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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 ().

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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 Downloads
Costanza Torricelli, Chiara Pederzoli and Fabio Ferrari
The (un)secured debt puzzle: evidence for U.S. public firms pp. 19-44 Downloads
Kizkitza Biguri
No arbitrage for a special class of filtration expansions pp. 45-68 Downloads
Karen Grigorian and Robert A. Jarrow
Option pricing in a sentiment-biased stochastic volatility model pp. 69-95 Downloads
Alessandra Cretarola, Gianna Figà-Talamanca and Marco Patacca
Group lending as a mechanism for self-insuring default risk pp. 97-106 Downloads
Andreas Krause

Volume 20, issue 4, 2024

Why do banks require minimum balance to avoid a fee? pp. 395-420 Downloads
Oz Shy
Approximation and asymptotics in the superhedging problem for binary options pp. 421-458 Downloads
Sergey Smirnov, Dimitri Sotnikov and Andrey Zanochkin
On the real rate of interest in a closed economy pp. 459-477 Downloads
Dilip B. Madan and King Wang
Science or scientism? On the momentum illusion pp. 479-519 Downloads
Klaus Grobys
Probability of no default for a microloan under uncertainty pp. 521-528 Downloads
Perpetual Andam Boiquaye and Philip Protter

Volume 20, issue 3, 2024

The effects of social media use by bank depositors pp. 289-300 Downloads
Jianglin Dennis Ding and George G. Pennacchi
A term structure interest rate model with the Brownian bridge lower bound pp. 301-328 Downloads
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 Downloads
Masahiro Handa, Noriyoshi Sakuma and Ryoichi Suzuki
Option pricing in the Heston model with physics inspired neural networks pp. 353-376 Downloads
Donatien Hainaut and Alex Casas
The profitability of interacting trading strategies from an ecological perspective pp. 377-394 Downloads
Kun Xing and Honggang Li

Volume 20, issue 2, 2024

Commodity cycles and financial instability in emerging economies pp. 167-197 Downloads
Mikhail Andreev, M. Udara Peiris, Alexander Shirobokov and Dimitrios Tsomocos
Natural disasters, public attention and changes in capital structure: international evidence pp. 199-238 Downloads
Balbinder Singh Gill
Welfare and bank risk-taking pp. 239-258 Downloads
Marcella Lucchetta
Asset pricing and hedging in financial markets with fixed and proportional transaction costs pp. 259-275 Downloads
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 Downloads
Hammad Siddiqi

Volume 20, issue 1, 2024

Affine Heston model style with self-exciting jumps and long memory pp. 1-43 Downloads
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 Downloads
Ludovico Maria Cocco, Elisa Cavezzali, Ugo Rigoni and Giorgia Simion
On certain representations of pricing functionals pp. 91-127 Downloads
Carlo Marinelli
Skewness-seeking behavior and financial investments pp. 129-165 Downloads
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 Downloads
Miles B. Gietzmann and Adam J. Ostaszewski
The value of expected return persistence pp. 449-476 Downloads
Wolfgang Schadner and Sebastian Lang
Nonparametric estimates of option prices via Hermite basis functions pp. 477-522 Downloads
Carlo Marinelli and Stefano d’Addona
Robustness and sensitivity analyses of rough Volterra stochastic volatility models pp. 523-543 Downloads
Jan Matas and Jan Pospíšil
What can monetary policy tell us about Bitcoin? pp. 545-559 Downloads
Marcin Pietrzak

Volume 19, issue 3, 2023

Co-jumps and recursive preferences in portfolio choices pp. 291-324 Downloads
Immacolata Oliva and Ilaria Stefani
A compositional analysis of systemic risk in European financial institutions pp. 325-354 Downloads
Anna Maria Fiori and Francesco Porro
Sentiment-based indicators of real estate market stress and systemic risk: international evidence pp. 355-382 Downloads
Mikhail Stolbov and Maria Shchepeleva
Analysis of fair fee in guaranteed lifelong withdrawal and Markovian health benefits pp. 383-400 Downloads
Guglielmo D’Amico, Shakti Singh and Dharmaraja Selvamuthu
The no-arbitrage pricing of non-traded assets pp. 401-418 Downloads
Robert Jarrow

