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Annals of Finance

2005 - 2016

Current editor(s): C.D. Aliprantis

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Volume 12, issue 1, 2016

The St. Petersburg paradox and capital asset pricing pp. 1-16 Downloads
Assaf Eisdorfer and Carmelo Giaccotto
Variety expansion, preference shocks, and financial intermediaries pp. 17-28 Downloads
Hiroaki Ohno and Kouki Sugawara
On the impact of macroeconomic news surprises on Treasury-bond returns pp. 29-53 Downloads
Imane El Ouadghiri, Valérie Mignon and Nicolas Boitout
Saddlepoint approximations to option price in a regime-switching model pp. 55-69 Downloads
Mengzhe Zhang and Leunglung Chan
Risk premia in option markets pp. 71-94 Downloads
Dilip B. Madan
The skewness risk premium in equilibrium and stock return predictability pp. 95-133 Downloads
Hiroshi Sasaki

Volume 11, issue 3, 2015

Robustness of equilibrium in the Kyle model of informed speculation pp. 297-318 Downloads
Alex Boulatov and Dan Bernhardt
Credit risk and contagion via self-exciting default intensity pp. 319-344 Downloads
Robert Elliott and Jia Shen
Optimization of relative arbitrage pp. 345-382 Downloads
Ting-Kam Wong
Evidence on exercise pricing in CEO option grants in two countries pp. 383-410 Downloads
Jean Canil and Bruce Rosser
Diversity-weighted portfolios with negative parameter pp. 411-432 Downloads
Alexander Vervuurt and Ioannis Karatzas
Bounds for path-dependent options pp. 433-451 Downloads
Donald Brown, Rustam Ibragimov and Johan Walden
Arbitrage in markets with bid-ask spreads pp. 453-475 Downloads
Przemysław Rola
Financial innovation and risk: the role of information pp. 477-502 Downloads
Roberto Piazza
Optimal investment in multidimensional Markov-modulated affine models pp. 503-530 Downloads
Daniela Neykova, Marcos Escobar and Rudi Zagst

Volume 11, issue 2, 2015

Capital distribution and portfolio performance in the mean-field Atlas model pp. 151-198 Downloads
Benjamin Jourdain and Julien Reygner
Dynamic optimal capital structure with regime switching pp. 199-220 Downloads
Robert Elliott and Jia Shen
Diversified minimum-variance portfolios pp. 221-241 Downloads
Guillaume Coqueret
Quadratic minimization with portfolio and terminal wealth constraints pp. 243-282 Downloads
Andrew Heunis
Variance matters (in stochastic dividend discount models) pp. 283-295 Downloads
Arianna Agosto and Enrico Moretto

Volume 11, issue 1, 2015

Asset pricing theory for two price economies pp. 1-35 Downloads
Dilip Madan
Dynamic portfolio selection with mispricing and model ambiguity pp. 37-75 Downloads
Bo Yi, Frederi Viens, Baron Law and Zhongfei Li
Noisy information and the size effect in stock returns pp. 77-107 Downloads
Joel Vanden
The demonetization of gold: transactions and the change in control pp. 109-149 Downloads
Thomas Quint and Martin Shubik

Volume 10, issue 4, 2014

Stability of marketable payoffs with long-term assets pp. 523-552 Downloads
Jean-Marc Bonnisseau and Achis Chery
Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes? pp. 553-568 Downloads
Michael Grabchak
Legal enforcement, default and heterogeneity of project-financing contracts pp. 569-602 Downloads
Gabriel Madeira
Runs, panics and bubbles: Diamond–Dybvig and Morris–Shin reconsidered pp. 603-622 Downloads
Eric Smith and Martin Shubik
Financial soundness indicators and financial crisis episodes pp. 623-669 Downloads
Maria Kasselaki and Athanasios Tagkalakis

Volume 10, issue 3, 2014

The equity premium: a deeper puzzle pp. 347-373 Downloads
Francisco Azeredo
Managerial ownership with rent-seeking employees pp. 375-394 Downloads
Linus Wilson
Hidden persistent disasters and asset prices pp. 395-418 Downloads
Masataka Suzuki
Portfolio management with stochastic interest rates and inflation ambiguity pp. 419-455 Downloads
Claus Munk and Alexey Rubtsov
The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market pp. 457-480 Downloads
Marcelo Perlin, Alfonso Dufour and Chris Brooks
Will banning naked CDS impact bond prices? pp. 481-508 Downloads
Agostino Capponi and Martin Larsson
Pricing of discount bonds with a Markov switching regime pp. 509-522 Downloads
Robert Elliott and Katsumasa Nishide

Volume 10, issue 2, 2014

Implied cost of capital investment strategies: evidence from international stock markets pp. 171-195 Downloads
Florian Esterer and David Schröder
Asset pricing and the role of macroeconomic volatility pp. 197-215 Downloads
Stefano d’Addona and Christos Giannikos
International monetary transmission with bank heterogeneity and default risk pp. 217-241 Downloads
Tsvetomira Tsenova
Robust portfolio choice with stochastic interest rates pp. 243-265 Downloads
Christian Flor and Linda Larsen
A hierarchical agency model of deposit insurance pp. 267-290 Downloads
Jonathan Carroll and Shino Takayama
On a class of diverse market models pp. 291-314 Downloads
Andrey Sarantsev
Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process pp. 315-332 Downloads
Farzad Fard and Ning Rong
Gaussian and logistic adaptations of smoothed safety first pp. 333-345 Downloads
M. Haley

