Annals of Finance

2005 - 2026

Current editor(s): Anne Villamil

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Risk minimization for markets driven by pure-jump additive processes via Malliavin–Mancino–Taylor type formula pp. 1-40: Yunosuke Mukai, Ryoichi Suzuki and Nino Nagata
Markov-Modulated ESG Rating Dynamics under Exogenous Environmental Regimes pp. 1-22: Lucianna Cananà and Salvatore Vergine
Kelly trading and expected utility pp. 1-22: Hans-Peter Bermin
An effective interest rate cap: a clarification pp. 1-39: Mikhail Sokolov

The value of information flows in the stock market pp. 1-41: Hai Duong and Bart Taub
When Harry met Kelly: an overlooked result in the classical theory of optimal capital growth pp. 1-28: Richard Watt
Measuring global financial stress: is there any role for large language models? pp. 1-22: Mikhail Stolbov and Maria Shchepeleva
Risk averse asset allocation in a context of climate change with reinforcement learning and hidden Markov models pp. 1-31: Etienne Raynal and Stéphane Loisel
Relative Arbitrage Opportunities in an Extended Mean Field System pp. 1-38: Nicole Tianjiao Yang and Tomoyuki Ichiba
Onflow: a model free, online portfolio allocation algorithm robust to transaction fees pp. 1-26: Gabriel Turinici and Pierre Brugiere
How to effectively protect the interests of small and medium-sized investors in transitional economies: empirical evidence based on China’s mixed ownership reform pp. 1-34: Jianxiong Hu
A Markov Process Model of Joint Liability and Loan Repayment for Sustainable Microfinance pp. 1-23: Perpetual Andam Boiquaye, Edward Korveh and Samuel Asante Gyamerah
Group survival probability under contagion in microlending pp. 1-21: Héctor Jasso-Fuentes, Alejandra Quintos and Xinta Yang

Investor determined dividend policies pp. 391-413: Dilip B. Madan and King Wang
An interval-valued extension of the internal rate of return pp. 415-433: Mikhail Sokolov and Ekaterina V. Polyakova
A lattice-based algorithm for pricing derivatives in a fractional Brownian motion framework pp. 435-458: Massimo Costabile, Ivar Massabó, Emilio Russo and Alessandro Staino
On the relationship between financial constraints and firm owners’ gender: does Sub-Saharan Africa mirror other regions? pp. 459-494: Elizabeth Asiedu, Divine Mawusi Fiave and Alexander Opoku
A new conceptual framework for SME financing and green performance and support in EU27 pp. 495-527: Marco Marozzi

Out-of-sample equity premium prediction: A voting approach to forecast combination pp. 243-281: Hyder Ali and Salma Naz
Risk-asymmetry indices in Europe pp. 283-316: Elyas Elyasiani, Luca Gambarelli and Silvia Muzzioli
The market price of greenness: a factor pricing approach for green and conventional bonds pp. 317-350: Beatrice Bertelli, Gianna Boero and Costanza Torricelli
Bank competition, financial stability and welfare: does the objective function of competitors matter? pp. 351-378: Oscar Gutiérrez and Mónica López-Puertas
Bank risk in flux: policy interplay under uncertainty pp. 379-390: Marcella Lucchetta

Tailor-made strategies through different weight simulation of factor-based investing pp. 107-129: Catarina A. Ramos, Nuno C. Marques, Marta Faias and Hugo Santos
Foreign bank entry and performance of domestic SMEs: evidence from Korea pp. 131-162: Junyong Lee and Frederick Dongchuhl Oh
Local banking market structure and employment dynamics: evidence from US counties pp. 163-188: Amit Ghosh and Salvador Contreras
ESG asset demand with information costs pp. 189-209: Elisa Luciano and Antonella Tolomeo
Sanctions Induced Terms of Trade Shocks and the Role of Lean Against the Wind Policy pp. 211-242: Aleksandr Shirobokov

Climate stress test: bad (or good) news for the market? An event study analisys on euro zone banks pp. 1-17: Costanza Torricelli, Chiara Pederzoli and Fabio Ferrari
The (un)secured debt puzzle: evidence for U.S. public firms pp. 19-44: Kizkitza Biguri
No arbitrage for a special class of filtration expansions pp. 45-68: Karen Grigorian and Robert Jarrow
Option pricing in a sentiment-biased stochastic volatility model pp. 69-95: Alessandra Cretarola, Gianna Figà-Talamanca and Marco Patacca
Group lending as a mechanism for self-insuring default risk pp. 97-106: Andreas Krause

Why do banks require minimum balance to avoid a fee? pp. 395-420: Oz Shy
Approximation and asymptotics in the superhedging problem for binary options pp. 421-458: Sergey Smirnov, Dimitri Sotnikov and Andrey Zanochkin
On the real rate of interest in a closed economy pp. 459-477: Dilip B. Madan and King Wang
Science or scientism? On the momentum illusion pp. 479-519: Klaus Grobys
Probability of no default for a microloan under uncertainty pp. 521-528: Perpetual Andam Boiquaye and Philip Protter

The effects of social media use by bank depositors pp. 289-300: Jianglin Dennis Ding and George G. Pennacchi
A term structure interest rate model with the Brownian bridge lower bound pp. 301-328: Kentaro Kikuchi
A Girsanov transformed Clark-Ocone-Haussmann type formula for $$L^1$$ L 1 -pure jump additive processes and its application to portfolio optimization pp. 329-352: Masahiro Handa, Noriyoshi Sakuma and Ryoichi Suzuki
Option pricing in the Heston model with physics inspired neural networks pp. 353-376: Donatien Hainaut and Alex Casas
The profitability of interacting trading strategies from an ecological perspective pp. 377-394: Kun Xing and Honggang Li

Commodity cycles and financial instability in emerging economies pp. 167-197: Mikhail Andreev, Udara Peiris, Alexander Shirobokov and Dimitrios Tsomocos
Natural disasters, public attention and changes in capital structure: international evidence pp. 199-238: Balbinder Singh Gill
Welfare and bank risk-taking pp. 239-258: Marcella Lucchetta
Asset pricing and hedging in financial markets with fixed and proportional transaction costs pp. 259-275: Esmaeil Babaei
Strict certainty preference in the predictive brain: a new perspective on financial innovations and their role in the real economy pp. 277-287: Hammad Siddiqi

Affine Heston model style with self-exciting jumps and long memory pp. 1-43: Charles Guy Njike Leunga and Donatien Hainaut
How does soft information on the causes of default affect debt renegotiation? The Italian evidence pp. 45-89: Ludovico Maria Cocco, Elisa Cavezzali, Ugo Rigoni and Giorgia Simion
On certain representations of pricing functionals pp. 91-127: Carlo Marinelli
Skewness-seeking behavior and financial investments pp. 129-165: Matteo Benuzzi and Matteo Ploner