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Content
February 2015, Volume 11, Issue 1
- 109-149 The demonetization of gold: transactions and the change in control
by Thomas Quint & Martin Shubik
November 2014, Volume 10, Issue 4
- 523-552 Stability of marketable payoffs with long-term assets
by Jean-Marc Bonnisseau & Achis Chery - 553-568 Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?
by Michael Grabchak - 569-602 Legal enforcement, default and heterogeneity of project-financing contracts
by Gabriel Madeira - 603-622 Runs, panics and bubbles: Diamond–Dybvig and Morris–Shin reconsidered
by Eric Smith & Martin Shubik - 623-669 Financial soundness indicators and financial crisis episodes
by Maria Kasselaki & Athanasios Tagkalakis
August 2014, Volume 10, Issue 3
- 347-373 The equity premium: a deeper puzzle
by Francisco Azeredo - 375-394 Managerial ownership with rent-seeking employees
by Linus Wilson - 395-418 Hidden persistent disasters and asset prices
by Masataka Suzuki - 419-455 Portfolio management with stochastic interest rates and inflation ambiguity
by Claus Munk & Alexey Rubtsov - 457-480 The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market
by Marcelo Perlin & Alfonso Dufour & Chris Brooks - 481-508 Will banning naked CDS impact bond prices?
by Agostino Capponi & Martin Larsson - 509-522 Pricing of discount bonds with a Markov switching regime
by Robert Elliott & Katsumasa Nishide
May 2014, Volume 10, Issue 2
- 171-195 Implied cost of capital investment strategies: evidence from international stock markets
by Florian Esterer & David Schröder - 197-215 Asset pricing and the role of macroeconomic volatility
by Stefano d’Addona & Christos Giannikos - 217-241 International monetary transmission with bank heterogeneity and default risk
by Tsvetomira Tsenova - 243-265 Robust portfolio choice with stochastic interest rates
by Christian Flor & Linda Larsen - 267-290 A hierarchical agency model of deposit insurance
by Jonathan Carroll & Shino Takayama - 291-314 On a class of diverse market models
by Andrey Sarantsev - 315-332 Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process
by Farzad Fard & Ning Rong - 333-345 Gaussian and logistic adaptations of smoothed safety first
by M. Haley
February 2014, Volume 10, Issue 1
- 1-45 Multi-firm voluntary disclosures for correlated operations
by Miles Gietzmann & Adam Ostaszewski - 47-69 Optimal loan-to-value ratio and the efficiency gains of default
by Li Lin - 71-100 Two price economies in continuous time
by Ernst Eberlein & Dilip Madan & Martijn Pistorius & Wim Schoutens & Marc Yor - 101-125 Generalized volatility-stabilized processes
by Radka Picková - 127-170 Pricing and hedging basis risk under no good deal assumption
by L. Carassus & E. Temam
November 2013, Volume 9, Issue 4
- 573-588 Pension fund taxation and risk-taking: should we switch from the EET to the TEE regime?
by Katarzyna Romaniuk - 589-610 A semi-Markov approach to the stock valuation problem
by Guglielmo D’Amico - 611-624 Absence of arbitrage in a general framework
by Hasanjan Sayit - 625-665 A decision-theoretic model of asset-price underreaction and overreaction to dividend news
by Alexander Ludwig & Alexander Zimper - 667-687 IPO activity and information in secondary market prices
by Silvia Rossetto - 689-723 Optimal investment, consumption–leisure, insurance and retirement choice
by Ryle Perera - 725-755 Continuous equilibrium in affine and information-based capital asset pricing models
by Ulrich Horst & Michael Kupper & Andrea Macrina & Christoph Mainberger - 757-786 Measures of systemic risk and financial fragility in Korea
by Jong Lee & Jaemin Ryu & Dimitrios Tsomocos - 787-794 Negative call prices
by Johannes Ruf
August 2013, Volume 9, Issue 3
- 319-335 Would emerging market pension funds benefit from international diversification: investigating wealth accumulations for pension participants
by Ajantha Kumara & Wade Pfau - 337-364 Dynamic capital structure and the contingent capital option
by Emilio Barucci & Luca Del Viva - 365-382 Informed short sales and option introductions
by Benjamin Blau - 383-420 Technological advances and the decision to invest
by Christian Flor & Simon Hansen - 421-438 Pricing and managing risks of European-style options in a Markovian regime-switching binomial model
by Farzad Fard & Tak Siu - 439-454 A second-order stock market model
by Robert Fernholz & Tomoyuki Ichiba & Ioannis Karatzas - 455-470 Regime-switching measure of systemic financial stress
by Azamat Abdymomunov - 471-500 Predicting rating changes for banks: how accurate are accounting and stock market indicators?
