.405, h-index: 42)
Annals of Software Engineering     Hybrid Journal   (Followers: 12)
Annals of Solid and Structural Mechanics     Hybrid Journal   (Followers: 9, SJR: 0.553, h-index: 8)
Annals of Surgical Oncology     Hybrid Journal   (Followers: 11, SJR: 1.902, h-index: 127)
Annals of Telecommunications     Hybrid Journal   (Followers: 7, SJR: 0.315, h-index: 25)
Annals of the Institute of Statistical Mathematics     Hybrid Journal   (Followers: 1, SJR: 0.931, h-index: 31)
Antonie van Leeuwenhoek     Hybrid Journal   (Followers: 5, SJR: 0.992, h-index: 87)
Apidologie     Hybrid Journal   (Followers: 4, SJR: 1.14, h-index: 57)
APOPTOSIS     Hybrid Journal   (Followers: 7, SJR: 1.554, h-index: 87)
Applicable Algebra in Engineering, Communication and Computing     Hybrid Journal   (Followers: 2, SJR: 0.354, h-index: 27)
Applications of Mathematics     Hybrid Journal   (Followers: 1, SJR: 0.274, h-index: 20)
Applied Biochemistry and Biotechnology     Hybrid Journal   (Followers: 44, SJR: 0.575, h-index: 80)
Applied Biochemistry and Microbiology     Hybrid Journal   (Followers: 17, SJR: 0.267, h-index: 26)
Applied Categorical Structures     Hybrid Journal   (Followers: 2, SJR: 0.361, h-index: 21)
Applied Composite Materials     Hybrid Journal   (Followers: 45, SJR: 0.705, h-index: 35)
Applied Entomology and Zoology     Partially Free   (Followers: 2, SJR: 0.554, h-index: 34)
Applied Geomatics     Hybrid Journal   (Followers: 3, SJR: 0.323, h-index: 9)
Applied Geophysics     Hybrid Journal   (Followers: 7, SJR: 0.541, h-index: 13)
Applied Intelligence     Hybrid Journal   (Followers: 14, SJR: 0.777, h-index: 43)
Applied Magnetic Resonance     Hybrid Journal   (Followers: 3, SJR: 0.358, h-index: 34)
Applied Mathematics & Optimization     Hybrid Journal   (Followers: 4, SJR: 0.955, h-index: 33)
Applied Mathematics - A J. of Chinese Universities     Hybrid Journal   (SJR: 0.275, h-index: 8)
Applied Mathematics and Mechanics     Hybrid Journal   (Followers: 4, SJR: 0.37, h-index: 26)
Applied Microbiology and Biotechnology     Hybrid Journal   (Followers: 61, SJR: 1.262, h-index: 161)
Applied Physics A     Hybrid Journal   (Followers: 7, SJR: 0.535, h-index: 121)
Applied Physics B: Lasers and Optics     Hybrid Journal   (Followers: 23, SJR: 0.983, h-index: 104)
Applied Psychophysiology and Biofeedback     Hybrid Journal   (Followers: 6, SJR: 0.677, h-index: 47)
Applied Research in Quality of Life     Hybrid Journal   (Followers: 10, SJR: 0.288, h-index: 15)
Applied Solar Energy     Hybrid Journal   (Followers: 15, SJR: 0.251, h-index: 6)
Applied Spatial Analysis and Policy     Hybrid Journal   (Followers: 4, SJR: 0.351, h-index: 9)
Aquaculture Intl.     Hybrid Journal   (Followers: 21, SJR: 0.613, h-index: 40)
Aquarium Sciences and Conservation     Hybrid Journal   (Followers: 1)
Aquatic Ecology     Hybrid Journal   (Followers: 30, SJR: 0.646, h-index: 44)
Aquatic Geochemistry     Hybrid Journal   (Followers: 3, SJR: 0.764, h-index: 39)
Aquatic Sciences     Hybrid Journal   (Followers: 12, SJR: 1.172, h-index: 53)
Arabian J. for Science and Engineering     Hybrid Journal   (Followers: 5, SJR: 0.345, h-index: 20)
Arabian J. of Geosciences     Hybrid Journal   (Followers: 1, SJR: 0.417, h-index: 16)
Archaeological and Anthropological Sciences     Hybrid Journal   (Followers: 21, SJR: 1.056, h-index: 15)
Archaeologies     Hybrid Journal   (Followers: 12, SJR: 0.397, h-index: 13)
Archiv der Mathematik     Hybrid Journal   (Followers: 1, SJR: 0.597, h-index: 29)
Archival Science     Hybrid Journal   (Followers: 51, SJR: 0.804, h-index: 22)
Archive for History of Exact Sciences     Hybrid Journal   (Followers: 7, SJR: 0.28, h-index: 15)
