Annals of Finance

2005 - 2025

Current editor(s): Anne Villamil

From Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 11, issue 3, 2015

Robustness of equilibrium in the Kyle model of informed speculation pp. 297-318

Alex Boulatov and Dan Bernhardt

Robustness of equilibrium in the Kyle model of informed speculation pp. 297-318

Alexei Boulatov and Dan Bernhardt

Credit risk and contagion via self-exciting default intensity pp. 319-344

Robert Elliott and Jia Shen

Optimization of relative arbitrage pp. 345-382

Ting-Kam Wong

Evidence on exercise pricing in CEO option grants in two countries pp. 383-410

Jean Canil and Bruce Rosser

Diversity-weighted portfolios with negative parameter pp. 411-432

Alexander Vervuurt and Ioannis Karatzas

Bounds for path-dependent options pp. 433-451

Donald Brown, Rustam Ibragimov and Johan Walden

Arbitrage in markets with bid-ask spreads pp. 453-475

Przemysław Rola

Financial innovation and risk: the role of information pp. 477-502

Roberto Piazza

Optimal investment in multidimensional Markov-modulated affine models pp. 503-530

Daniela Neykova, Marcos Escobar Anel and Rudi Zagst

Volume 11, issue 2, 2015

Capital distribution and portfolio performance in the mean-field Atlas model pp. 151-198

Benjamin Jourdain and Julien Reygner

Dynamic optimal capital structure with regime switching pp. 199-220

Robert Elliott and Jia Shen

Diversified minimum-variance portfolios pp. 221-241

Guillaume Coqueret

Quadratic minimization with portfolio and terminal wealth constraints pp. 243-282

Andrew Heunis

Variance matters (in stochastic dividend discount models) pp. 283-295

Arianna Agosto and Enrico Moretto

Volume 11, issue 1, 2015

Asset pricing theory for two price economies pp. 1-35

Dilip Madan

Dynamic portfolio selection with mispricing and model ambiguity pp. 37-75

Bo Yi, Frederi Viens, Baron Law and Zhongfei Li

Noisy information and the size effect in stock returns pp. 77-107

Joel Vanden

The demonetization of gold: transactions and the change in control pp. 109-149

Thomas Quint and Martin Shubik

Volume 10, issue 4, 2014

Stability of marketable payoffs with long-term assets pp. 523-552

Jean-Marc Bonnisseau and Achis Chery

Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes? pp. 553-568

Michael Grabchak

Legal enforcement, default and heterogeneity of project-financing contracts pp. 569-602

Gabriel Madeira

Runs, panics and bubbles: Diamond–Dybvig and Morris–Shin reconsidered pp. 603-622

Eric Smith and Martin Shubik

Financial soundness indicators and financial crisis episodes pp. 623-669

Maria Kasselaki and Athanasios Tagkalakis

Volume 10, issue 3, 2014

The equity premium: a deeper puzzle pp. 347-373

Francisco Azeredo

Managerial ownership with rent-seeking employees pp. 375-394

Linus Wilson

Hidden persistent disasters and asset prices pp. 395-418

Masataka Suzuki

Portfolio management with stochastic interest rates and inflation ambiguity pp. 419-455

Claus Munk and Alexey Rubtsov

The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market pp. 457-480

Marcelo Perlin, Alfonso Dufour and Chris Brooks

Will banning naked CDS impact bond prices? pp. 481-508

Agostino Capponi and Martin Larsson

Pricing of discount bonds with a Markov switching regime pp. 509-522

Robert Elliott and Katsumasa Nishide

Volume 10, issue 2, 2014

Implied cost of capital investment strategies: evidence from international stock markets pp. 171-195

Florian Esterer and David Schröder

Asset pricing and the role of macroeconomic volatility pp. 197-215

Stefano d’Addona and Christos Giannikos

International monetary transmission with bank heterogeneity and default risk pp. 217-241

Tsvetomira Tsenova

Robust portfolio choice with stochastic interest rates pp. 243-265

Christian Flor and Linda Larsen

A hierarchical agency model of deposit insurance pp. 267-290

Jonathan Carroll and Shino Takayama

On a class of diverse market models pp. 291-314

Andrey Sarantsev

Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process pp. 315-332

Farzad Fard and Ning Rong

Gaussian and logistic adaptations of smoothed safety first pp. 333-345

M. Haley

Volume 10, issue 1, 2014

Multi-firm voluntary disclosures for correlated operations pp. 1-45

Miles Gietzmann and Adam Ostaszewski

Optimal loan-to-value ratio and the efficiency gains of default pp. 47-69

Li Lin

Two price economies in continuous time pp. 71-100

Ernst Eberlein, Dilip Madan, Martijn Pistorius, Wim Schoutens and Marc Yor

Generalized volatility-stabilized processes pp. 101-125

Radka Picková

Pricing and hedging basis risk under no good deal assumption pp. 127-170

L. Carassus and E. Temam

Volume 9, issue 4, 2013

Pension fund taxation and risk-taking: should we switch from the EET to the TEE regime? pp. 573-588