by Isabelle Distinguin & Iftekhar Hasan & Amine Tarazi - 501-518 Identifying the determinants of mortgage default in Colombia between 1997 and 2004
by Juan Carranza & Dairo Estrada - 519-541 Financial fragility in a general equilibrium model: the Brazilian case
by Benjamin Tabak & Daniel Cajueiro & Dimas Fazio - 543-572 First steps towards an equilibrium theory for Lévy financial markets
by Frederik Herzberg
May 2013, Volume 9, Issue 2
- 115-119 Introduction: behavioral and evolutionary finance
by Igor Evstigneev & Klaus Schenk-Hoppé & William Ziemba - 121-144 Asset market games of survival: a synthesis of evolutionary and dynamic games
by Rabah Amir & Igor Evstigneev & Klaus Schenk-Hoppé - 145-166 Taming animal spirits: risk management with behavioural factors
by Grzegorz Andruszkiewicz & Mark Davis & Sébastien Lleo - 167-183 Risk classes for structured products: mathematical aspects and their implications on behavioral investors
by Ji Cao & Marc Rieger - 185-215 An evolutionary CAPM under heterogeneous beliefs
by Carl Chiarella & Roberto Dieci & Xue-Zhong He & Kai Li - 217-248 Inference for systems of stochastic differential equations from discretely sampled data: a numerical maximum likelihood approach
by Thomas Lux - 249-269 Currency returns, market regimes and behavioral biases
by Leonard MacLean & Yonggan Zhao & William Ziemba - 271-289 Utilities bounded below
by Roman Muraviev & L. Rogers - 291-318 Optimal portfolio choice for a behavioural investor in continuous-time markets
by Miklós Rásonyi & Andrea Rodrigues
February 2013, Volume 9, Issue 1
- 1-4 Introduction to the symposium
by Gabriele Camera & Todd Keister - 5-25 Pricing of payment cards, competition, and efficiency: a possible guide for SEPA
by Wilko Bolt & Heiko Schmiedel - 27-27 Editorial note
by Anne Villamil - 29-60 Liquidity-saving mechanisms in collateral-based RTGS payment systems
by Marius Jurgilas & Antoine Martin - 61-81 Interlinkages between payment and securities settlement systems
by David Mills & Samia Husain - 83-114 Private payment systems, collateral, and interest rates
by Charles Kahn
November 2012, Volume 8, Issue 4
- 427-454 More punishment, less default?
by Erwan Quintin - 455-488 On Ponzi schemes in infinite horizon collateralized economies with default penalties
by V. Martins-da-Rocha & Yiannis Vailakis - 489-505 A two price theory of financial equilibrium with risk management implications
by Dilip Madan - 507-531 The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices
by Gonçalo Faria & João Correia-da-Silva - 533-552 On the necessity of five risk measures
by Dominique Guégan & Wayne Tarrant - 553-570 Are performance measures equally stable?
by Giovanna Menardi & Francesco Lisi
May 2012, Volume 8, Issue 2
- 151-157 Symposium on stochastic volatility: an introductory overview
by Frederi Viens - 159-181 Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations
by Roger Lee & Dan Wang - 183-203 Option pricing under a stressed-beta model
by Jean-Pierre Fouque & Adam Tashman - 205-233 Stochastic volatility and stochastic leverage
by Almut Veraart & Luitgard Veraart - 235-258 A Gaussian calculus for inference from high frequency data
by Per Mykland - 259-275 Implied and realized volatility: empirical model selection
by Lan Zhang - 277-308 Level changes in volatility models
by Mihaela Craioveanu & Eric Hillebrand - 309-335 Statistical estimation of Lévy-type stochastic volatility models
by José Figueroa-López - 337-378 Affine fractional stochastic volatility models
by F. Comte & L. Coutin & E. Renault - 379-403 Estimation and pricing under long-memory stochastic volatility
by Alexandra Chronopoulou & Frederi Viens - 405-425 Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility
by Ha-Young Kim & Frederi Viens
February 2012, Volume 8, Issue 1
- 1-13 Signing trades and an evaluation of the Lee–Ready algorithm
by Marcel Blais & Philip Protter - 15-29 Conditions for rational investment short-termism
by George Christodoulakis - 31-48 Testing the local volatility assumption: a statistical approach
by Mark Podolskij & Mathieu Rosenbaum - 49-74 Analysing financial contagion and asymmetric market dependence with volatility indices via copulas
by Yue Peng & Wing Ng - 75-96 Strategic asset allocation with switching dependence
by Donatien Hainaut & Renaud MacGilchrist - 97-122 Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios
by Ba Chu - 123-150 VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors
by Jules Sadefo Kamdem
November 2011, Volume 7, Issue 4
- 425-427 Introduction to the special issue on ownership, control and regulation
by Mark Bagnoli & Susan Watts - 429-447 Corporate governance, expropriation of minority shareholders’ rights, and performance of Latin American enterprises
by Marisela Santiago-Castro & Cynthia Brown - 449-476 Voluntary firm restructuring: why do firms sell or liquidate their subsidiaries?