Archive for Mathematical Logic     Hybrid Journal   (Followers: 1, SJR: 0.946, h-index: 23)
Archive for Rational Mechanics and Analysis     Hybrid Journal   (SJR: 4.091, h-index: 66)
Archive of Applied Mechanics     Hybrid Journal   (Followers: 4, SJR: 0.865, h-index: 40)
Archives of Computational Methods in Engineering     Hybrid Journal   (Followers: 4, SJR: 2.841, h-index: 40)
Archives of Dermatological Research     Hybrid Journal   (Followers: 6, SJR: 0.9, h-index: 65)
Archives of Environmental Contamination and Toxicology     Hybrid Journal   (Followers: 10, SJR: 0.846, h-index: 84)
Archives of Gynecology and Obstetrics     Hybrid Journal   (Followers: 16, SJR: 0.695, h-index: 47)
Archives of Microbiology     Hybrid Journal   (Followers: 8, SJR: 0.702, h-index: 85)
Archives of Orthopaedic and Trauma Surgery     Hybrid Journal   (Followers: 8, SJR: 1.039, h-index: 56)
Archives of Osteoporosis     Hybrid Journal   (Followers: 2, SJR: 1.092, h-index: 13)
Archives of Sexual Behavior     Hybrid Journal   (Followers: 9, SJR: 1.198, h-index: 74)
Archives of Toxicology     Hybrid Journal   (Followers: 15, SJR: 1.595, h-index: 76)
Archives of Virology     Hybrid Journal   (Followers: 5, SJR: 1.086, h-index: 90)
Archives of Women's Mental Health     Hybrid Journal   (Followers: 13, SJR: 1.264, h-index: 50)
Archivio di Ortopedia e Reumatologia     Hybrid Journal  
Archivum Immunologiae et Therapiae Experimentalis     Hybrid Journal   (Followers: 2, SJR: 1.2, h-index: 42)
ArgoSpine News & J.     Hybrid Journal   (SJR: 0.102, h-index: 3)
Argumentation     Hybrid Journal   (Followers: 4, SJR: 0.295, h-index: 18)
Arid Ecosystems     Hybrid Journal   (Followers: 3)
Arkiv för Matematik     Hybrid Journal   (Followers: 1, SJR: 0.948, h-index: 22)
Arnold Mathematical J.     Hybrid Journal   (Followers: 1)
Arthropod-Plant Interactions     Hybrid Journal   (Followers: 2, SJR: 0.797, h-index: 17)
Arthroskopie     Hybrid Journal   (Followers: 1, SJR: 0.145, h-index: 8)
Artificial Intelligence and Law     Hybrid Journal   (Followers: 10, SJR: 0.288, h-index: 25)
Artificial Intelligence Review     Hybrid Journal   (Followers: 15, SJR: 0.948, h-index: 48)
Artificial Life and Robotics     Hybrid Journal   (Followers: 8, SJR: 0.231, h-index: 14)
Asia Europe J.     Hybrid Journal   (Followers: 4, SJR: 0.247, h-index: 9)
Asia Pacific Education Review     Hybrid Journal   (Followers: 9, SJR: 0.371, h-index: 17)
Asia Pacific J. of Management     Hybrid Journal   (Followers: 11, SJR: 1.676, h-index: 50)
Asia-Pacific Education Researcher     Hybrid Journal   (Followers: 11, SJR: 0.353, h-index: 13)
Asia-Pacific Financial Markets     Hybrid Journal   (Followers: 2, SJR: 0.19, h-index: 15)
Asia-Pacific J. of Atmospheric Sciences     Hybrid Journal   (Followers: 20, SJR: 1.006, h-index: 14)
Asian Business & Management     Hybrid Journal   (Followers: 7, SJR: 0.41, h-index: 10)
Asian J. of Business Ethics     Hybrid Journal   (Followers: 7)
Asian J. of Criminology     Hybrid Journal   (Followers: 5, SJR: 0.263, h-index: 8)
AStA Advances in Statistical Analysis     Hybrid Journal   (Followers: 2, SJR: 0.681, h-index: 15)
AStA Wirtschafts- und Sozialstatistisches Archiv     Hybrid Journal   (Followers: 5, SJR: 0.195, h-index: 5)
ästhetische dermatologie & kosmetologie     Full-text available via subscription  
Astronomy and Astrophysics Review     Hybrid Journal   (Followers: 21, SJR: 4.511, h-index: 44)
Astronomy Letters     Hybrid Journal   (Followers: 19, SJR: 0.58, h-index: 30)
Astronomy Reports     Hybrid Journal   (Followers: 12, SJR: 0.473, h-index: 23)
Astrophysical Bulletin     Hybrid Journal   (Followers: 2, SJR: 0.469, h-index: 11)

