Annals of Finance

2005 - 2025

Current editor(s): Anne Villamil

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Volume 21, issue 2, 2025

Tailor-made strategies through different weight simulation of factor-based investing pp. 107-129

Catarina A. Ramos, Nuno C. Marques, Marta Faias and Hugo Santos

Foreign bank entry and performance of domestic SMEs: evidence from Korea pp. 131-162

Junyong Lee and Frederick Dongchuhl Oh

Local banking market structure and employment dynamics: evidence from US counties pp. 163-188

Amit Ghosh and Salvador Contreras

ESG asset demand with information costs pp. 189-209

Elisa Luciano and Antonella Tolomeo

Sanctions Induced Terms of Trade Shocks and the Role of Lean Against the Wind Policy pp. 211-242

Aleksandr Shirobokov

Volume 21, issue 1, 2025

Climate stress test: bad (or good) news for the market? An event study analisys on euro zone banks pp. 1-17

Costanza Torricelli, Chiara Pederzoli and Fabio Ferrari

The (un)secured debt puzzle: evidence for U.S. public firms pp. 19-44

Kizkitza Biguri

No arbitrage for a special class of filtration expansions pp. 45-68

Karen Grigorian and Robert Jarrow

Option pricing in a sentiment-biased stochastic volatility model pp. 69-95

Alessandra Cretarola, Gianna Figà-Talamanca and Marco Patacca

Group lending as a mechanism for self-insuring default risk pp. 97-106

Andreas Krause

Volume 20, issue 4, 2024

Why do banks require minimum balance to avoid a fee? pp. 395-420

Oz Shy

Approximation and asymptotics in the superhedging problem for binary options pp. 421-458

Sergey Smirnov, Dimitri Sotnikov and Andrey Zanochkin

On the real rate of interest in a closed economy pp. 459-477

Dilip B. Madan and King Wang

Science or scientism? On the momentum illusion pp. 479-519

Klaus Grobys

Probability of no default for a microloan under uncertainty pp. 521-528

Perpetual Andam Boiquaye and Philip Protter

Volume 20, issue 3, 2024

The effects of social media use by bank depositors pp. 289-300

Jianglin Dennis Ding and George G. Pennacchi

A term structure interest rate model with the Brownian bridge lower bound pp. 301-328

Kentaro Kikuchi

A Girsanov transformed Clark-Ocone-Haussmann type formula for $$L^1$$ L 1 -pure jump additive processes and its application to portfolio optimization pp. 329-352

Masahiro Handa, Noriyoshi Sakuma and Ryoichi Suzuki

Option pricing in the Heston model with physics inspired neural networks pp. 353-376

Donatien Hainaut and Alex Casas

The profitability of interacting trading strategies from an ecological perspective pp. 377-394

Kun Xing and Honggang Li

Volume 20, issue 2, 2024

Commodity cycles and financial instability in emerging economies pp. 167-197

Mikhail Andreev, Udara Peiris, Alexander Shirobokov and Dimitrios Tsomocos

Natural disasters, public attention and changes in capital structure: international evidence pp. 199-238

Balbinder Singh Gill

Welfare and bank risk-taking pp. 239-258

Marcella Lucchetta

Asset pricing and hedging in financial markets with fixed and proportional transaction costs pp. 259-275

Esmaeil Babaei

Strict certainty preference in the predictive brain: a new perspective on financial innovations and their role in the real economy pp. 277-287

Hammad Siddiqi

Volume 20, issue 1, 2024

Affine Heston model style with self-exciting jumps and long memory pp. 1-43

Charles Guy Njike Leunga and Donatien Hainaut

How does soft information on the causes of default affect debt renegotiation? The Italian evidence pp. 45-89

Ludovico Maria Cocco, Elisa Cavezzali, Ugo Rigoni and Giorgia Simion

On certain representations of pricing functionals pp. 91-127

Carlo Marinelli

Skewness-seeking behavior and financial investments pp. 129-165

Matteo Benuzzi and Matteo Ploner

Volume 19, issue 4, 2023

The kind of silence: managing a reputation for voluntary disclosure in financial markets pp. 419-447

Miles B. Gietzmann and Adam J. Ostaszewski

The value of expected return persistence pp. 449-476

Wolfgang Schadner and Sebastian Lang

Nonparametric estimates of option prices via Hermite basis functions pp. 477-522

Carlo Marinelli and Stefano d’Addona

Robustness and sensitivity analyses of rough Volterra stochastic volatility models pp. 523-543

Jan Matas and Jan Pospíšil

What can monetary policy tell us about Bitcoin? pp. 545-559

Marcin Pietrzak

Volume 19, issue 3, 2023

Co-jumps and recursive preferences in portfolio choices pp. 291-324

Immacolata Oliva and Ilaria Stefani

A compositional analysis of systemic risk in European financial institutions pp. 325-354