by Alain Praet - 477-509 Family firms, debtholder–shareholder agency costs and the use of covenants in private debt
by Mark Bagnoli & Hsin-Tsai Liu & Susan Watts - 511-527 The interaction between corporate tax structure and disclosure policy
by Anil Arya & Brian Mittendorf - 529-547 Independents’ day? Analyst behavior surrounding the Global Settlement
by Jonathan Clarke & Ajay Khorana & Ajay Patel & P. Rau
August 2011, Volume 7, Issue 3
- 285-318 Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks
by Rustam Ibragimov & Johan Walden - 319-348 Central bank haircut policy
by James Chapman & Jonathan Chiu & Miguel Molico - 349-374 Diversity and arbitrage in a regulatory breakup model
by Winslow Strong & Jean-Pierre Fouque - 375-387 Risk-averse asymptotics for reservation prices
by Laurence Carassus & Miklós Rásonyi - 389-405 Search and herding effects in peer-to-peer lending: evidence from prosper.com
by Efraim Berkovich - 407-423 Maximal submarkets that replicate any option
by Ioannis Polyrakis & Foivos Xanthos
May 2011, Volume 7, Issue 2
- 137-169 Mutual fund performance: false discoveries, bias, and power
by Nik Tuzov & Frederi Viens - 171-198 Real options with unknown-date events
by Oscar Gutiérrez & Francisco Ruiz-Aliseda - 199-219 Option pricing under a Gamma-modulated diffusion process
by Pilar Iglesias & Jaime San Martín & Soledad Torres & Frederi Viens - 221-246 Short term persistence in mutual fund market timing and stock selection abilities
by Evangelos Benos & Marek Jochec - 247-265 Subjective evaluation of delayed risky outcomes for buying and selling positions: the behavioral approach
by Uri Benzion & Jan Krahnen & Tal Shavit - 267-283 Incentivizing managers to build innovative firms
by Laarni Bulan & Paroma Sanyal
February 2011, Volume 7, Issue 1
- 1-29 On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting
by Julien Chevallier & Benoît Sévi - 31-52 On the effects of banks’ equity ownership on credit markets
by Rabah Amir & Michael Troege - 53-82 IPO pricing: growth rates implied in offer prices
by Giordano Cogliati & Stefano Paleari & Silvio Vismara - 83-94 Does knowing the volatility states affect the market risk premium?
by Jinho Bae - 95-118 Corporate debt and financial balance sheet adjustment: a comparison of the United States, the United Kingdom, France and Germany
by Peter Gibbard & Ibrahim Stevens - 119-135 The forward discount puzzle and market efficiency
by Keith Pilbeam & Jose Olmo
October 2010, Volume 6, Issue 4
- 435-454 Robust consumption and portfolio choice for time varying investment opportunities
by Hening Liu - 455-473 On dividend restrictions and the collapse of the interbank market
by C. Goodhart & M. Peiris & D. Tsomocos & A. Vardoulakis - 475-509 An economy with personal currency: theory and experimental evidence
by Martin Angerer & Juergen Huber & Martin Shubik & Shyam Sunder - 511-535 Investigating the dependence structure between credit default swap spreads and the U.S. financial market
by Hayette Gatfaoui - 537-554 Indexed bonds and revisions of inflation expectations
by Andreas Reschreiter - 555-581 A financial stability index for Colombia
by Miguel Morales & Dairo Estrada
July 2010, Volume 6, Issue 3
- 295-315 Irreversible investment and discounting: an arbitrage pricing approach
by Jacco Thijssen - 317-333 Investment timing in presence of downside risk: a certainty equivalent characterization
by Luis Alvarez & Teppo Rakkolainen - 335-356 On the neutrality of debt in investment intensity
by Kit Wong - 357-368 Portfolio management without probabilities or statistics
by Sjur Flåm - 369-389 Effects of corporate tax reform on optimum debt maturity
by Chang Nam & Doina Radulescu - 391-403 Pricing errors and estimates of risk premia in factor models
by Kim Sawyer & André Gygax & Matthew Hazledine - 405-420 Return attribution analysis of the UK insurance portfolios
by G. Christodoulakis & E. Mamatzakis - 421-433 The decline of calendar seasonality in the Australian stock exchange, 1958–2005
by Andrew Worthington
March 2010, Volume 6, Issue 2
- 157-191 The fundamental theorem of asset pricing for continuous processes under small transaction costs
by Paolo Guasoni & Miklós Rásonyi & Walter Schachermayer - 193-219 Demographics and asset returns: does the dynamics of population ageing matter?