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Journal Cover Annals of Finance
  [SJR: 0.686]   [H-I: 14]   [27 followers]  Follow
    
   Hybrid Journal Hybrid journal (It can contain Open Access articles)
   ISSN (Print) 1614-2454 - ISSN (Online) 1614-2446
   Published by Springer-Verlag Homepage  [2341 journals]
  • The determinants of MFIs’ social and financial performances in
           sub-Saharan Africa: has mission drift occurred?
    • Authors: Wassini Arrassen
      Abstract: Abstract This paper studies the determinants of microfinance institutions’ (MFIs) financial performance (FP: self-sustainability and profitability) and social performance (SP: depth of outreach), and examine the FP/SP tradeoffs they face. Based on a sample of 120 MFIs over the period 2000–2009, we use the random effects method to isolate the effect of fixed-time factors such as loan lending technique, legal status and location (sub-region) on MFIs’ behavior. We find that financial expenses, wages and portfolio quality, mainly influence MFIs’ financial performance whereas social performance is mostly influenced by lending methodology and institutional form, and to a lesser extent by location. The analysis of FP–SP shows that mission drift is a concern primarily for banks, mutual/cooperatives and individual lenders. The results question the trend toward microfinance commercialization since it weakens outreach without improving significantly self-sustainability and profitability.
      PubDate: 2017-04-11
      DOI: 10.1007/s10436-017-0296-x
       
  • Optimal mean-reverting spread trading: nonlinear integral equation
           approach
    • Authors: Yerkin Kitapbayev; Tim Leung
      Abstract: Abstract We study several optimal stopping problems that arise from trading a mean-reverting price spread over a finite horizon. Modeling the spread by the Ornstein–Uhlenbeck process, we analyze three different trading strategies: (i) the long-short strategy; (ii) the short-long strategy, and (iii) the chooser strategy, i.e. the trader can enter into the spread by taking either long or short position. In each of these cases, we solve an optimal double stopping problem to determine the optimal timing for starting and subsequently closing the position. We utilize the local time-space calculus of Peskir (J Theor Probab 18:499–535, 2005a) and derive the nonlinear integral equations of Volterra-type that uniquely characterize the boundaries associated with the optimal timing decisions in all three problems. These integral equations are used to numerically compute the optimal boundaries.
      PubDate: 2017-03-25
      DOI: 10.1007/s10436-017-0295-y
       
