Annals of Finance

2005 - 2025

Current editor(s): Anne Villamil

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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

Volume 16, issue 4, 2020

The role of market efficiency on implied cost of capital estimates: an international perspective pp. 463-499

David Schröder

Internal financing, managerial compensation and multiple tasks pp. 501-527

Sandro Brusco and Fausto Panunzi

Relative growth optimal strategies in an asset market game pp. 529-546

Yaroslav Drokin and Mikhail Zhitlukhin

Proper measures of connectedness pp. 547-571

Mario Maggi, Maria-Laura Torrente and Pierpaolo Uberti

Leakage of rank-dependent functionally generated trading strategies pp. 573-591

Kangjianan Xie

An evolutionary finance model with a risk-free asset pp. 593-607

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

J. Lars Kirkby and Duy Nguyen

Development banking under weak institutions and imperfect credit markets pp. 353-380

Reynaldo Senra Hodelin

The price leadership share: a new measure of price discovery in financial markets pp. 381-405

Riccardo De Blasis

Optimal compensation and investment affected by firm size and time-varying external factors pp. 407-422

Chong Lai, Rui Li and Yonghong Wu

Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs pp. 423-433

Martin Brown and Tomasz Zastawniak

Forecasting volatility in bitcoin market pp. 435-462

Mawuli Segnon and Stelios Bekiros

Volume 16, issue 2, 2020

Deposit insurance and the coexistence of commercial and shadow banks pp. 159-194

Stephen LeRoy and Rish Singhania

A computable general equilibrium model for banking sector risk assessment in South Africa pp. 195-218

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

François Guillemin and Maria Semenova

Optimal trading of a basket of futures contracts pp. 253-280

Bahman Angoshtari and Tim Leung

The impact of financial crises on the environment in developing countries pp. 281-306

Joao Jalles

Volume 16, issue 1, 2020

A new approach to the rational expectations equilibrium: existence, optimality and incentive compatibility pp. 1-61

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

Dongchen Li and Virginia R. Young

Asian options pricing in Hawkes-type jump-diffusion models pp. 101-119

Riccardo Brignone and Carlo Sgarra

Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing pp. 121-139

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

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

Giulio Bottazzi, Pietro Dindo and Daniele Giachini

Dynamic contagion in a banking system with births and defaults pp. 489-538

Tomoyuki Ichiba, Michael Ludkovski and Andrey Sarantsev

Business-cycle pattern of asset returns: a general equilibrium explanation pp. 539-561

Qiang Kang

Semi-nonparametric approximation and index options pp. 563-600

Julia Jiang and Weidong Tian

Volume 15, issue 3, 2019

Optimal dynamic basis trading pp. 307-335

Bahman Angoshtari and Tim Leung

Optimal demand in a mispriced asymmetric Carr–Geman–Madan–Yor (CGMY) economy pp. 337-368

Winston Buckley and Sandun Perera

Optimal bailouts, bank’s incentive and risk pp. 369-399

Marcella Lucchetta, Michele Moretto and Bruno M. Parigi

Cash flows risk, capital structure, and corporate bond yields pp. 401-420

Berardino Palazzo

Dynamic portfolio strategies under a fully correlated jump-diffusion process pp. 421-453

Marcos Escobar-Anel and Harold Moreno-Franco

Volume 15, issue 2, 2019

Correlation and coordination risk pp. 155-177

Martin Geiger and Richard Hule

The role of household debt and delinquency decisions in consumption-based asset pricing pp. 179-203

Paulo Rogério Faustino Matos

Relative performance concerns among investment managers pp. 205-231

Mark Whitmeyer

Implied liquidity risk premia in option markets pp. 233-246

Florence Guillaume, Gero Junike, Peter Leoni and Wim Schoutens

Change point dynamics for financial data: an indexed Markov chain approach pp. 247-266

Guglielmo D’Amico, Ada Lika and Filippo Petroni

A switching self-exciting jump diffusion process for stock prices pp. 267-306

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

Tim Leung and Zheng Wang

Conic asset pricing and the costs of price fluctuations pp. 29-58

Dilip B. Madan and Wim Schoutens

Extreme-strike asymptotics for general Gaussian stochastic volatility models pp. 59-101

Archil Gulisashvili, Frederi Viens and Xin Zhang

Endogenous heterogeneity in duopoly with deterministic one-way spillovers pp. 103-123

Adriana Gama, Isabelle Maret and Virginie Masson

Vanishing central bank intervention in stochastic impulse control pp. 125-153

Gregory Gagnon