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Annals of Finance

2005 - 2023

Current editor(s): Anne Villamil

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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 F. 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 T. 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

Volume 17, issue 4, 2021

Deposit insurance and reinsurance pp. 425-470 Downloads
Volker Britz, Hans Gersbach and Hans Haller
Economic profitability and (non)additivity of residual income pp. 471-499 Downloads
Carlo Alberto Magni
Model uncertainty on commodity portfolios, the role of convenience yield pp. 501-528 Downloads
Junhe Chen and Marcos Escobar-Anel
Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging pp. 529-558 Downloads
Nicholas Salmon and Indranil SenGupta
Welfare implications of mitigating investment uncertainty pp. 559-582 Downloads
Takayuki Ogawa and Jun Sakamoto

Volume 17, issue 3, 2021

On the money creation approach to banking pp. 265-318 Downloads
Salomon Faure and Hans Gersbach
Systemic risk measurement: bucketing global systemically important banks pp. 319-351 Downloads
Marina Brogi, Valentina Lagasio and Luca Riccetti
Birds of a feather: separating spillovers from shocks in sovereign default pp. 353-378 Downloads
Ryan Rudderham
Valuation of R&D compound option using Markov chain approach pp. 379-404 Downloads
Guglielmo D’Amico and Giovanni Villani
A stock market model based on CAPM and market size pp. 405-424 Downloads
Brandon Flores, Blessing Ofori-Atta and Andrey Sarantsev

Volume 17, issue 2, 2021

Equilibrium asset pricing and the cross section of expected returns pp. 153-186 Downloads
Joel M. Vanden
On modifications of the Bachelier model pp. 187-214 Downloads
Alexander Melnikov and Hongxi Wan
Revisiting the link between financial development and industrialization: evidence from low and middle income countries pp. 215-230 Downloads
Gouthami Kothakapa, Samyukta Bhupatiraju and Rahul A. Sirohi
A volatility smile-based uncertainty index pp. 231-246 Downloads
José Valentim Machado Vicente and Jaqueline Terra Moura Marins
Panel data modeling of bank deposits pp. 247-264 Downloads
Sofia Costa, Marta Faias, Pedro Júdice and Pedro Mota

Volume 17, issue 1, 2021

The Shapley value decomposition of optimal portfolios pp. 1-25 Downloads
Haim Shalit
Two price economic equilibria and financial market bid/ask prices pp. 27-43 Downloads
Robert J. Elliott, Dilip B. Madan and Tak Kuen Siu
Learning from prices: information aggregation and accumulation in an asset market pp. 45-77 Downloads
Michele Berardi
Heterogeneous beliefs, monetary policy, and stock price volatility pp. 79-125 Downloads
Katsuhiro Oshima
Bank default indicators with volatility clustering pp. 127-151 Downloads
Turalay Kenc, Emrah Çevik and Selahattin Dibooglu
Page updated 2023-09-29