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Annals of Finance
2005 - 2013
Edited by C.D. Aliprantis
from Springer
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Volume 9, issue 1 , 2013
Introduction to the symposium pp. 1-4 Gabriele Camera and Todd Keister Pricing of payment cards, competition, and efficiency: a possible guide for SEPA pp. 5-25 Wilko Bolt and Heiko Schmiedel Editorial note pp. 27-27 Anne Villamil Liquidity-saving mechanisms in collateral-based RTGS payment systems pp. 29-60 Marius Jurgilas and Antoine Martin Interlinkages between payment and securities settlement systems pp. 61-81 David Mills and Samia Husain Private payment systems, collateral, and interest rates pp. 83-114 Charles Milton Kahn Volume 8, issue 4 , 2012
More punishment, less default? pp. 427-454 Erwan Quintin On Ponzi schemes in infinite horizon collateralized economies with default penalties pp. 455-488 V. Filipe Martins-da-Rocha and Yiannis Vailakis A two price theory of financial equilibrium with risk management implications pp. 489-505 Dilip Madan The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices pp. 507-531 Gonçalo Faria and Joao Correia-da-Silva On the necessity of five risk measures pp. 533-552 Dominique Guégan and Wayne Tarrant Are performance measures equally stable? pp. 553-570 Giovanna Menardi and Francesco Lisi Volume 8, issue 2 , 2012
Symposium on stochastic volatility: an introductory overview pp. 151-157 Frederi Viens Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations pp. 159-181 Roger Lee and Dan Wang Option pricing under a stressed-beta model pp. 183-203 Jean-Pierre Fouque and Adam Tashman Stochastic volatility and stochastic leverage pp. 205-233 Almut E. D. Veraart and Luitgard Veraart A Gaussian calculus for inference from high frequency data pp. 235-258 Per Mykland Implied and realized volatility: empirical model selection pp. 259-275 Lan Zhang Level changes in volatility models pp. 277-308 Mihaela Craioveanu and Eric Hillebrand Statistical estimation of Lévy-type stochastic volatility models pp. 309-335 José Figueroa-López Affine fractional stochastic volatility models pp. 337-378 F. Comte , L. Coutin and E. Renault Estimation and pricing under long-memory stochastic volatility pp. 379-403 Alexandra Chronopoulou and Frederi Viens Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility pp. 405-425 Ha-Young Kim and Frederi Viens Volume 8, issue 1 , 2012
Signing trades and an evaluation of the Lee–Ready algorithm pp. 1-13 Marcel Blais and Philip Protter Conditions for rational investment short-termism pp. 15-29 George Christodoulakis Testing the local volatility assumption: a statistical approach pp. 31-48 Mark Podolskij and Mathieu Rosenbaum Analysing financial contagion and asymmetric market dependence with volatility indices via copulas pp. 49-74 Yue Peng and Wing Ng Strategic asset allocation with switching dependence pp. 75-96 Donatien Hainaut and Renaud MacGilchrist Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios pp. 97-122 Ba Chu VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors pp. 123-150 Jules SADEFO KAMDEM Volume 7, issue 4 , 2011
Introduction to the special issue on ownership, control and regulation pp. 425-427 Mark Bagnoli and Susan Watts Corporate governance, expropriation of minority shareholders’ rights, and performance of Latin American enterprises pp. 429-447 Marisela Santiago-Castro and Cynthia Brown Voluntary firm restructuring: why do firms sell or liquidate their subsidiaries? pp. 449-476 Alain Praet Family firms, debtholder–shareholder agency costs and the use of covenants in private debt pp. 477-509 Mark Bagnoli , Hsin-Tsai Liu and Susan Watts The interaction between corporate tax structure and disclosure policy pp. 511-527 Anil Arya and Brian Mittendorf Independents’ day? Analyst behavior surrounding the Global Settlement pp. 529-547 Jonathan Clarke , Ajay Khorana , Ajay Patel and Raghavendra Rau Volume 7, issue 3 , 2011
Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks pp. 285-318 Rustam Ibragimov and Johan Walden Central bank haircut policy pp. 319-348 James Thompson Edward Chapman , Jonathan Chiu and Miguel Molico Diversity and arbitrage in a regulatory breakup model pp. 349-374 Winslow Strong and Jean-Pierre Fouque Risk-averse asymptotics for reservation prices pp. 375-387 Laurence Carassus and Miklós Rásonyi Search and herding effects in peer-to-peer lending: evidence from prosper.com pp. 389-405 Efraim Berkovich Maximal submarkets that replicate any option pp. 407-423 Ioannis Polyrakis and Foivos Xanthos Volume 7, issue 2 , 2011
Mutual fund performance: false discoveries, bias, and power pp. 137-169 Nik Tuzov and Frederi Viens Real options with unknown-date events pp. 171-198 Oscar Gutiérrez and Francisco Ruiz-Aliseda Option pricing under a Gamma-modulated diffusion process pp. 199-219 Pilar Iglesias , Jaime San Martín , Soledad Torres and Frederi Viens Short term persistence in mutual fund market timing and stock selection abilities pp. 221-246 Evangelos Benos and Marek Jochec Subjective evaluation of delayed risky outcomes for buying and selling positions: the behavioral approach pp. 247-265 Uri Benzion , Jan Krahnen and Tal Shavit Incentivizing managers to build innovative firms pp. 267-283 Laarni Bulan and Paroma Sanyal Volume 7, issue 1 , 2011
On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting pp. 1-29 Julien Chevallier and Benoît Sévi On the effects of banks’ equity ownership on credit markets pp. 31-52 Rabah AMIR and Michael Troege IPO pricing: growth rates implied in offer prices pp. 53-82 Giordano Cogliati , Stefano Paleari and Silvio Vismara Does knowing the volatility states affect the market risk premium? pp. 83-94 Jinho Bae Corporate debt and financial balance sheet adjustment: a comparison of the United States, the United Kingdom, France and Germany pp. 95-118 Peter Gibbard and Ibrahim Stevens The forward discount puzzle and market efficiency pp. 119-135 Keith Pilbeam and Jose Olmo
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