Annals of Finance
2005 - 2025
Current editor(s): Anne Villamil From Springer Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing (). Access Statistics for this journal.
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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 A. 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, M. 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
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