  • Systemic risk measures and macroprudential stress tests: an assessment
           over the 2014 EBA exercise
    • Authors: Chiara Pederzoli; Costanza Torricelli
      Abstract: Abstract Regulators’ stress tests on banks further stimulated an academic debate over systemic risk measures and their predictive content. Focusing on marked based measures, Acharya et al. (Rev Financ Stud 30(1):2–47, 2017) provide a theoretical background to use marginal expected shortfall (MES) for predicting the stress test results, and verify it on the 2009 Supervisory Capital Assessment Program of the US banking system. The aim of this paper is to further test the goodness of MES as a predictive measure, by analysing it in relation to the results of the 2014 European stress tests exercise conducted by the European Banking Authority. Our results underscore the importance of choosing the appropriate index to capture the systemic distress event. In fact MES based on a global market index does not show association with the stress test results, in contrast to Financial MES, which is based on a financial market index, and has a significant information and predictive power.
      PubDate: 2017-03-21
      DOI: 10.1007/s10436-017-0294-z
       
  • Financial market globalization, nonconvergence and credit cycles
    • Authors: Wai-Hong Ho
      Abstract: Abstract This paper explores the dynamic consequences of variable investment-project size in a global economy consisting of many small open countries that are plagued with domestic credit market frictions. As is customary in the literature, borrowers provide some internal funds, but they also need external funds to implement their investment projects, which are subject to the costly-state-verification problem. Contrary to the literature, the investment-project size increases with the country’s own capital stock. We find that financial market globalization may lead to a process of oscillatory convergence, even in the absence of any exogenous shocks, if the investment-project size is very sensitive to the change in capital stock.
      PubDate: 2017-02-09
      DOI: 10.1007/s10436-017-0293-0
       
  • A simple efficient approximation to price basket stock options with
           volatility smile
    • Authors: Ping Wu; Robert J. Elliott
      Abstract: Abstract This paper develops a new approach to obtain the price and risk sensitivities of basket options which have a volatility smile. Using this approach, the Black–Scholes model and the Stochastic Volatility Inspired model have been used to obtain an approximate analytical pricing formula for basket options with a volatility smile. It is found that our approximate formula is quite accurate by comparing it with Monte Carlo simulations. It is also proved the option value of our approach is consistent with the option value generated by Levy’s and Gentle’s approaches for typical ranges of volatility. Further, we give a theoretical proof that the option values from Levy’s and Gentle’s works are the upper bound and the lower bound, respectively, for our option value. The calibration procedure and a practical example are provided. The main advantage of our approach is that it provides accurate and easily implemented basket option prices with volatility smile and hedge parameters and avoids the need to use time-consuming numerical procedures such as Monte Carlo simulation.
      PubDate: 2017-01-30
      DOI: 10.1007/s10436-017-0292-1
       
  • Relative asset price bubbles
    • Authors: Roseline Bilina Falafala; Robert A. Jarrow; Philip Protter
      Pages: 135 - 160
      Abstract: Abstract In models of financial bubbles, the price of a stock is typically unbounded, and this plays a fundamental role in the analysis of finite horizon local martingale bubbles. It would seem that price bubbles do not apply to a priori bounded risky asset prices, such as bond prices. To avoid this limitation, to characterize, and to identify bond price mispricings consistent with an absence of arbitrage, we develop the concept of a relative asset price bubble. This notion uses a risky asset’s price as the numéraire instead of the money market account’s value. This change of numéraire generates some interesting mathematical complexities because many important numéraires, including risky bonds, can vanish with positive probability over the model’s horizon.
      PubDate: 2016-02-19
      DOI: 10.1007/s10436-016-0274-8
      Issue No: Vol. 12, No. 2 (2016)
       