by Marianna Brunetti & Costanza Torricelli - 221-239 The two-fund separation theorem revisited
by Jan Wenzelburger - 241-254 Behavioral arbitrage with collateral and uncertain deliveries
by José Fajardo - 255-286 Information provision in financial markets
by Moez Bennouri & C. Clark & Jacques Robert - 287-294 A dynamic strategy of the informed trader with market manipulation
by Shino Takayama
January 2010, Volume 6, Issue 1
- 1-32 Macroeconomics of bank interest spreads: evidence from Brazil
by Nelson Souza-Sobrinho - 33-49 Rating systems, procyclicality and Basel II: an evaluation in a general equilibrium framework
by Chiara Pederzoli & Costanza Torricelli & Dimitrios Tsomocos - 51-82 Repeated lending under contractual incompleteness
by Vinicius Carrasco & João Mello - 83-105 Beliefs regarding fundamental value and optimal investing
by Bradford Cornell & Jakša Cvitanić & Levon Goukasian - 107-135 Partial equilibria with convex capital requirements: existence, uniqueness and stability
by Michail Anthropelos & Gordan Žitković - 137-145 Strategic complementarity of information in financial markets with large shocks
by Christophe Chamley - 147-156 No arbitrage conditions for simple trading strategies
by Erhan Bayraktar & Hasanjan Sayit
June 2009, Volume 5, Issue 3
- 289-293 Entrepreneurship, finance and employment
by Mariacristina De Nardi & Anne Villamil - 295-311 Entrepreneurship in macroeconomics
by Vincenzo Quadrini - 313-340 A conversation with 590 Nascent Entrepreneurs
by Jeffrey Campbell & Mariacristina De Nardi - 341-359 Small firms in the SSBF
by Neus Herranz & Stefan Krasa & Anne Villamil - 361-396 Minority self-employment in the United States and the impact of affirmative action programs
by David Blanchflower - 397-419 The financing of small entrepreneurs in Italy
by Silvia Magri - 421-441 The probability of transition to entrepreneurship revisited: wealth, education and age
by Camilo Mondragón-Vélez - 443-464 A dynamic model of entrepreneurship with borrowing constraints: theory and evidence
by Francisco Buera - 465-494 Entrepreneurship and firm heterogeneity with limited enforcement
by Alexander Monge-Naranjo - 495-519 Self-employment rates and business size: the roles of occupational choice and credit market frictions
by Ahmet Akyol & Kartik Athreya - 521-541 Uninsurable investment risks and capital income taxation
by Césaire Meh & Yaz Terajima
March 2009, Volume 5, Issue 2
- 131-160 Banks, markets, and efficiency
by Falko Fecht & Antoine Martin - 161-174 On the cost of delayed currency fixing announcements
by Christoph Becker & Uwe Wystup - 175-187 Imperfect competition in differentiated credit contract markets
by Naoki Kojima - 189-208 On the calibration of structural credit spread models
by Howard Qi & Sheen Liu & Chunchi Wu - 209-230 Strategic market games with cyclic endowments
by Barbara Bennie - 231-241 The profitability of carry trades
by Jose Olmo & Keith Pilbeam - 243-262 On the general equilibrium costs of perfectly anticipated inflation
by Paulo Barelli & Samuel Abreu Pessôa - 263-279 On the equivalence of a class of affine term structure models
by Oh Kwon - 281-287 Short note on inf-convolution preserving the Fatou property
by Beatrice Acciaio
January 2009, Volume 5, Issue 1
- 1-14 Behavior in a simplified stock market: the status quo bias, the disposition effect and the ostrich effect
by Alexander Brown & John Kagel - 15-48 Small caps in international equity portfolios: the effects of variance risk
by Massimo Guidolin & Giovanna Nicodano - 49-68 Alternatives to the normal model of stock returns: Gaussian mixture, generalised logF and generalised hyperbolic models
by Andreas Behr & Ulrich Pötter - 69-90 The impact of prior performance on the risk-taking of mutual fund managers
by Manuel Ammann & Michael Verhofen - 91-123 Valuation before and after tax in the discrete time, finite state no arbitrage model
by Bjarne Jensen - 125-129 Banking fragility and liquidity creation: options as a substitute for deposits
by Wolf Wagner
October 2008, Volume 4, Issue 4
