Annals of Finance

2005 - 2025

Current editor(s): Anne Villamil

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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

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

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

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

More punishment, less default? pp. 427-454: Erwan Quintin
On Ponzi schemes in infinite horizon collateralized economies with default penalties pp. 455-488: V. Filipe Martins-da-Rocha and Yiannis Vailakis
A two price theory of financial equilibrium with risk management implications pp. 489-505: Dilip Madan
The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices pp. 507-531: Gonçalo Faria and Joao Correia-da-Silva
On the necessity of five risk measures pp. 533-552: Dominique Guégan and Wayne Tarrant
Are performance measures equally stable? pp. 553-570: Giovanna Menardi and Francesco Lisi

Symposium on stochastic volatility: an introductory overview pp. 151-157: Frederi Viens
Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations pp. 159-181: Roger Lee and Dan Wang
Option pricing under a stressed-beta model pp. 183-203: Jean-Pierre Fouque and Adam Tashman
Stochastic volatility and stochastic leverage pp. 205-233: Almut Veraart and Luitgard Veraart
A Gaussian calculus for inference from high frequency data pp. 235-258: Per Mykland
Implied and realized volatility: empirical model selection pp. 259-275: Lan Zhang
Level changes in volatility models pp. 277-308: Mihaela Craioveanu and Eric Hillebrand
Statistical estimation of Lévy-type stochastic volatility models pp. 309-335: José Figueroa-López
Affine fractional stochastic volatility models pp. 337-378: F. Comte, L. Coutin and Eric Renault
Estimation and pricing under long-memory stochastic volatility pp. 379-403: Alexandra Chronopoulou and Frederi Viens
Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility pp. 405-425: Ha-Young Kim and Frederi Viens

Signing trades and an evaluation of the Lee–Ready algorithm pp. 1-13: Marcel Blais and Philip Protter
Conditions for rational investment short-termism pp. 15-29: George Christodoulakis
Testing the local volatility assumption: a statistical approach pp. 31-48: Mark Podolskij and Mathieu Rosenbaum
Analysing financial contagion and asymmetric market dependence with volatility indices via copulas pp. 49-74: Yue Peng and Wing Ng
Strategic asset allocation with switching dependence pp. 75-96: Donatien Hainaut and Renaud MacGilchrist
Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios pp. 97-122: Ba Chu
VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors pp. 123-150: Jules Sadefo Kamdem