Annals of Finance最新文献

Sanctions Induced Terms of Trade Shocks and the Role of Lean Against the Wind Policy 制裁引发的贸易条件冲击与逆风政策的作用

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Annals of Finance Pub Date : 2025-05-23 DOI: 10.1007/s10436-025-00463-y

Aleksandr Shirobokov

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引用次数: 0

Local banking market structure and employment dynamics: evidence from US counties 地方银行市场结构与就业动态：来自美国各县的证据

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Annals of Finance Pub Date : 2025-04-16 DOI: 10.1007/s10436-025-00461-0

Amit Ghosh, Salvador Contreras

引用次数: 0

Foreign bank entry and performance of domestic SMEs: evidence from Korea 外资银行进入与国内中小企业绩效：来自韩国的证据

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Annals of Finance Pub Date : 2025-03-13 DOI: 10.1007/s10436-025-00460-1

Junyong Lee, Frederick Dongchuhl Oh

引用次数: 0

Climate stress test: bad (or good) news for the market? An event study analisys on euro zone banks 气候压力测试：对市场来说是坏消息（还是好消息）？欧元区银行的事件研究分析

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Annals of Finance Pub Date : 2024-12-30 DOI: 10.1007/s10436-024-00459-0

Costanza Torricelli, Chiara Pederzoli, Fabio Ferrari

{"title":"Climate stress test: bad (or good) news for the market? An event study analisys on euro zone banks","authors":"Costanza Torricelli, Chiara Pederzoli, Fabio Ferrari","doi":"10.1007/s10436-024-00459-0","DOIUrl":"10.1007/s10436-024-00459-0","url":null,"abstract":"<div><p>This paper investigates how the 2021 ECB Climate stress test affected the market view on the climate risk exposure of the banking sector. To this end, we set up an event study analysis on stock returns of the banks included in the exercise, whereby at the relevant dates we test for the existence of abnormal returns. The potential hypothesis is that bad/good news on climate risks exposure of banks may negatively/positively impacts their profitability and hence stock returns. Three main results emerge from our analyses. First, the stress test announcement had no significant impact on banks stock returns, a result that can be explained by the type of information given, i.e. only the methodology and some preliminary mainly qualitative evidence. Second, and by contrast, the publication of the final results with quantitative details determined a positive significant reaction, since the market possibly expected banks’ exposure to climate risks to be greater. Third, an event related to the worldwide consensus on the need to manage climate change (COP26), yet not strictly related to the climate stress test, had no significant market impact. Our results, which are robust to various checks, may have policy implications for future climate stress tests and institutional initiatives needed to manage climate risk.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"21 1","pages":"1 - 17"},"PeriodicalIF":0.8,"publicationDate":"2024-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143632449","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The (un)secured debt puzzle: evidence for U.S. public firms （无）担保债务之谜：美国上市公司的证据

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Annals of Finance Pub Date : 2024-12-21 DOI: 10.1007/s10436-024-00457-2

Kizkitza Biguri

引用次数: 0

No arbitrage for a special class of filtration expansions 对于一类特殊的过滤膨胀没有套利

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Annals of Finance Pub Date : 2024-12-15 DOI: 10.1007/s10436-024-00458-1

Karen Grigorian, Robert A. Jarrow

引用次数: 0

Tailor-made strategies through different weight simulation of factor-based investing 通过不同权重的因素投资模拟，为客户量身定制投资策略

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Annals of Finance Pub Date : 2024-12-12 DOI: 10.1007/s10436-024-00456-3

Catarina A. Ramos, Nuno C. Marques, Marta Faias, Hugo Santos

引用次数: 0

Approximation and asymptotics in the superhedging problem for binary options 二元期权超级对冲问题中的近似和渐近问题

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Annals of Finance Pub Date : 2024-09-27 DOI: 10.1007/s10436-024-00454-5