Katarzyna Romaniuk

A semi-Markov approach to the stock valuation problem pp. 589-610

Guglielmo D’Amico

Absence of arbitrage in a general framework pp. 611-624

Hasanjan Sayit

A decision-theoretic model of asset-price underreaction and overreaction to dividend news pp. 625-665

Alexander Ludwig and Alexander Zimper

IPO activity and information in secondary market prices pp. 667-687

Silvia Rossetto

Optimal investment, consumption–leisure, insurance and retirement choice pp. 689-723

Ryle Perera

Continuous equilibrium in affine and information-based capital asset pricing models pp. 725-755

Ulrich Horst, Michael Kupper, Andrea Macrina and Christoph Mainberger

Measures of systemic risk and financial fragility in Korea pp. 757-786

Jong Lee, Jaemin Ryu and Dimitrios Tsomocos

Negative call prices pp. 787-794

Johannes Ruf

Volume 9, issue 3, 2013

Would emerging market pension funds benefit from international diversification: investigating wealth accumulations for pension participants pp. 319-335

Ajantha Kumara and Wade Pfau

Dynamic capital structure and the contingent capital option pp. 337-364

Emilio Barucci and Luca Del Viva

Informed short sales and option introductions pp. 365-382

Benjamin Blau

Technological advances and the decision to invest pp. 383-420

Christian Flor and Simon Hansen

Pricing and managing risks of European-style options in a Markovian regime-switching binomial model pp. 421-438

Farzad Fard and Tak Kuen Siu

A second-order stock market model pp. 439-454

Robert Fernholz, Tomoyuki Ichiba and Ioannis Karatzas

Regime-switching measure of systemic financial stress pp. 455-470

Azamat Abdymomunov

Predicting rating changes for banks: how accurate are accounting and stock market indicators? pp. 471-500

Isabelle Distinguin, Iftekhar Hasan and Amine Tarazi

Identifying the determinants of mortgage default in Colombia between 1997 and 2004 pp. 501-518

Juan Esteban Carranza and Dairo Estrada

Financial fragility in a general equilibrium model: the Brazilian case pp. 519-541

Benjamin Tabak, Daniel Cajueiro and Dimas Fazio

First steps towards an equilibrium theory for Lévy financial markets pp. 543-572

Frederik Herzberg

Volume 9, issue 2, 2013

Introduction: behavioral and evolutionary finance pp. 115-119

Igor Evstigneev, Klaus Schenk-Hoppé and William Ziemba

Asset market games of survival: a synthesis of evolutionary and dynamic games pp. 121-144

Rabah Amir, Igor Evstigneev and Klaus Schenk-Hoppé

Taming animal spirits: risk management with behavioural factors pp. 145-166

Grzegorz Andruszkiewicz, Mark Davis and Sebastien Lleo

Risk classes for structured products: mathematical aspects and their implications on behavioral investors pp. 167-183

Ji Cao and Marc Rieger

An evolutionary CAPM under heterogeneous beliefs pp. 185-215

Carl Chiarella, Roberto Dieci, Xuezhong (Tony) He and Kai Li

Inference for systems of stochastic differential equations from discretely sampled data: a numerical maximum likelihood approach pp. 217-248

Thomas Lux

Currency returns, market regimes and behavioral biases pp. 249-269

Leonard MacLean, Yonggan Zhao and William Ziemba

Utilities bounded below pp. 271-289

Roman Muraviev and L. Rogers

Optimal portfolio choice for a behavioural investor in continuous-time markets pp. 291-318

Miklós Rásonyi and Andrea Rodrigues

Volume 9, issue 1, 2013

Introduction to the symposium pp. 1-4

Gabriele Camera and Todd Keister

Pricing of payment cards, competition, and efficiency: a possible guide for SEPA pp. 5-25

Wilko Bolt and Heiko Schmiedel

Editorial note pp. 27-27

Anne Villamil

Liquidity-saving mechanisms in collateral-based RTGS payment systems pp. 29-60

Marius Jurgilas and Antoine Martin

Interlinkages between payment and securities settlement systems pp. 61-81

David Mills and Samia Husain

Private payment systems, collateral, and interest rates pp. 83-114

Charles Kahn