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.

Credit risk analysis with creditor’s option to extend maturities pp. 275-304: Ryoichi Ikeda and Yoske Igarashi
Adapted hedging pp. 305-334: Dilip B. Madan
Smooth investment pp. 335-361: Kenneth Bruhn, Ninna Reitzel Jensen and Mogens Steffensen
Intragroup transfers, intragroup diversification and their risk assessment pp. 363-392: Andreas Haier, Ilya Molchanov and Michael Schmutz
Impact of risk aversion and countervailing tax in oligopoly pp. 393-408: Jim Jin and Shinji Kobayashi
Benchmark-based evaluation of portfolio performance: a characterization pp. 409-440: Aleksandr G. Alekseev and Mikhail Sokolov
Sequential payments and optimal pricing in payment systems pp. 441-463: Tomohiro Ota

Relative asset price bubbles pp. 135-160: Roseline Bilina Falafala, Robert Jarrow and Philip Protter
Monetary policy games, financial instability and incomplete information pp. 161-178: 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: Thomas A. Severini
Benchmarking in two price financial markets pp. 201-219: Dilip B. Madan
How suboptimal are linear sharing rules? pp. 221-243: Bjarne Astrup Jensen and Jørgen Aase Nielsen
Optimal capital structures for private firms pp. 245-273: Joel M. Vanden

The St. Petersburg paradox and capital asset pricing pp. 1-16: Assaf Eisdorfer and Carmelo Giaccotto
Variety expansion, preference shocks, and financial intermediaries pp. 17-28: Hiroaki Ohno and Kouki Sugawara
On the impact of macroeconomic news surprises on Treasury-bond returns pp. 29-53: Imane El Ouadghiri, Valérie Mignon and Nicolas Boitout
Saddlepoint approximations to option price in a regime-switching model pp. 55-69: Mengzhe Zhang and Leunglung Chan
Risk premia in option markets pp. 71-94: Dilip B. Madan
The skewness risk premium in equilibrium and stock return predictability pp. 95-133: Hiroshi Sasaki

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

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

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

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

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

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

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