Hasil untuk "Finance"

P. R. S. Terra

Nicolas Privault

Introduction Assets, Portfolios and Arbitrage Definitions and Formalism Portfolio Allocation and Short-Selling Arbitrage Risk-Neutral Measures Hedging of Contingent Claims Market Completeness Example Exercises Discrete-Time Model Stochastic Processes Portfolio Strategies Arbitrage Contingent Claims Martingales and Conditional Expectation Risk-Neutral Probability Measures Market Completeness Cox{Ross{Rubinstein (CRR) Market Model Exercises Pricing and Hedging in Discrete Time Pricing of Contingent Claims Hedging of Contingent Claims - Backward Induction Pricing of Vanilla Options in the CRR Model Hedging of Vanilla Options in the CRR model Hedging of Exotic Options in the CRR Model Convergence of the CRR Model Exercises Brownian Motion and Stochastic Calculus Brownian Motion Wiener Stochastic Integral Ito Stochastic Integral Deterministic Calculus Stochastic Calculus Geometric Brownian Motion Stochastic Differential Equations Exercises The Black-Scholes PDE Continuous-Time Market Model Self-Financing Portfolio Strategies Arbitrage and Risk-Neutral Measures Market Completeness Black-Scholes PDE The Heat Equation Solution of the Black-Scholes PDE Exercises Martingale Approach to Pricing and Hedging Martingale Property of the Ito Integral Risk-Neutral Measures Girsanov Theorem and Change of Measure Pricing by the Martingale Method Hedging Strategies Exercises Estimation of Volatility Historical Volatility Implied Volatility Black-Scholes Formula vs. Market Data Local Volatility Exotic Options Generalities Reexion Principle Barrier Options Lookback Options Asian Options Exercises Contents vii American Options Filtrations and Information Flow Martingales, Submartingales, and Supermartingales Stopping Times Perpetual American Options Finite Expiration American Options Exercises Change of Numeraire and Forward Measures Notion of Numeraire Change of Numeraire Foreign Exchange Pricing of Exchange Options Self-Financing Hedging by Change of Numeraire Exercises Forward Rate Modeling Short-Term Models Zero-Coupon Bonds Forward Rates HJM Model Forward Vasicek Rates Modeling Issues BGM Model Exercises Pricing of Interest Rate Derivatives Forward Measures and Tenor Structure Bond Options Caplet Pricing Forward Swap Measures Swaption Pricing on the LIBOR Exercises Default Risk in Bond Markets Survival Probabilities and Failure Rate Stochastic Default Defaultable Bonds Credit Default Swaps Exercises Stochastic Calculus for Jump Processes Poisson Process Compound Poisson Processes Stochastic Integrals with Jumps Ito Formula with Jumps Stochastic Differential Equations with Jumps Girsanov Theorem for Jump Processes Exercises Pricing and Hedging in Jump Models Risk-Neutral Measures Pricing in Jump Models Black-Scholes PDE with Jumps Exponential Models Self-Financing Hedging with Jumps Exercises Basic Numerical Methods The Heat Equation Black-Scholes PDE Euler Discretization Milshtein Discretization Appendix: Background on Probability Theory Probability Spaces and Events Probability Measures Conditional Probabilities and Independence Random Variables Probability Distributions Expectation of a Random Variable Conditional Expectation Moment Generating Functions Exercises Bibliography Index

R. Levine

Anil K. Kashyap, Anil K. Kashyap, Anil K. Kashyap et al.

N. Lee, Hiba Sameen, M. Cowling

In the wake of the 2008 financial crisis, there has been increased focus on access to finance for small firms. Research from before the crisis suggested that it was harder for innovative firms to access finance. Yet no research has considered the differential effect of the crisis on innovative firms. This paper addresses this gap using a dataset of over 10,000 UK SME employers. We find that innovative firms are more likely to be turned down for finance than other firms, and this worsened significantly in the crisis. However, regressions controlling for a host of firm characteristics show that the worsening in general credit conditions has been more pronounced for non-innovative firms with the exception of absolute credit rationing which still remains more severe for innovative firms. The results suggest that there are two issues in the financial system. The first is a structural problem which restricts access to finance for innovative firms. The second is a cyclical problem has been caused by the financial crisis and has impacted relatively more severely on non-innovative firms.