- 399-429 Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
by Erhan Bayraktar & Virginia Young - 431-444 Robust portfolio optimization with a generalized expected utility model under ambiguity
by Xiaoxian Ma & Qingzhen Zhao & Jilin Qu - 445-454 Short-term relative arbitrage in volatility-stabilized markets
by Adrian Banner & Daniel Fernholz - 455-480 Informational leverage: the problem of noise traders
by Norvald Instefjord & Kouji Sasaki - 481-503 Technology driven organizational structure of the firm
by René Brink & Pieter Ruys - 505-523 A computational study on general equilibrium pricing of derivative securities
by Jacco Thijssen
July 2008, Volume 4, Issue 3
- 269-298 Demand shocks and market manipulation
by Marcelo Pinheiro - 299-303 Liquidity and market incompleteness
by Felipe Zurita - 305-344 Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks
by Yu Chen & Thomas Cosimano & Alex Himonas - 345-367 Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
by Jón Daníelsson & Bjørn Jorgensen & Casper Vries & Xiaoguang Yang - 369-397 Balance, growth and diversity of financial markets
by Constantinos Kardaras
March 2008, Volume 4, Issue 2
- 131-155 The social value of risk-free government debt
by Stacey Schreft & Bruce Smith - 157-181 Amplification and asymmetry in crashes and frenzies
by Han Ozsoylev - 183-195 Capital market equilibrium without riskless assets: heterogeneous expectations
by D. Won & G. Hahn & N. Yannelis - 197-215 Managing the risk of loan prepayments and the optimal structure of short term lending rates
by Bryan Stanhouse & Duane Stock - 217-241 Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration
by Wei Sun & Svetlozar Rachev & Frank Fabozzi & Petko Kalev - 243-253 Fair (intra-bank transfer) prices for credits with stochastic recovery
by Johannes Leitner - 255-268 On the semimartingale property via bounded logarithmic utility
by Kasper Larsen & Gordan Žitković
January 2008, Volume 4, Issue 1
- 1-28 Optimal portfolio allocation with higher moments
by Jakša Cvitanić & Vassilis Polimenis & Fernando Zapatero - 29-53 The price of rapid exit in venture capital-backed IPOs
by Silvia Rossetto - 55-74 A PDE approach for risk measures for derivatives with regime switching
by Robert Elliott & Tak Siu & Leunglung Chan - 75-103 Who controls Allianz?
by Victor Dorofeenko & Larry Lang & Klaus Ritzberger & Jamsheed Shorish - 105-129 Prospect and Markowitz stochastic dominance
by W. Wong & R. Chan
October 2007, Volume 3, Issue 4
- 411-453 Correlation and the pricing of risks
by Marc Atlan & Hélyette Geman & Dilip Madan & Marc Yor - 455-469 On the positive fundamental value of money with short-sale constraints
by Eduardo Giménez - 471-486 Duration, factor sensitivities, and interest rate Greeks
by Oh Kwon - 487-507 Maximum likelihood estimation of the double exponential jump-diffusion process
by Cyrus Ramezani & Yong Zeng
July 2007, Volume 3, Issue 3
- 297-327 To what extent are investment bank-differentiating factors relevant for firms floating moderate-sized IPOs?
by Kedar Kulkarni & Tarun Sabarwal - 329-350 Proprietary trading losses in banks: do banks invest sufficiently in control?
by Norvald Instefjord & Kouji Sasaki - 351-367 A multicriteria discrimination approach for the credit rating of Asian banks
by Fotios Pasiouras & Chrysovalantis Gaganis & Michael Doumpos - 369-387 IPO share allocation and conflicts of interest
by Naoki Kojima - 389-409 Switching to a poor business activity: optimal capital structure, agency costs and covenant rules
by Jean-Paul Décamps & Bertrand Djembissi
March 2007, Volume 3, Issue 2
- 193-212 Habit formation and the equity–premium puzzle: a skeptical view
by Stefano Athanasoulis & Oren Sussman - 213-240 A Forecasting Model for Stock Market Diversity
by Francesco Audrino & Robert Fernholz & Roberto Ferretti - 241-255 An empirical model for durations in stocks
by Ola Simonsen - 257-276 Industry and time specific deviations from fundamental values in a random coefficient model
by Leonardo Becchetti & Roberto Rocci & Giovanni Trovato