  • Monetary policy games, financial instability and incomplete information
    • Authors: Charles Richard Barrett; Ioanna Kokores; Somnath Sen
      Pages: 161 - 178
      Abstract: Abstract In the aftermath of the recent global financial crisis, monetary authorities, while pursuing traditional objectives, such as the control of inflation, are also eager to promote financial stability. In this paper, we model the strategic interaction of the central bank and the financial sector and explore a simple monetary policy game with perceived substantial risks to financial stability, where the central bank can be of two types, one pursuing strict inflation-targeting and the other concerned with affecting the expectations formed by the financial sector participants; however, the financial sector is unsure which, due to incomplete information. The conclusion is that for small shocks to inflation there is a pooling equilibrium, whereas for larger shocks there is separation. In the latter case, the central bank that has an explicit financial stability concern is willing to exercise more muted control to inflation in order to reinforce the safety of the financial sector.
      PubDate: 2016-04-25
      DOI: 10.1007/s10436-016-0276-6
      Issue No: Vol. 12, No. 2 (2016)
       
  • Benchmarking in two price financial markets
    • Authors: Dilip B. Madan
      Pages: 201 - 219
      Abstract: Abstract No arbitrage for two price economies with no locally risk free asset implies that suitably benchmarked prices are nonlinear martingales. However, both the benchmarking asset and the measure change depend on the process being benchmarked. Further assumptions allow the nonlinear martingales in discrete time to become expectations with respect to a nonadditivity probability. Such nonlinear expectations are imminently reasonable given the lack of experience with tail events on both sides of the gain loss spectrum. Continuous time extensions employ measure distortions. The general valuation of economic activities and the leveraging of stability in benchmarked price processes is then addressed. Traditional asset pricing questions and investigations are then reopened for benchmarked prices. In particular, the analytics for benchmarked option pricing and the asset pricing theory for benchmarked prices in a limiting stationary state are developed.
      PubDate: 2016-04-27
      DOI: 10.1007/s10436-016-0278-4
      Issue No: Vol. 12, No. 2 (2016)
       
  • How suboptimal are linear sharing rules?
    • Authors: Bjarne Astrup Jensen; Jørgen Aase Nielsen
      Pages: 221 - 243
      Abstract: Abstract The objective of this paper is to analyze criteria for portfolio choice when two investors are forced to invest in a common portfolio and share the proceeds by a linear sharing rule. A similar situation with many investors is typical for defined contribution pension schemes. The restriction implies two sources of suboptimal investment decisions as seen from each of the two investors individually. One is the suboptimal choice of portfolio, the other is the forced linear sharing rule. We measure the combined consequence for each investor by their respective loss in wealth equivalent. We show that significant losses can arise when investors are diverse in their risk attitude. We also show that an investor with a low degree of risk aversion, like the logarithmic or the square root investor, often applied in portfolio choice models, can either inflict or be subject to severe losses when being forced to participate in such a common investment pool.
      PubDate: 2016-05-10
      DOI: 10.1007/s10436-016-0279-3
      Issue No: Vol. 12, No. 2 (2016)
       
  • Portfolio selections under mean-variance preference with multiple priors
           for means and variances
    • Authors: Yuki Shigeta
      Abstract: Abstract We study portfolio selections under mean-variance preference with multiple priors for means and variances. We introduce two types of multiple priors, the priors for means and the priors for variances of risky asset returns. As our framework, in the absence of a risk-free asset, the global minimum-variance portfolio is optimal when the investor is extremely ambiguity averse with respect to means, and the equally weighted portfolio is optimal when the investor is extremely ambiguity averse with respect to variances.
      PubDate: 2016-12-29
      DOI: 10.1007/s10436-016-0291-7
       
  • Threat of termination and firm innovation
    • Authors: Shahbaz Sheikh
      Abstract: Abstract This study investigates how the ex-ante threat of termination affects firm performance in innovation measured by number of patents and citations. Empirical results show that the threat of termination is negatively associated with both measures of firm innovation. This relation however is sensitive to industry structure. The negative effect of the threat of termination on innovation is statistically significant only for high-tech firms. For low-tech firms there is no statistically significant relation between the threat of termination and firm innovation. One plausible explanation is that high-tech firms are inherently risky and have higher rates of project failure. Adding the risk of higher threat of termination makes the manager more risk averse and forces her to avoid investing in value increasing innovations. Managers in low-tech firms don’t face such pressures. The policy implication is that high-tech firms should lower threat of termination and increase tolerance for project failure to encourage innovation.
      PubDate: 2016-12-22
      DOI: 10.1007/s10436-016-0290-8
       
