Annals of Finance

2005 - 2026

Current editor(s): Anne Villamil

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Counterparty risk, central counterparty clearing and aggregate risk pp. 355-400: Binbin Deng
Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index pp. 401-434: Aziz Issaka and Indranil SenGupta
Stock markets fragmentation, volatility and final investors pp. 435-451: Cécile Bastidon
The dampening effect of iceberg orders on small traders’ welfare pp. 453-484: Laura Delaney and Polina Kovaleva

Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise pp. 237-251: Chiara Pederzoli and Costanza Torricelli
Investment, agency conflicts, debt maturity, and loan guarantees by negotiation pp. 253-271: Liu Gan and Zhaojun Yang
An empirical analysis of organized crime, corruption and economic growth pp. 273-298: Kyriakos Neanidis, Maria Paola Rana and Keith Blackburn
Quadratic minimization with portfolio and intertemporal wealth constraints pp. 299-340: Dian Zhu and Andrew J. Heunis
K-fold cross validation performance comparisons of six naive portfolio selection rules: how naive can you be and still have successful out-of-sample portfolio performance? pp. 341-353: M. Ryan Haley

Novel advancements in the Markov chain stock model: analysis and inference pp. 125-152: Vlad Stefan Barbu, Guglielmo D’Amico and Riccardo Blasis
Financial market globalization, nonconvergence and credit cycles pp. 153-180: Wai-Hong Ho
Optimal mean-reverting spread trading: nonlinear integral equation approach pp. 181-203: Yerkin Kitapbayev and Tim Leung
The determinants of MFIs’ social and financial performances in sub-Saharan Africa: has mission drift occurred? pp. 205-235: Wassini Arrassen

A simple efficient approximation to price basket stock options with volatility smile pp. 1-29: Ping Wu and Robert J. Elliott
Banking competition and welfare pp. 31-53: Marcella Lucchetta
Does the Hurst index matter for option prices under fractional volatility? pp. 55-74: Hideharu Funahashi and Masaaki Kijima
Threat of termination and firm innovation pp. 75-95: Shahbaz Sheikh
Portfolio selections under mean-variance preference with multiple priors for means and variances pp. 97-124: Yuki Shigeta

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