Annals of Finance最新文献_第6页

Rational pricing of leveraged ETF expense ratios 杠杆ETF费用比率的合理定价

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Annals of Finance Pub Date : 2022-04-12 DOI: 10.1007/s10436-022-00408-9

Alex Garivaltis

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引用次数: 0

Portfolio selection in quantile decision models 分位数决策模型中的投资组合选择

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Annals of Finance Pub Date : 2022-03-29 DOI: 10.1007/s10436-021-00405-4

Luciano de Castro, Antonio F. Galvao, Gabriel Montes-Rojas, Jose Olmo

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引用次数: 6

Options on bonds: implied volatilities from affine short-rate dynamics 债券期权:仿射短期利率动态的隐含波动率

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Annals of Finance Pub Date : 2022-03-11 DOI: 10.1007/s10436-022-00407-w

Matthew Lorig, Natchanon Suaysom

引用次数: 3

Regulatory reform and banking diversity: reassessing Basel 3 监管改革和银行业多样性:重新评估巴塞尔协议3

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Annals of Finance Pub Date : 2022-03-02 DOI: 10.1007/s10436-021-00406-3

Giuliana Birindelli, Paola Ferretti, Giovanni Ferri, Marco Savioli

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引用次数: 0

A portfolio choice problem under risk capacity constraint 风险容量约束下的投资组合选择问题

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Annals of Finance Pub Date : 2022-01-31 DOI: 10.1007/s10436-021-00404-5

Weidong Tian, Zimu Zhu

引用次数: 2

Equilibrium pricing of commodity spot and forward under incomplete markets with implications on convenience yield 不完全市场下商品现货和远期均衡定价及其对便利收益的影响

IF 1

Annals of Finance Pub Date : 2022-01-17 DOI: 10.1007/s10436-021-00402-7

Katsushi Nakajima

引用次数: 0

Multi-stage real option evaluation with double barrier under stochastic volatility and interest rate 随机波动率和利率下双障碍的多阶段实物期权评估