  • Does the Hurst index matter for option prices under fractional
           volatility?
    • Authors: Hideharu Funahashi; Masaaki Kijima
      Abstract: Abstract This study examines the effect of fractional volatility on option prices. To this end, we develop an approximation method for the pricing of European-style contingent claims when volatility follows a fractional Brownian motion. Through extensive numerical experiments, we confirm that the decrease in the smile amplitude under fractional volatility is much slower than that under the standard stochastic volatility model. We also show that the Hurst index under fractional volatility has a crucial impact on option prices when the maturity is short and speed of mean reversion is slow. On the contrary, the impact of the Hurst index on option prices reduces for long-dated options.
      PubDate: 2016-12-22
      DOI: 10.1007/s10436-016-0289-1
       
  • Banking competition and welfare
    • Authors: Marcella Lucchetta
      Abstract: Abstract We develop a simple general equilibrium model in which investment in a risky technology is subject to moral hazard and banks can extract market power rents. We show that more bank competition results in lower economy-wide risk, higher social welfare, lower bank capital ratios, more efficient production plans and Pareto-ranked real allocations. Perfect competition supports a second best allocation and optimal levels of bank risk and capitalization. These results are at variance with those obtained by a large literature that has studied a similar environment in partial equilibrium, they are empirically relevant, and carry significant implications for policy guidance.
      PubDate: 2016-11-30
      DOI: 10.1007/s10436-016-0288-2
       
  • Sequential payments and optimal pricing in payment systems
    • Authors: Tomohiro Ota
      Abstract: Abstract This paper studies the intraday payment behaviour between heterogeneous banks as well as optimal intraday pricing schemes. The paper shows the social optimality of payment sequencing, which allows a bank to delay payments until the bank receives payments from the counterparty. The payment sequencing allows a bank with high liquidity cost to ‘recycle’ payment inflow from another bank with lower liqudity cost, reducing the aggregate cost of funding of banks to settle all payments. But we also see that the banks have an incentive to delay payments more than the payment sequencing requires. This underscores the importance of social planner’s role reducing settlement delay, while leaving socially efficient payment sequencing. In this context, we compare two different pricing schemes, a standard throughput guideline and a time-varying intraday tariff, to discuss the optimal incentive mechanisms in payment systems for the ‘socially efficient sequential settlement’.
      PubDate: 2016-11-29
      DOI: 10.1007/s10436-016-0287-3
       
  • Benchmark-based evaluation of portfolio performance: a characterization
    • Authors: Aleksandr G. Alekseev; Mikhail V. Sokolov
      Abstract: Abstract Benchmarking is a universal practice in portfolio management and is well-studied in the optimal portfolio selection literature. This paper derives axiomatic foundations of the relative return, which underlies a benchmark-based evaluation of portfolio performance. We show that the existence of a benchmark naturally arises from a few basic axioms and is tightly linked to the economic theory. Our method relies on the use of both axiomatic and economic approaches to index number theory. We also analyze the problem of optimal portfolio selection under complete uncertainty about a future price system, where the objective function is the relative return.
      PubDate: 2016-11-22
      DOI: 10.1007/s10436-016-0286-4
       
  • Intragroup transfers, intragroup diversification and their risk assessment
    • Authors: Andreas Haier; Ilya Molchanov; Michael Schmutz
      Abstract: Abstract When assessing group solvency, an important question is to what extent intragroup transfers may be taken into account, as this determines to which extent diversification can be achieved. We suggest a framework to explicitly describe the families of admissible transfers that range from the free movement of capital to excluding any transactions. The constraints on admissible transactions are described as random closed sets. The paper focuses on the corresponding solvency tests that amount to the existence of acceptable selections of the random sets of admissible transactions.
      PubDate: 2016-11-19
      DOI: 10.1007/s10436-016-0284-6
       
