Economics at your fingertips  

Annals of Finance

2005 - 2019

Current editor(s): Anne Villamil

From Springer
Bibliographic data for series maintained by Sonal Shukla ().

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 15, issue 1, 2019

Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics pp. 1-28 Downloads
Tim Leung and Zheng Wang
Conic asset pricing and the costs of price fluctuations pp. 29-58 Downloads
Dilip B. Madan and Wim Schoutens
Extreme-strike asymptotics for general Gaussian stochastic volatility models pp. 59-101 Downloads
Archil Gulisashvili, Frederi Viens and Xin Zhang
Endogenous heterogeneity in duopoly with deterministic one-way spillovers pp. 103-123 Downloads
Adriana Gama, Isabelle Maret and Virginie Masson
Vanishing central bank intervention in stochastic impulse control pp. 125-153 Downloads
Gregory Gagnon

Volume 14, issue 4, 2018

Inconspicuousness and obfuscation: how large shareholders dynamically manipulate output and information for trading purposes pp. 429-464 Downloads
Bart Taub
Debt financing in private and public firms pp. 465-487 Downloads
Kim Huynh, Teodora Paligorova and Robert Petrunia
Option pricing under fast-varying and rough stochastic volatility pp. 489-516 Downloads
Josselin Garnier and Knut Sølna
On relative performance, remuneration and risk taking of asset managers pp. 517-545 Downloads
Emilio Barucci, Gaetano Bua and Daniele Marazzina
Analysis of the SRISK measure and its application to the Canadian banking and insurance industries pp. 547-570 Downloads
Thomas F. Coleman, Alex LaPlante and Alexey Rubtsov
Correction to: Analysis of the SRISK measure and its application to the Canadian banking and insurance industries pp. 571-572 Downloads
Thomas F. Coleman, Alex LaPlante and Alexey Rubtsov

Volume 14, issue 3, 2018

The pricing kernel puzzle: survey and outlook pp. 289-329 Downloads
Horatio Cuesdeanu and Jens Carsten Jackwerth
How does competition affect real earnings management to meet or beat targets? Evidence from import tariff reductions pp. 331-342 Downloads
Alex Young
A nonparametric quantity-of-quality approach to assessing financial asset return performance pp. 343-351 Downloads
M. Ryan Haley
Bubbles, growth and imperfection of credit market in a two-country model pp. 353-377 Downloads
Ryosuke Shimizu
What determines the share of non-resident public debt ownership? Evidence from Euro Area countries pp. 379-414 Downloads
Joao Jalles
Modeling the inconsistency in intertemporal choice: the generalized Weibull discount function and its extension pp. 415-426 Downloads
Salvador Cruz Rambaud, Isabel González Fernández and Viviana Ventre
Correction to: Modeling the inconsistency in intertemporal choice: the generalized Weibull discount function and its extension pp. 427-427 Downloads
Salvador Cruz Rambaud, Isabel González Fernández and Viviana Ventre

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
Page updated 2019-03-20