Volume 10, issue 1, 2014

Multi-firm voluntary disclosures for correlated operations pp. 1-45 Downloads
Miles Gietzmann and Adam Ostaszewski
Optimal loan-to-value ratio and the efficiency gains of default pp. 47-69 Downloads
Li Lin
Two price economies in continuous time pp. 71-100 Downloads
Ernst Eberlein, Dilip Madan, Martijn Pistorius, Wim Schoutens and Marc Yor
Generalized volatility-stabilized processes pp. 101-125 Downloads
Radka Picková
Pricing and hedging basis risk under no good deal assumption pp. 127-170 Downloads
L. Carassus and E. Temam

Volume 9, issue 4, 2013

Pension fund taxation and risk-taking: should we switch from the EET to the TEE regime? pp. 573-588 Downloads
Katarzyna Romaniuk
A semi-Markov approach to the stock valuation problem pp. 589-610 Downloads
Guglielmo D’Amico
Absence of arbitrage in a general framework pp. 611-624 Downloads
Hasanjan Sayit
A decision-theoretic model of asset-price underreaction and overreaction to dividend news pp. 625-665 Downloads
Alexander Ludwig and Alexander Zimper
IPO activity and information in secondary market prices pp. 667-687 Downloads
Silvia Rossetto
Optimal investment, consumption–leisure, insurance and retirement choice pp. 689-723 Downloads
Ryle Perera
Continuous equilibrium in affine and information-based capital asset pricing models pp. 725-755 Downloads
Ulrich Horst, Michael Kupper, Andrea Macrina and Christoph Mainberger
Measures of systemic risk and financial fragility in Korea pp. 757-786 Downloads
Jong Lee, Jaemin Ryu and Dimitrios Tsomocos
Negative call prices pp. 787-794 Downloads
Johannes Ruf

Volume 9, issue 3, 2013

Would emerging market pension funds benefit from international diversification: investigating wealth accumulations for pension participants pp. 319-335 Downloads
Ajantha Kumara and Wade Pfau
Dynamic capital structure and the contingent capital option pp. 337-364 Downloads
Emilio Barucci and Luca Del Viva
Informed short sales and option introductions pp. 365-382 Downloads
Benjamin Blau
Technological advances and the decision to invest pp. 383-420 Downloads
Christian Flor and Simon Hansen
Pricing and managing risks of European-style options in a Markovian regime-switching binomial model pp. 421-438 Downloads
Farzad Fard and Tak Kuen Siu
A second-order stock market model pp. 439-454 Downloads
Robert Fernholz, Tomoyuki Ichiba and Ioannis Karatzas
Regime-switching measure of systemic financial stress pp. 455-470 Downloads
Azamat Abdymomunov
Predicting rating changes for banks: how accurate are accounting and stock market indicators? pp. 471-500 Downloads
Isabelle Distinguin, Iftekhar Hasan and Amine Tarazi
Identifying the determinants of mortgage default in Colombia between 1997 and 2004 pp. 501-518 Downloads
Juan Esteban Carranza and Dairo Estrada
Financial fragility in a general equilibrium model: the Brazilian case pp. 519-541 Downloads
Benjamin Tabak, Daniel Cajueiro and Dimas Fazio
First steps towards an equilibrium theory for Lévy financial markets pp. 543-572 Downloads
Frederik Herzberg

Volume 9, issue 2, 2013

Introduction: behavioral and evolutionary finance pp. 115-119 Downloads
Igor Evstigneev, Klaus Schenk-Hoppé and William Ziemba
Asset market games of survival: a synthesis of evolutionary and dynamic games pp. 121-144 Downloads
Rabah Amir, Igor Evstigneev and Klaus Schenk-Hoppé
Taming animal spirits: risk management with behavioural factors pp. 145-166 Downloads
Grzegorz Andruszkiewicz, Mark Davis and Sebastien Lleo
Risk classes for structured products: mathematical aspects and their implications on behavioral investors pp. 167-183 Downloads
Ji Cao and Marc Rieger
An evolutionary CAPM under heterogeneous beliefs pp. 185-215 Downloads
Carl Chiarella, Roberto Dieci, Xuezhong He and Kai Li
Inference for systems of stochastic differential equations from discretely sampled data: a numerical maximum likelihood approach pp. 217-248 Downloads
Thomas Lux
Currency returns, market regimes and behavioral biases pp. 249-269 Downloads
Leonard MacLean, Yonggan Zhao and William Ziemba
Utilities bounded below pp. 271-289 Downloads
Roman Muraviev and Leonard Rogers
Optimal portfolio choice for a behavioural investor in continuous-time markets pp. 291-318 Downloads
Miklós Rásonyi and Andrea Rodrigues

Volume 9, issue 1, 2013

Introduction to the symposium pp. 1-4 Downloads
Gabriele Camera and Todd Keister
Pricing of payment cards, competition, and efficiency: a possible guide for SEPA pp. 5-25 Downloads
Wilko Bolt and Heiko Schmiedel
Editorial note pp. 27-27 Downloads
Anne Villamil
Liquidity-saving mechanisms in collateral-based RTGS payment systems pp. 29-60 Downloads
Marius Jurgilas and Antoine Martin
Interlinkages between payment and securities settlement systems pp. 61-81 Downloads
David Mills and Samia Husain
Private payment systems, collateral, and interest rates pp. 83-114 Downloads
Charles Kahn
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