Ellen Johnson-Sirleaf

ABDULRASAQ MUSTAPHA

Kenya's exposure to climate risks and fiscal volatility has raised concerns about the pricing of its sovereign Eurobonds in global markets. This study investigates the impact of green finance announcements, ESG risk scores, and inflation on Kenya’s sovereign Eurobond yield spreads over U.S. Treasuries from 2015 to 2024. Employing a quantitative explanatory research design, the study analyzed secondary monthly data on yield spreads, macroeconomic indicators, and ESG metrics using multiple linear regression. Descriptive statistics and diagnostic tests confirmed data suitability, while correlation analysis revealed expected directional relationships. Findings show that green finance announcements significantly reduce Kenya’s sovereign risk premium, aligning with signaling theory that credible sustainability communication enhances investor confidence. ESG risk scores were also found to have a statistically significant negative effect on yield spreads, underscoring the importance of non-financial performance in sovereign debt pricing. Conversely, inflation had a significant positive effect, reflecting heightened risk aversion toward macroeconomic instability. The study concludes that climate and ESG signals now influence investor pricing behavior in African debt markets. It recommends that the Kenyan government institutionalize green finance disclosures, improve ESG reporting systems, and enforce effective inflation-targeting policies to reduce borrowing costs and enhance debt sustainability. The findings offer vital information for policymakers and investors in understanding the evolving dynamics of climate-adjusted sovereign risk.

Devi Nurmalasari, Dominicus Savio Priyarsono, Linda Karlina Sari

Integrity is a cornerstone of good governance; yet, its realization remains uneven across various levels of government in Indonesia. This study aims to compare the influence of integrated internal control system components—risk management, internal audit, internal control systems, and corruption control—on the integrity of central and regional government agencies. A quantitative approach is employed using Spearman’s rank correlation and panel data regression analysis on data from 42 central and 491 regional agencies collected between 2022 and 2023. Model selection is based on the Chow, Hausman, and Breusch–Pagan tests. The results show that in regional agencies, risk management, internal control systems, and corruption control significantly enhance integrity, while internal audit does not. Conversely, none of the control components show a significant effect on integrity in central agencies, indicating a gap between system maturity and actual governance outcomes. These differences reflect contextual challenges, including bureaucratic complexity, limited leadership engagement, and a compliance-oriented implementation approach. The study concludes that tailored strategies are needed to strengthen internal audits in regional agencies and to move beyond procedural compliance in central institutions. The study offers practical implications for improving public governance and contributes novel insights through its comparative approach across government levels.

Wanying Zhang, Jing Wang, Geng Qin et al.

The shipping industry, responsible for transporting 90% of global goods, is a major source of pollution and greenhouse gas (GHGs) emissions. In response to the increasingly stricter global and regional emission control regulations, the maritime industry has adopted various operational and technical measures to improve vessel energy efficiency so as to reduce emissions. However, these measures might not be able to effectively address the core issue of emissions, which arises from a heavy reliance on carbon-intensive energy sources. To reduce the emissions from the whole shipping industry more fundamentally, this review evaluates the viability of five alternative marine fuels — liquefied natural gas (LNG), methanol, ammonia, biofuel, and hydrogen — as potential solutions for maritime decarbonization. This review adopts the systematic search flow (SSF) approach, using iterative search refinement and thematic analysis for a structured synthesis of maritime alternative fuel literature. It first introduces each type of alternative fuel with an emphasis on production methods and sources, which are distinctively categorized by “color.” Following this, a comprehensive comparison of the fuels is presented, focusing on technical feasibility, economic viability, emission reduction capabilities, availability, and safety considerations. The practical application of these fuels is further explored through an analysis of their adoption in operational fleets and new orders, as well as the readiness of port infrastructure to support these changes. This review also examines the role of alternative fuels in the development of green shipping corridors, underscored by an analysis of green shipping finance initiatives. The findings provide valuable insights into the viability of these fuels, supporting the International Maritime Organization (IMO)’s 2050 decarbonization goals and paving the way towards zero emissions in global shipping.

