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Annals of Finance

2005 - 2022

Current editor(s): Anne Villamil

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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

Volume 16, issue 4, 2020

The role of market efficiency on implied cost of capital estimates: an international perspective pp. 463-499 Downloads
David Schröder
Internal financing, managerial compensation and multiple tasks pp. 501-527 Downloads
Sandro Brusco and Fausto Panunzi
Relative growth optimal strategies in an asset market game pp. 529-546 Downloads
Yaroslav Drokin and Mikhail Zhitlukhin
Proper measures of connectedness pp. 547-571 Downloads
Mario Maggi, Maria-Laura Torrente and Pierpaolo Uberti
Leakage of rank-dependent functionally generated trading strategies pp. 573-591 Downloads
Kangjianan Xie
An evolutionary finance model with a risk-free asset pp. 593-607 Downloads
Sergei Belkov, Igor V. Evstigneev and Thorsten Hens

Volume 16, issue 3, 2020

Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models pp. 307-351 Downloads
J. Lars Kirkby and Duy Nguyen
Development banking under weak institutions and imperfect credit markets pp. 353-380 Downloads
Reynaldo Senra Hodelin
The price leadership share: a new measure of price discovery in financial markets pp. 381-405 Downloads
Riccardo De Blasis
Optimal compensation and investment affected by firm size and time-varying external factors pp. 407-422 Downloads
Chong Lai, Rui Li and Yonghong Wu
Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs pp. 423-433 Downloads
Martin Brown and Tomasz Zastawniak
Forecasting volatility in bitcoin market pp. 435-462 Downloads
Mawuli Segnon and Stelios Bekiros

Volume 16, issue 2, 2020

Deposit insurance and the coexistence of commercial and shadow banks pp. 159-194 Downloads
Stephen F. LeRoy and Rish Singhania
A computable general equilibrium model for banking sector risk assessment in South Africa pp. 195-218 Downloads
Conrad F. J. Beyers, Allan Freitas, Kojo A. Essel-Mensah, Reyno Seymore and Dimitrios Tsomocos
Transparency and market discipline: evidence from the Russian interbank market pp. 219-251 Downloads
François Guillemin and Maria Semenova
Optimal trading of a basket of futures contracts pp. 253-280 Downloads
Bahman Angoshtari and Tim Leung
The impact of financial crises on the environment in developing countries pp. 281-306 Downloads
Joao Jalles

Volume 16, issue 1, 2020

A new approach to the rational expectations equilibrium: existence, optimality and incentive compatibility pp. 1-61 Downloads
Luciano I. Castro, Marialaura Pesce and Nicholas C. Yannelis
Maximizing expected exponential utility of consumption with a constraint on expected time in poverty pp. 63-99 Downloads
Dongchen Li and Virginia R. Young
Asian options pricing in Hawkes-type jump-diffusion models pp. 101-119 Downloads
Riccardo Brignone and Carlo Sgarra
Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing pp. 121-139 Downloads
Michael Roberts and Indranil SenGupta
Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules pp. 141-157 Downloads
Vincenzo Russo, Valentina Lagasio, Marina Brogi and Frank J. Fabozzi

Volume 15, issue 4, 2019

Momentum and reversal in financial markets with persistent heterogeneity pp. 455-487 Downloads
Giulio Bottazzi, Pietro Dindo and Daniele Giachini
Dynamic contagion in a banking system with births and defaults pp. 489-538 Downloads
Tomoyuki Ichiba, Michael Ludkovski and Andrey Sarantsev
Business-cycle pattern of asset returns: a general equilibrium explanation pp. 539-561 Downloads
Qiang Kang
Semi-nonparametric approximation and index options pp. 563-600 Downloads
Julia Jiang and Weidong Tian

Volume 15, issue 3, 2019

Optimal dynamic basis trading pp. 307-335 Downloads
Bahman Angoshtari and Tim Leung
Optimal demand in a mispriced asymmetric Carr–Geman–Madan–Yor (CGMY) economy pp. 337-368 Downloads
Winston Buckley and Sandun Perera
Optimal bailouts, bank’s incentive and risk pp. 369-399 Downloads
Marcella Lucchetta, Michele Moretto and Bruno M. Parigi
Cash flows risk, capital structure, and corporate bond yields pp. 401-420 Downloads
Berardino Palazzo
Dynamic portfolio strategies under a fully correlated jump-diffusion process pp. 421-453 Downloads
Marcos Escobar-Anel and Harold Moreno-Franco

Volume 15, issue 2, 2019

Correlation and coordination risk pp. 155-177 Downloads
Martin Geiger and Richard Hule
The role of household debt and delinquency decisions in consumption-based asset pricing pp. 179-203 Downloads
Paulo Rogério Faustino Matos
Relative performance concerns among investment managers pp. 205-231 Downloads
Mark Whitmeyer
Implied liquidity risk premia in option markets pp. 233-246 Downloads
Florence Guillaume, Gero Junike, Peter Leoni and Wim Schoutens
Change point dynamics for financial data: an indexed Markov chain approach pp. 247-266 Downloads
Guglielmo D’Amico, Ada Lika and Filippo Petroni
A switching self-exciting jump diffusion process for stock prices pp. 267-306 Downloads
Donatien Hainaut and Franck Moraux

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
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