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Annals of Finance

2005 - 2018

Current editor(s): Anne Villamil

From Springer
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Volume 14, issue 2, 2018

Regulation, supervision and deposit insurance for financial cooperatives: an empirical investigation pp. 143-193 Downloads
Amr Khafagy
Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes pp. 195-209 Downloads
Vladislav Krasin, Ivan Smirnov and Alexander Melnikov
Financial equilibrium with non-linear valuations pp. 211-221 Downloads
Dilip B. Madan
On the implied market price of risk under the stochastic numéraire pp. 223-251 Downloads
Nikolai Dokuchaev
Asset market equilibrium with liquidity risk pp. 253-288 Downloads
Robert Jarrow

Volume 14, issue 1, 2018

Venture capital and underpricing: capacity constraints and early sales pp. 1-47 Downloads
Roberto Pinheiro
Systemic risk in Europe: deciphering leading measures, common patterns and real effects pp. 49-91 Downloads
Mikhail Stolbov and Maria Shchepeleva
Barrier style contracts under Lévy processes once again pp. 93-103 Downloads
José Fajardo
Business cycles, financial cycles and capital structure pp. 105-123 Downloads
Haitham Al-Zoubi, Jennifer A. O’Sullivan and Abdulaziz M. Alwathnani
Can VPIN forecast geopolitical events? Evidence from the 2014 Crimean Crisis pp. 125-141 Downloads
Felipe Bastos G. Silva and Ekaterina Volkova

Volume 13, issue 4, 2017

Counterparty risk, central counterparty clearing and aggregate risk pp. 355-400 Downloads
Binbin Deng
Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index pp. 401-434 Downloads
Aziz Issaka and Indranil SenGupta
Stock markets fragmentation, volatility and final investors pp. 435-451 Downloads
Cécile Bastidon
The dampening effect of iceberg orders on small traders’ welfare pp. 453-484 Downloads
Laura Delaney and Polina Kovaleva

Volume 13, issue 3, 2017

Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise pp. 237-251 Downloads
Chiara Pederzoli and Costanza Torricelli
Investment, agency conflicts, debt maturity, and loan guarantees by negotiation pp. 253-271 Downloads
Liu Gan and Zhaojun Yang
An empirical analysis of organized crime, corruption and economic growth pp. 273-298 Downloads
Kyriakos Neanidis, Maria Paola Rana and Keith Blackburn
Quadratic minimization with portfolio and intertemporal wealth constraints pp. 299-340 Downloads
Dian Zhu and Andrew J. Heunis
K-fold cross validation performance comparisons of six naive portfolio selection rules: how naive can you be and still have successful out-of-sample portfolio performance? pp. 341-353 Downloads
M. Ryan Haley

Volume 13, issue 2, 2017

Novel advancements in the Markov chain stock model: analysis and inference pp. 125-152 Downloads
Vlad Stefan Barbu, Guglielmo D’Amico and Riccardo Blasis
Financial market globalization, nonconvergence and credit cycles pp. 153-180 Downloads
Wai-Hong Ho
Optimal mean-reverting spread trading: nonlinear integral equation approach pp. 181-203 Downloads
Yerkin Kitapbayev and Tim Leung
The determinants of MFIs’ social and financial performances in sub-Saharan Africa: has mission drift occurred? pp. 205-235 Downloads
Wassini Arrassen

Volume 13, issue 1, 2017

A simple efficient approximation to price basket stock options with volatility smile pp. 1-29 Downloads
Ping Wu and Robert J. Elliott
Banking competition and welfare pp. 31-53 Downloads
Marcella Lucchetta
Does the Hurst index matter for option prices under fractional volatility? pp. 55-74 Downloads
Hideharu Funahashi and Masaaki Kijima
Threat of termination and firm innovation pp. 75-95 Downloads
Shahbaz Sheikh
Portfolio selections under mean-variance preference with multiple priors for means and variances pp. 97-124 Downloads
Yuki Shigeta

Volume 12, issue 3, 2016

Credit risk analysis with creditor’s option to extend maturities pp. 275-304 Downloads
Ryoichi Ikeda and Yoske Igarashi
Adapted hedging pp. 305-334 Downloads
Dilip B. Madan
Smooth investment pp. 335-361 Downloads
Kenneth Bruhn, Ninna Reitzel Jensen and Mogens Steffensen
Intragroup transfers, intragroup diversification and their risk assessment pp. 363-392 Downloads
Andreas Haier, Ilya Molchanov and Michael Schmutz
Impact of risk aversion and countervailing tax in oligopoly pp. 393-408 Downloads
Jim Y. Jin and Shinji Kobayashi
Benchmark-based evaluation of portfolio performance: a characterization pp. 409-440 Downloads
Aleksandr G. Alekseev and Mikhail Sokolov
Sequential payments and optimal pricing in payment systems pp. 441-463 Downloads
Tomohiro Ota

Volume 12, issue 2, 2016

Relative asset price bubbles pp. 135-160 Downloads
Roseline Bilina Falafala, Robert Jarrow and Philip Protter
Monetary policy games, financial instability and incomplete information pp. 161-178 Downloads
Charles Richard Barrett, Ioanna Kokores and Somnath Sen
A nonparametric approach to measuring the sensitivity of an asset’s return to the market pp. 179-199 Downloads
Thomas A. Severini
Benchmarking in two price financial markets pp. 201-219 Downloads
Dilip B. Madan
How suboptimal are linear sharing rules? pp. 221-243 Downloads
Bjarne Astrup Jensen and Jørgen Aase Nielsen
Optimal capital structures for private firms pp. 245-273 Downloads
Joel M. Vanden

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 Anel 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
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