John H. Cochrane

F. Caniato, L. Gelsomino, A. Perego et al.

Ioana-Sorina ANDREICA (MIHUT), Liviu-Daniel DECEANU

The last three years were characterized by a climate of drastic change due to a cumulus of disturbances and crises, namely the COVID-19 pandemic, inflation, energy crisis, military conflicts, banking fragilities, populism, disinformation, and the idea of deglobalization. These types of events may be interpretated either as antecedents of new and complex categories of risks or as stimulus for certain risks that have long been ignored. One central focus for worldwide policymakers is presently the country risk with all its components (sovereign risk, political risk, market risk, or systemic risk). Furthermore, due to the increase in public and private debt, the risks to which economies are exposed have multiplied. Is this the end of an era or just a temporary disequilibrium? This is one of the key questions among economists, academics, and policy makers around the world. The main purpose of this research is to analyse whether the Russian invasion of Ukraine negatively impacted the country risk of countries situated in the geographical proximity of the conflict area (Romania, Bulgaria, Estonia, Hungary, Czechia, Latvia, Lithuania, Poland, and Slovakia), as well as to determine whether relevant macroeconomic indicators such as debt/GDP, GDP/capita, inflation, or trade openness were deteriorated due to the war. The findings of this research reveal that all the analysed macroeconomic indicators deteriorated as a consequence of the high degree of uncertainty concerning the future economic prospects of these countries, especially inflation and debt/GDP. The results also indicate that the country ratings of the investigated group of countries were severely impacted by the Russian invasion of Ukraine. Although data corresponding for year 2023 show a slight improvement, the existing uncertainty continues to generate a disruptive effect on the markets.

Kilder Holgado Dorado, Bernardo Javier Sánchez Barraza

Objetivo: Determinar la correlación entre la tasa de interés de los créditos de consumo y la recaudación del impuesto general a las ventas en Perú durante el periodo 2011-2022. Métodos: La investigación fue de carácter descriptivo y correlacional. Para medir la relación entre las variables, se utilizó el coeficiente de correlación de Spearman, adecuado para datos que no cumplen las condiciones de normalidad. Se analizaron 144 observaciones mensuales, obtenidas de la Superintendencia de Banca, Seguros y Administradoras Privadas de Fondos de Pensiones y de la Superintendencia Nacional de Aduanas y de Administración Tributaria. Resultados: Existe correlación positiva entre la tasa de interés de los créditos de consumo y la recaudación del impuesto general a las ventas en el periodo comprendido entre enero 2011 a diciembre 2022. Conclusión: Cuando la tasa de interés de los créditos de consumo aumenta, también lo hace la recaudación del impuesto general a las ventas. No obstante, la relación de dichas variables no es constante y puede estar sujeta a cambios en diferentes momentos.

Li-Chen Cheng, Wei-Ting Lu, Benjamin Yeo

Abstract In 2021, the abnormal short-term price fluctuations of GameStop, which were triggered by internet stock discussions, drew the attention of academics, financial analysts, and stock trading commissions alike, prompting calls to address such events and maintain market stability. However, the impact of stock discussions on volatile trading behavior has received comparatively less attention than traditional fundamentals. Furthermore, data mining methods are less often used to predict stock trading despite their higher accuracy. This study adopts an innovative approach using social media data to obtain stock rumors, and then trains three decision trees to demonstrate the impact of rumor propagation on stock trading behavior. Our findings show that rumor propagation outperforms traditional fundamentals in predicting abnormal trading behavior. The study serves as an impetus for further research using data mining as a method of inquiry.

Ulrich Volz

Placing the Asian economies onto a sustainable development pathway requires an unprecedented shift in investment away from greenhouse gas, fossil fuel, and natural resource intensive industries towards more resource efficient technologies and business models. The financial sector will have to play a central role in this ‘green transformation’. This study discusses the need for greening the financial system and the role of financial governance. It reviews the state of green lending and investment in Asia and provides an overview of green financial governance initiatives across Asia. It also identifies market innovations to increase green finance in Asia, barriers to green investments, and financial policy and highlights priority areas for policy makers.

Michael Kirchler, Florian Lindner, Utz Weitzel

Rankings are omnipresent in the finance industry, yet there is no research how they impact financial professionals' behavior. We run lab-in-the-field experiments with 657 professionals and lab experiments with 432 students to investigate how rank incentives affect investment decisions. We find that both rankings and tournament incentives increase risk- taking among underperforming professionals, but rankings do not affect students. We show that the rank-effect is robust to the experimental frame (investment frame versus abstract frame), to payoff consequences (own return versus family return), to social identity priming (private identity versus professional identity), and to professionals' gender (no gender differences among professionals).