Anna Maria Fiori and Francesco Porro

Sentiment-based indicators of real estate market stress and systemic risk: international evidence pp. 355-382

Mikhail Stolbov and Maria Shchepeleva

Analysis of fair fee in guaranteed lifelong withdrawal and Markovian health benefits pp. 383-400

Guglielmo D’Amico, Shakti Singh and Dharmaraja Selvamuthu

The no-arbitrage pricing of non-traded assets pp. 401-418

Robert Jarrow

Volume 19, issue 2, 2023

No-arbitrage conditions and pricing from discrete-time to continuous-time strategies pp. 141-168

Dorsaf Cherif and Emmanuel Lépinette

Connectivity, centralisation and ‘robustness-yet-fragility’ of interbank networks pp. 169-200

Mario Eboli, Bulent Ozel, Andrea Teglio and Andrea Toto

Integrating market conditions into regulatory decisions on microfinance interest rates: does competition matter? pp. 201-232

Tristan Caballero-Montes

A behavioral approach to inconsistencies in intertemporal choices with the Analytic Hierarchy Process methodology pp. 233-264

Viviana Ventre, Cruz Rambaud Salvador, Roberta Martino and Fabrizio Maturo

Drawdown risk measures for asset portfolios with high frequency data pp. 265-289

Giovanni Masala and Filippo Petroni

Volume 19, issue 1, 2023

The valuation of corporations: a derivative pricing perspective pp. 1-21

Dilip B. Madan and King Wang

The optimal financing of a conglomerate firm with hidden information and costly state verification pp. 23-62

Rosa Ferrentino and Luca Vota

Uncertainty in firm valuation and a cross-sectional misvaluation measure pp. 63-93

Giulio Bottazzi, Francesco Cordoni, Giulia Livieri and Stefano Marmi

The market value of SMEs: a comparative study between private and listed firms in alternative stock markets pp. 95-117

Leslie Rodríguez-Valencia, Prosper Lamothe-Fernández and David Alaminos

Delta-hedging in fractional volatility models pp. 119-140

Qi Zhao and Alexandra Chronopoulou

Volume 18, issue 4, 2022

Regulatory reform and banking diversity: reassessing Basel 3 pp. 429-456

Giuliana Birindelli, Paola Ferretti, Giovanni Ferri and Marco Savioli

Some properties of portfolios constructed from principal components of asset returns pp. 457-483

Thomas A. Severini

Bargaining power and renegotiation of small private debt contracts pp. 485-510

José Valente, Mário Augusto and José Murteira

Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate pp. 511-544

Yumo Zhang

Blind portfolios’ auctions in two-rounds pp. 545-552

Lamprini Zarpala and Dimitrios Voliotis

Volume 18, issue 3, 2022

A portfolio choice problem under risk capacity constraint pp. 285-326

Weidong Tian and Zimu Zhu

Two sided efficient frontiers at multiple time horizons pp. 327-353

Dilip B. Madan and King Wang

Bank business models, negative policy rates, and prudential regulation pp. 355-392

Roberto Savona

Rational pricing of leveraged ETF expense ratios pp. 393-418

Alex Garivaltis

Dynamic optimal hedge ratio design when price and production are stochastic with jump pp. 419-428

Nyassoke Titi Gaston Clément, Jules Sadefo Kamdem and Fono Louis Aimé

Volume 18, issue 2, 2022

Portfolio selection in quantile decision models pp. 133-181

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

Options on bonds: implied volatilities from affine short-rate dynamics pp. 183-216

Matthew Lorig and Natchanon Suaysom

Derivatives-based portfolio decisions: an expected utility insight pp. 217-246

Marcos Escobar-Anel, Matt Davison and Yichen Zhu

Multi-stage real option evaluation with double barrier under stochastic volatility and interest rate pp. 247-266

Michele Bufalo, Antonio Di Bari and Giovanni Villani

Bootstrap rolling-window Granger causality dynamics between momentum and sentiment: implications for investors pp. 267-283

Mohamed Sahbi Nakhli, Abderrazak Dhaoui and Julien Chevallier

Volume 18, issue 1, 2022

Constrained dynamic futures portfolios with stochastic basis pp. 1-33

Xiaodong Chen, Tim Leung and Yang Zhou

Equilibrium pricing of commodity spot and forward under incomplete markets with implications on convenience yield pp. 35-80

Katsushi Nakajima

Permutation-weighted portfolios and the efficiency of commodity futures markets pp. 81-108

Ricardo Fernholz and Robert Fernholz

Performance of advanced stock price models when it becomes exotic: an empirical study pp. 109-119

Gero Junike, Wim Schoutens and Hauke Stier

Optimal group size in microlending pp. 121-132

Philip Protter and Alejandra Quintos