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Annals of Finance

2005 - 2014

Current editor(s): C.D. Aliprantis

from Springer
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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 Riis 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 Panayotis 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 Sisira Kumara and Wade Donald 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 McKay Blau
Technological advances and the decision to invest pp. 383-420 Downloads
Christian Riis 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 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 Carranza and Dairo Estrada
Financial fragility in a general equilibrium model: the Brazilian case pp. 519-541 Downloads
Benjamin Miranda Tabak, Daniel Oliveira Cajueiro and Dimas Mateus Fazio
First steps towards an equilibrium theory for Lévy financial markets pp. 543-572 Downloads
Frederik S. Herzberg

Volume 9, issue 2, 2013

Introduction: behavioral and evolutionary finance pp. 115-119 Downloads
Igor V. Evstigneev, Klaus Reiner Schenk-Hoppé and William Ziemba
Asset market games of survival: a synthesis of evolutionary and dynamic games pp. 121-144 Downloads
Rabah AMIR, Igor V. Evstigneev and Klaus Reiner Schenk-Hoppé
Taming animal spirits: risk management with behavioural factors pp. 145-166 Downloads
Grzegorz Andruszkiewicz, Mark Davis and Sébastien 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 C G 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 C. Mills and Samia Husain
Private payment systems, collateral, and interest rates pp. 83-114 Downloads
Charles Milton Kahn

Volume 8, issue 4, 2012

More punishment, less default? pp. 427-454 Downloads
Erwan Quintin
On Ponzi schemes in infinite horizon collateralized economies with default penalties pp. 455-488 Downloads
V. Filipe Martins-da-Rocha and Yiannis Vailakis
A two price theory of financial equilibrium with risk management implications pp. 489-505 Downloads
Dilip Madan
The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices pp. 507-531 Downloads
Gonçalo Faria and Joao Correia-da-Silva
On the necessity of five risk measures pp. 533-552 Downloads
Dominique Madeleine GUEGAN and Wayne Tarrant
Are performance measures equally stable? pp. 553-570 Downloads
Giovanna Menardi and Francesco Lisi

Volume 8, issue 2, 2012

Symposium on stochastic volatility: an introductory overview pp. 151-157 Downloads
Frederi Viens
Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations pp. 159-181 Downloads
Roger Lee and Dan Wang
Option pricing under a stressed-beta model pp. 183-203 Downloads
Jean-Pierre Fouque and Adam Tashman
Stochastic volatility and stochastic leverage pp. 205-233 Downloads
Almut E. D. Veraart and Luitgard Veraart
A Gaussian calculus for inference from high frequency data pp. 235-258 Downloads
Per Mykland
Implied and realized volatility: empirical model selection pp. 259-275 Downloads
Lan Zhang
Level changes in volatility models pp. 277-308 Downloads
Mihaela Craioveanu and Eric Hillebrand
Statistical estimation of Lévy-type stochastic volatility models pp. 309-335 Downloads
José Figueroa-López
Affine fractional stochastic volatility models pp. 337-378 Downloads
F. Comte, L. Coutin and E. Renault
Estimation and pricing under long-memory stochastic volatility pp. 379-403 Downloads
Alexandra Chronopoulou and Frederi Viens
Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility pp. 405-425 Downloads
Ha-Young Kim and Frederi Viens

Volume 8, issue 1, 2012

Signing trades and an evaluation of the Lee–Ready algorithm pp. 1-13 Downloads
Marcel Blais and Philip Protter
Conditions for rational investment short-termism pp. 15-29 Downloads
George Christodoulakis
Testing the local volatility assumption: a statistical approach pp. 31-48 Downloads
Mark Podolskij and Mathieu Rosenbaum
Analysing financial contagion and asymmetric market dependence with volatility indices via copulas pp. 49-74 Downloads
Yue Peng and Wing Ng
Strategic asset allocation with switching dependence pp. 75-96 Downloads
Donatien Hainaut and Renaud MacGilchrist
Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios pp. 97-122 Downloads
Ba Chu
VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors pp. 123-150 Downloads
Page updated 2014-10-01