Volume 19, issue 2, 2023

No-arbitrage conditions and pricing from discrete-time to continuous-time strategies pp. 141-168 Downloads
Dorsaf Cherif and Emmanuel Lépinette
Connectivity, centralisation and ‘robustness-yet-fragility’ of interbank networks pp. 169-200 Downloads
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 Downloads
Tristan Caballero-Montes
A behavioral approach to inconsistencies in intertemporal choices with the Analytic Hierarchy Process methodology pp. 233-264 Downloads
Viviana Ventre, Cruz Rambaud Salvador, Roberta Martino and Fabrizio Maturo
Drawdown risk measures for asset portfolios with high frequency data pp. 265-289 Downloads
Giovanni Masala and Filippo Petroni

Volume 19, issue 1, 2023

The valuation of corporations: a derivative pricing perspective pp. 1-21 Downloads
Dilip B. Madan and King Wang
The optimal financing of a conglomerate firm with hidden information and costly state verification pp. 23-62 Downloads
Rosa Ferrentino and Luca Vota
Uncertainty in firm valuation and a cross-sectional misvaluation measure pp. 63-93 Downloads
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 Downloads
Leslie Rodríguez-Valencia, Prosper Lamothe-Fernández and David Alaminos
Delta-hedging in fractional volatility models pp. 119-140 Downloads
Qi Zhao and Alexandra Chronopoulou

Volume 18, issue 4, 2022

Regulatory reform and banking diversity: reassessing Basel 3 pp. 429-456 Downloads
Giuliana Birindelli, Paola Ferretti, Giovanni Ferri and Marco Savioli
Some properties of portfolios constructed from principal components of asset returns pp. 457-483 Downloads
Thomas A. Severini
Bargaining power and renegotiation of small private debt contracts pp. 485-510 Downloads
José Valente, Mário Augusto and José Murteira
Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate pp. 511-544 Downloads
Yumo Zhang
Blind portfolios’ auctions in two-rounds pp. 545-552 Downloads
Lamprini Zarpala and Dimitrios Voliotis

Volume 18, issue 3, 2022

A portfolio choice problem under risk capacity constraint pp. 285-326 Downloads
Weidong Tian and Zimu Zhu
Two sided efficient frontiers at multiple time horizons pp. 327-353 Downloads
Dilip B. Madan and King Wang
Bank business models, negative policy rates, and prudential regulation pp. 355-392 Downloads
Roberto Savona
Rational pricing of leveraged ETF expense ratios pp. 393-418 Downloads
Alex Garivaltis
Dynamic optimal hedge ratio design when price and production are stochastic with jump pp. 419-428 Downloads
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 Downloads
Luciano de Castro, Antonio Galvao, Gabriel Montes-Rojas and Jose Olmo
Options on bonds: implied volatilities from affine short-rate dynamics pp. 183-216 Downloads
Matthew Lorig and Natchanon Suaysom
Derivatives-based portfolio decisions: an expected utility insight pp. 217-246 Downloads
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 Downloads
Michele Bufalo, Antonio Di Bari and Giovanni Villani
Bootstrap rolling-window Granger causality dynamics between momentum and sentiment: implications for investors pp. 267-283 Downloads
Mohamed Sahbi Nakhli, Abderrazak Dhaoui and Julien Chevallier

Volume 18, issue 1, 2022

Constrained dynamic futures portfolios with stochastic basis pp. 1-33 Downloads
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 Downloads
Katsushi Nakajima
Permutation-weighted portfolios and the efficiency of commodity futures markets pp. 81-108 Downloads
Ricardo Fernholz and Robert Fernholz
Performance of advanced stock price models when it becomes exotic: an empirical study pp. 109-119 Downloads
Gero Junike, Wim Schoutens and Hauke Stier
Optimal group size in microlending pp. 121-132 Downloads
Philip Protter and Alejandra Quintos
Page updated 2025-04-02