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On stochastic calculus related to financial assets without semimartingales  [PDF]
Rosanna Coviello,Cristina Di Girolami,Francesco Russo
Quantitative Finance , 2011,
Abstract: This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to be finite quadratic variation processes. The non-arbitrage property is not excluded if the class $\mathcal{A}$ of admissible strategies is restricted. The classical notion of martingale is replaced with the notion of $\mathcal{A}$-martingale. A calculus related to $\mathcal{A}$-martingales with some examples is developed. Some applications to no-arbitrage, viability, hedging and the maximization of the utility of an insider are expanded. We finally revisit some no arbitrage conditions of Bender-Sottinen-Valkeila type.
No arbitrage without semimartingales  [PDF]
Robert A. Jarrow,Philip Protter,Hasanjan Sayit
Mathematics , 2009, DOI: 10.1214/08-AAP554
Abstract: We show that with suitable restrictions on allowable trading strategies, one has no arbitrage in settings where the traditional theory would admit arbitrage possibilities. In particular, price processes that are not semimartingales are possible in our setting, for example, fractional Brownian motion.
Credit Constraints and Household Selection of Financial Assets  [PDF]
Guofei Wang
Open Journal of Social Sciences (JSS) , 2016, DOI: 10.4236/jss.2016.42009
Abstract: Based on the micro-data of China Household Finance Survey, this paper analyzes the effects of credit constraints on household selection of financial assets empirically. The results show that credit constraints have the significant negative impact on participation rate and allocation ratio of savings, stock, risky financial assets. Credit constraints keep families from holding much savings. Those families who face credit constraints have to use their own money to meet the demand of funds without bank loans. Those families who face credit constraints are no willing to invest in stock market and hold less risky assets because of their lower risk tolerance. Besides, credit constraints can increase the participation rate of informal borrowing and reduce household private lending. There are few domestic articles analyzing the relationship between credit constraints and household selection of financial assets. Therefore, this paper can be more of reference value for the follow-up study. Meanwhile, the results show that reducing credit constraints is helpful for the household participation in capital market.
Pantelyeyev V. P,Lepilin M. H.
Economics of Development , 2011,
Abstract: Protection algorithms for the assets and the business entities’ equity guarantee the inviolability of the owners’ private property rights, the inability of the wrongful seizure of the founders’ property, the security of the financial condition integrity and the equity of business entities.Financial risks determine the entities’ reactions that define the effects of financial security blunders. Each reaction corresponds to the effect of its own financial blunders. A general algorithm for financial security is defined by the steps and the events.General principles that define financial security make programs to counteract the influence of the market and the changes in financial stability and independence; to preserve the subjects’ finance and to maintain the owners’ requirements.
Case Study of Financial Planning and Design in Power Assets Integration  [PDF]
Chaozhong Wang
American Journal of Industrial and Business Management (AJIBM) , 2015, DOI: 10.4236/ajibm.2015.57047
Abstract: Financial planning plays an important role in assets integration. On the basis of destination of assets integration, financial planning plays a role in object selecting, integration method, assets segmentation, creditor’s right and counter-performance disposal. Among them, the core part is integration methods selecting and assets segmentation, which determine the design and performance of the integration project. The article makes a research about how NYH integrates cases and proclaims the progress of financial planning in power assets integration. The research shows that good financial planning can not only reach the assets integration goal, but also decrease the risk and cost of assets integration.
Scientific Annals of the Alexandru Ioan Cuza University of Iasi : Economic Sciences Series , 2010,
Abstract: In conditions of fast technical progress, the financial leasing has become a necessary element so as to finance the investments, and towards a real economic growth. The financial leasing has generated within the lessee accountancy both exploitation expenses as regards the amortization afferent to the assets, as well as the financial expenses. The main objective of this paper consists in emphasizing the issues the amortization of the asset taken by financial leasing, in accordance to the international standards, specific to the leasing, tangible assets and depreciation of assets. An especial attention should be dedicated to the result, where changing the useful lifetime of the assets on financial leasing regime has effects over the truthful reflection of financial position and performances of a lessee. One might also outline that the time of asset utilization represents a factor, which has influenced the decision of refinancing by leasing.
Testing the Gaussian Copula Hypothesis for Financial Assets Dependences  [PDF]
Y. Malevergne,D. Sornette
Physics , 2001, DOI: 10.1088/1469-7688/3/4/301
Abstract: Using one of the key property of copulas that they remain invariant under an arbitrary monotonous change of variable, we investigate the null hypothesis that the dependence between financial assets can be modeled by the Gaussian copula. We find that most pairs of currencies and pairs of major stocks are compatible with the Gaussian copula hypothesis, while this hypothesis can be rejected for the dependence between pairs of commodities (metals). Notwithstanding the apparent qualification of the Gaussian copula hypothesis for most of the currencies and the stocks, a non-Gaussian copula, such as the Student's copula, cannot be rejected if it has sufficiently many ``degrees of freedom''. As a consequence, it may be very dangerous to embrace blindly the Gaussian copula hypothesis, especially when the correlation coefficient between the pair of asset is too high as the tail dependence neglected by the Gaussian copula can be as large as 0.6, i.e., three out five extreme events which occur in unison are missed.
The Current Financial Crisis and Its Potential Impact on Internally Generated Intangible Assets  [cached]
Rossen R. Petkov
International Journal of Business and Management , 2011, DOI: 10.5539/ijbm.v6n3p37
Abstract: Many experts consider that the lack of accounting for internally generated intangible assets is, among other factors, to be blamed for the current financial crises. The current accounting regulators have not taken the initiative towards creation of new accounting standard to identify or to allow the capitalization, recognition and/or disclosure of these assets. This failure to properly identify, measure, and/or recognize the activities associated with intangible assets, appear at a time when the accounting standards are in the process of regulatory adjustments due to different view and ideas originating by the SEC, FASB and IASB. This paper explores some of the conceptual issues related to the initial identification of internally generated intangible assets. In addition, we propose an approach to recognize these assets in the financial statements using a hypothetical business combination approach.
Some Aspects regarding the Derecognition of Financial Assets According to IAS 39  [PDF]
Scientific Annals of the Alexandru Ioan Cuza University of Iasi : Economic Sciences Series , 2006,
Abstract: Accounting for financial assets has undergone a real revolution since the publication of IAS 39 “Financial Instruments: Recognition&Measurement”. Particularly, the rules concerning the derecognition of these assets are entirely new and complex and therefore not easily applicable. They are based upon the principle of “substance over form” which is not very used in our country.This paper deals with these new rules and presents them in a light that is meant to facilitate their understanding by the Romanian accountants.
Analysis of Bank Investment Transactions Impact on Financial Assets Profitability
Viktoria S. Ambarchyan
European Researcher , 2013,
Abstract: The article analyses bank securities purchase and placement to investment portfolios, aimed at the measurement of the degree of corporate and debt securities profitability impact on bank overall financial assets profitability. Using regressive analysis method, the author has developed the lineal econometric two-factor model of financial assets profitability dependence on the profitability of their components for five banking groups for the period of 10 years for each group. Statistical data and econometric model were tested to answer the adequacy criteria. Statistical significance of the model regressors due to Fisher criteria and statistical parameters β due to Student criteria were measured. The influence of regressors on the dependent variable was determined as moderate, which is explained by the presence of certain factors of influence, not reflected in the model. Certain conclusions, concerning the significant influence of debt securities profitability on the overall financial assets profitability and slight influence of equity instruments profits on the degree of financial profits for the majority of banks were made
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