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A Girsanov transformed Clark-Ocone-Haussmann type formula for \(L^1\)-pure jump additive processes and its application to portfolio optimization Masahiro HandaNoriyoshi SakumaRyoichi Suzuki Research Article Open access 27 August 2024
Option pricing in the Heston model with physics inspired neural networks Donatien HainautAlex Casas Research Article 26 August 2024
The effects of social media use by bank depositors Jianglin Dennis DingGeorge G. Pennacchi Research Article 19 August 2024
Group lending as a mechanism for self-insuring default risk Andreas Krause Research Article Open access 28 July 2024
Science or scientism? On the momentum illusion Klaus Grobys Research Article Open access 02 July 2024
Option pricing in a sentiment-biased stochastic volatility model Alessandra CretarolaGianna Figà-TalamancaMarco Patacca Research Article 22 June 2024
The profitability of interacting trading strategies from an ecological perspective Kun XingHonggang Li Research Article 02 June 2024
Natural disasters, public attention and changes in capital structure: international evidence Balbinder Singh Gill Research Article 24 May 2024 Pages: 199 - 238
Strict certainty preference in the predictive brain: a new perspective on financial innovations and their role in the real economy Hammad Siddiqi Research Article Open access 22 May 2024 Pages: 277 - 287
Commodity cycles and financial instability in emerging economies Mikhail AndreevM. Udara PeirisDimitrios P. Tsomocos Research Article Open access 22 May 2024 Pages: 167 - 197
Asset pricing and hedging in financial markets with fixed and proportional transaction costs Esmaeil Babaei Research Article Open access 15 May 2024 Pages: 259 - 275
A term structure interest rate model with the Brownian bridge lower bound Kentaro Kikuchi Research Article 02 April 2024
On certain representations of pricing functionals Carlo Marinelli Research Article Open access 15 March 2024 Pages: 91 - 127
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Affine Heston model style with self-exciting jumps and long memory Charles Guy Njike LeungaDonatien Hainaut Research Article 12 January 2024 Pages: 1 - 43
How does soft information on the causes of default affect debt renegotiation? The Italian evidence Ludovico Maria CoccoElisa CavezzaliGiorgia Simion Research Article 11 January 2024 Pages: 45 - 89
The kind of silence: managing a reputation for voluntary disclosure in financial markets Miles B. GietzmannAdam J. Ostaszewski Research Article Open access 13 October 2023 Pages: 419 - 447
Robustness and sensitivity analyses of rough Volterra stochastic volatility models Jan MatasJan Pospíšil Research Article Open access 04 August 2023 Pages: 523 - 543
Nonparametric estimates of option prices via Hermite basis functions Carlo MarinelliStefano d’Addona Research Article Open access 04 August 2023 Pages: 477 - 522
The no-arbitrage pricing of non-traded assets Robert A. Jarrow Research Article 01 August 2023 Pages: 401 - 418
What can monetary policy tell us about Bitcoin? Marcin Pietrzak Research Article Open access 26 July 2023 Pages: 545 - 559
The value of expected return persistence Wolfgang SchadnerSebastian Lang Research Article 01 July 2023 Pages: 449 - 476
Sentiment-based indicators of real estate market stress and systemic risk: international evidence Mikhail StolbovMaria Shchepeleva Research Article 16 June 2023 Pages: 355 - 382
No-arbitrage conditions and pricing from discrete-time to continuous-time strategies Dorsaf CherifEmmanuel Lépinette Research Article 24 April 2023 Pages: 141 - 168
A compositional analysis of systemic risk in European financial institutions Anna Maria FioriFrancesco Porro Research Article Open access 18 April 2023 Pages: 325 - 354
Co-jumps and recursive preferences in portfolio choices Immacolata OlivaIlaria Stefani Research Article Open access 16 February 2023 Pages: 291 - 324
The optimal financing of a conglomerate firm with hidden information and costly state verification Rosa FerrentinoLuca Vota Research Article 05 February 2023 Pages: 23 - 62
The valuation of corporations: a derivative pricing perspective Dilip B. MadanKing Wang Research Article 05 February 2023 Pages: 1 - 21
Analysis of fair fee in guaranteed lifelong withdrawal and Markovian health benefits Guglielmo D’AmicoShakti SinghDharmaraja Selvamuthu Research Article Open access 17 January 2023 Pages: 383 - 400
Uncertainty in firm valuation and a cross-sectional misvaluation measure Giulio BottazziFrancesco CordoniStefano Marmi Research Article Open access 17 January 2023 Pages: 63 - 93
The market value of SMEs: a comparative study between private and listed firms in alternative stock markets Leslie Rodríguez-ValenciaProsper Lamothe-FernándezDavid Alaminos Research Article Open access 05 January 2023 Pages: 95 - 117
Drawdown risk measures for asset portfolios with high frequency data Giovanni MasalaFilippo Petroni Research Article 30 December 2022 Pages: 265 - 289
A behavioral approach to inconsistencies in intertemporal choices with the Analytic Hierarchy Process methodology Viviana VentreCruz Rambaud SalvadorFabrizio Maturo Research Article 05 December 2022 Pages: 233 - 264
Integrating market conditions into regulatory decisions on microfinance interest rates: does competition matter? Tristan Caballero-Montes Research Article 21 November 2022 Pages: 201 - 232
Connectivity, centralisation and ‘robustness-yet-fragility’ of interbank networks Mario EboliBulent OzelAndrea Toto Research Article Open access 15 November 2022 Pages: 169 - 200
Delta-hedging in fractional volatility models Qi ZhaoAlexandra Chronopoulou Research Article 09 November 2022 Pages: 119 - 140
Bargaining power and renegotiation of small private debt contracts José ValenteMário AugustoJosé Murteira Research Article 14 September 2022 Pages: 485 - 510
Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate Yumo Zhang Research Article 01 September 2022 Pages: 511 - 544
Some properties of portfolios constructed from principal components of asset returns Thomas A. Severini Research Article 30 July 2022 Pages: 457 - 483
Two sided efficient frontiers at multiple time horizons Dilip B. MadanKing Wang Research Article 06 June 2022 Pages: 327 - 353
Dynamic optimal hedge ratio design when price and production are stochastic with jump Nyassoke Titi Gaston ClémentSadefo Kamdem JulesFono Louis Aimé Research Article 02 May 2022 Pages: 419 - 428
Derivatives-based portfolio decisions: an expected utility insight Marcos Escobar-AnelMatt DavisonYichen Zhu Research Article 28 April 2022 Pages: 217 - 246
Rational pricing of leveraged ETF expense ratios Alex Garivaltis Research Article 12 April 2022 Pages: 393 - 418
Portfolio selection in quantile decision models Luciano de CastroAntonio F. GalvaoJose Olmo Research Article 29 March 2022 Pages: 133 - 181
Options on bonds: implied volatilities from affine short-rate dynamics Matthew LorigNatchanon Suaysom Research Article 11 March 2022 Pages: 183 - 216
Regulatory reform and banking diversity: reassessing Basel 3 Giuliana BirindelliPaola FerrettiMarco Savioli Research Article Open access 02 March 2022 Pages: 429 - 456
A portfolio choice problem under risk capacity constraint Weidong TianZimu Zhu Research Article 31 January 2022 Pages: 285 - 326