Arvind Panagariya

This paper examines two aspects of the digitalization of finance in India, which has been surprisingly robust and fast growing. Much of this success is due to the government's introduction of a biometric identity known as Aadhaar. Because financial transactions require definitive proof of identity of the transacting parties, Aadhaar provides this proof without any document via biometric verification, thus greatly facilitating electronic transactions. The paper also documents the impact of digital financialization by showing examples of entrepreneurship, both directly in the fintech space through the creation of new web-based services as well as the rise of new businesses that make use of the fintech infrastructure that has been created.

B. Tijjani, Murtaza Ashiq, Nadeem Siddique et al.

Purpose The purpose of this study is to provide quantitative information on the growth of Islamic finance literature. The study focused on publishing trends, countries producing research on Islamic finance, key authors, major contributing organizations, authorship patterns, keywords and articles with the highest citations. Design/methodology/approach Bibliometric analysis is applied to analyse the growth and publishing trends in Islamic finance literature. The Web of Science (WoS) database was used to extract bibliometric data covering the period 1939–2019 for Islamic finance literature. Findings The study finds that Islamic finance research has gained remarkable momentum in the literature. However, such growth is largely manifested in Malaysia because of a conducive atmosphere for this type of research. Interestingly, the study finds that the three most productive journals are located in the UK and Malaysia, while Professor M. Kabir Hassan from the University of New Orleans, the USA appears to head the list of authors with 23 publications on Islamic finance. Practical implications This study provides up-to-date literature on the current state of Islamic finance in the world; as a result, it supports the development of policies by the Islamic finance industry. The findings of the study also serve as a reference point for Islamic finance training and educational institutions. Originality/value Islamic finance is an emerging financial discipline; as such, there is a need for more awareness of this financial system in the world. Muslim-majority countries, especially Saudi Arabia, Turkey, Indonesia, the United Arab Emirates (UAE), Pakistan and Bahrain, have to include Islamic finance in their curriculum and establish research institutions and research journals. In addition, Arabic language journals should be indexed in WoS and/or Scopus to provide a high-quality publication platform. This study provides a more comprehensive bibliometric analysis on the growth of Islamic finance literature (1939–2019) in the WoS database; most of the prior studies have covered relatively few areas of focus and a lower range of years in some cases.

Deborah N. Pittman

Gulizhaer Aisaiti, Luhao Liu, Jiaping Xie et al.

Purpose The purpose of this paper is to investigate and understand China’s rural farmers’ financing intention of inclusive finance, and it examines related drivers like knowledge of inclusive finance, perceived benefits and perceived risks of ordering finance. Besides, the social enterprise embeddedness and digital finance are integrated into the conceptual model to further investigate their moderating impact. Design/methodology/approach The authors designed an inclusive finance intention model to examine the relations between dependent variable knowledge of inclusive finance, intermediary variables perceived benefits and perceived risks of ordering finance and the independent variable financing intention of inclusive finance. The embeddedness of social enterprise and digital finance were identified as modifying factors. Both exploratory and conclusive research strategies were applied. A structured questionnaire was developed to collect empirical data from the rural areas of China. Findings It suggests that knowledge of inclusive finance can strengthen both perceived benefits and perceived risk of ordering finance. Interestingly, the embeddness of social enterprise can significantly reduce risk perceptions and improve perceived benefits of ordering finance. Furthermore, perceived benefits of ordering finance can positively enhance rural farmers’ financing intention of inclusive finance, whereas perceived risks can negatively influence the financing intention. Moreover, digital finance as a modifying factor can significantly strengthen the positive correlation between perceived benefits of ordering finance and financing intention of inclusive finance. Practical implications The research indicates that a systematic inclusive finance educational project is needed to enhance rural farmers’ understanding of inclusive finance and its components. Moreover, the study reveals that it is crucial to promote social enterprise participation and digital finance to develop inclusive finance in rural China, as the service attributes of social enterprise and efficiency of digital finance can greatly reduce the existing transaction cost of farmers. Originality/value The conceptual model would potentially contribute to researchers interested in investigating the financing intention of inclusive financial services relating to rural population. The integration of social enterprise embeddedness and digital finance is the uniqueness of this research conceptual model.