Sergey Smirnov, Dimitri Sotnikov, Andrey Zanochkin

{"title":"Approximation and asymptotics in the superhedging problem for binary options","authors":"Sergey Smirnov, Dimitri Sotnikov, Andrey Zanochkin","doi":"10.1007/s10436-024-00454-5","DOIUrl":"10.1007/s10436-024-00454-5","url":null,"abstract":"<div><p>This paper considers Kolokoltsov’s multiplicative model of market price dynamics witout trading constraints. Under general assumptions and monotonic payoff functions, we show that the guaranteed deterministic approach, having a game-theoretic interpretation, yields the same result in the superhedging problem as in the probabilistic approach. We analyze in detail the superhedging problem for a special monotonic payoff function, i.e., a European-style binary option, within the guaranteed deterministic approach (GDA). Unlike the probabilistic counterpart, GDA allows a direct description of the most unfavorable mixed market strategy. We obtain some interesting analytical properties of the solutions of the corresponding Bellman–Isaacs equations, providing the minimal required reserves (also called the superhedging price) to cover the option payoff at the expiration time. The price process with the conditional distributions corresponding to the most unfavorable market scenarios can be approximated on a logarithmic scale by a random walk with two absorbing barriers. We also prove that, under an appropriate normalization, the price process weakly converges to the geometric Brownian motion with one absorbing barrier at the strike price when the discrete-time model number of steps tends to infinity.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"20 4","pages":"421 - 458"},"PeriodicalIF":0.8,"publicationDate":"2024-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142636913","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

A Girsanov transformed Clark-Ocone-Haussmann type formula for (L^1)-pure jump additive processes and its application to portfolio optimization 用于 $$L^1$$ 纯跃迁加法过程的 Girsanov 变换 Clark-Ocone-Haussmann 型公式及其在投资组合优化中的应用

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Annals of Finance Pub Date : 2024-08-27 DOI: 10.1007/s10436-024-00453-6

Masahiro Handa, Noriyoshi Sakuma, Ryoichi Suzuki

{"title":"A Girsanov transformed Clark-Ocone-Haussmann type formula for (L^1)-pure jump additive processes and its application to portfolio optimization","authors":"Masahiro Handa, Noriyoshi Sakuma, Ryoichi Suzuki","doi":"10.1007/s10436-024-00453-6","DOIUrl":"10.1007/s10436-024-00453-6","url":null,"abstract":"<div><p>We derive a Clark-Ocone-Haussmann (COH) type formula under a change of measure for <span>( L^1 )</span>-canonical additive processes, providing a tool for representing financial derivatives under a risk-neutral probability measure. COH formulas are fundamental in stochastic analysis, providing explicit martingale representations of random variables in terms of their Malliavin derivatives. In mathematical finance, the COH formula under a change of measure is crucial for representing financial derivatives under a risk-neutral probability measure. To prove our main results, we use the Malliavin-Skorohod calculus in <span>( L^0 )</span> and <span>( L^1 )</span> for additive processes, as developed by Di Nunno and Vives (2017). An application of our results is solving the local risk minimization (LRM) problem in financial markets driven by pure jump additive processes. LRM, a prominent hedging approach in incomplete markets, seeks strategies that minimize the conditional variance of the hedging error. By applying our COH formula, we obtain explicit expressions for locally risk-minimizing hedging strategies in terms of Malliavin derivatives under the market model underlying the additive process. These formulas provide practical tools for managing risks in financial market price fluctuations with <span>(L^1)</span>-additive processes.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"20 3","pages":"329 - 352"},"PeriodicalIF":0.8,"publicationDate":"2024-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-024-00453-6.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142198554","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Option pricing in the Heston model with physics inspired neural networks 利用物理学启发神经网络在赫斯顿模型中进行期权定价

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Annals of Finance Pub Date : 2024-08-26 DOI: 10.1007/s10436-024-00452-7

Donatien Hainaut, Alex Casas

引用次数: 0