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

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 F. 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 T. 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

Volume 17, issue 4, 2021

Deposit insurance and reinsurance pp. 425-470

Volker Britz, Hans Gersbach and Hans Haller

Economic profitability and (non)additivity of residual income pp. 471-499

Carlo Alberto Magni

Model uncertainty on commodity portfolios, the role of convenience yield pp. 501-528

Junhe Chen and Marcos Escobar-Anel

Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging pp. 529-558

Nicholas Salmon and Indranil SenGupta

Welfare implications of mitigating investment uncertainty pp. 559-582

Takayuki Ogawa and Jun Sakamoto

Volume 17, issue 3, 2021

On the money creation approach to banking pp. 265-318

Salomon Faure and Hans Gersbach

Systemic risk measurement: bucketing global systemically important banks pp. 319-351

Marina Brogi, Valentina Lagasio and Luca Riccetti

Birds of a feather: separating spillovers from shocks in sovereign default pp. 353-378

Ryan Rudderham

Valuation of R&D compound option using Markov chain approach pp. 379-404

Guglielmo D’Amico and Giovanni Villani

A stock market model based on CAPM and market size pp. 405-424

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

Joel M. Vanden

On modifications of the Bachelier model pp. 187-214

Alexander Melnikov and Hongxi Wan

Revisiting the link between financial development and industrialization: evidence from low and middle income countries pp. 215-230

Gouthami Kothakapa, Samyukta Bhupatiraju and Rahul A. Sirohi

A volatility smile-based uncertainty index pp. 231-246

José Valentim Machado Vicente and Jaqueline Terra Moura Marins

Panel data modeling of bank deposits pp. 247-264

Sofia Costa, Marta Faias, Pedro Júdice and Pedro Mota

Volume 17, issue 1, 2021

The Shapley value decomposition of optimal portfolios pp. 1-25

Haim Shalit

Two price economic equilibria and financial market bid/ask prices pp. 27-43

Robert J. Elliott, Dilip B. Madan and Tak Kuen Siu

Learning from prices: information aggregation and accumulation in an asset market pp. 45-77

Michele Berardi

Heterogeneous beliefs, monetary policy, and stock price volatility pp. 79-125

Katsuhiro Oshima

Bank default indicators with volatility clustering pp. 127-151

Turalay Kenc, Emrah Çevik and Selahattin Dibooglu