  • Impact of risk aversion and countervailing tax in oligopoly
    • Authors: Jim Y. Jin; Shinji Kobayashi
      Abstract: Abstract The literature recognizes the qualitative effects of risk aversion on oligopolistic market performance, but less is known about their magnitudes. We quantitatively evaluate these effects in Cournot and Bertrand oligopolies where firms maximize mean-variance utilities under linear demand and costs. The impacts are very similar for the two types of oligopoly, but have opposite signs. The impacts of a firm’s risk aversion on outputs, prices, consumer surplus and social welfare can be expressed via potentially observable variables. Since these impacts resemble the effects of firms’ cost changes, a regulator can reduce or eliminate undesirable effects of risk aversion by changing firms’ costs with appropriate countervailing taxes.
      PubDate: 2016-11-16
      DOI: 10.1007/s10436-016-0285-5
       
  • Adapted hedging
    • Authors: Dilip B. Madan
      Abstract: Abstract Exponentials of squared returns in Gaussian densities, with their consequently thin tails, are replaced by the absolute return to form Laplacian and exponentially tilted Laplacian densities at unit time. Scaling provides densities at other maturities. Stochastic processes with these marginals are identified. In addition to a specific local volatility model the densities are consistent with the difference of compound exponential processes taken at log time and scaled by the square root of time. The underlying process has a single parameter, the constant variance rate of the process. Delta hedging using Laplacian and Asymmetric Laplacian implied volatilities are developed and compared with Black Merton Scholes implied volatility hedging.The hedging strategies are implemented for stylized businesses represented by dynamic volatility indexes. The Laplacian hedge is seen to be smoother for the skew trade. It also performs better through the financial crisis for the sale of strangles. The Laplacian and Gaussian models are then synthesized as special cases of a model allowing for other powers between unity and the square. Numerous hedging strategies may be run using different powers and biases in the probability of an up move. Adapted strategies that select the best performer on past quarterly data can dominate fixed strategies. Adapted hedging strategies can effectively reduce drawdowns in the marked to market value of businesses trading options.
      PubDate: 2016-11-09
      DOI: 10.1007/s10436-016-0282-8
       
  • Smooth investment
    • Abstract: Abstract In the classical portfolio optimization problem considered by Merton, the resulting constant proportion investment plan requires a diffusive trading strategy. This means that, within any arbitrarily small time interval, the investor must impractically both buy and sell stocks. We study the problems of a mean-square and a power utility investor for whom the trading strategy is constrained to be smooth, i.e. nondiffusive. This means that over sufficiently small time intervals, the investor is either a seller or a buyer of stocks. The mathematical framework is built around quadratic objectives such that trading activity is punished quadratically. Mean-square utility is quadratic, and power utility is covered by quadratic punishment of distance to Merton’s power utility portfolio. We present semi-explicit solutions and, in a series of numerical illustrations, show the impact of trading constraints on the portfolio decision over the investment horizon.
      PubDate: 2016-11-05
      DOI: 10.1007/s10436-016-0283-7
       
  • Credit risk analysis with creditor’s option to extend maturities
    • Authors: Ryoichi Ikeda; Yoske Igarashi
      Abstract: Abstract We present a Merton (J Finance, 1974)-type structural model of credit risk in which the borrower firm refinances its debt, there is cost for bankruptcy, and the creditor has an option to extend the date of maturity of debt if the firm defaults. We show that a solution exists in such a model and in that solution the creditor has incentive to extend maturity to avoid bankruptcy cost. We solve the model numerically and argue that such maturity extension option for the creditor can have substantial impact on the debt and stock values of the firm.
      PubDate: 2016-10-08
      DOI: 10.1007/s10436-016-0281-9
       
 
 
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