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 8, issue 4, 2012

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

Volume 8, issue 2, 2012

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

Volume 8, issue 1, 2012

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

Volume 7, issue 4, 2011

Introduction to the special issue on ownership, control and regulation pp. 425-427

Mark Bagnoli and Susan Watts

Corporate governance, expropriation of minority shareholders’ rights, and performance of Latin American enterprises pp. 429-447

Marisela Santiago-Castro and Cynthia Brown

Voluntary firm restructuring: why do firms sell or liquidate their subsidiaries? pp. 449-476

Alain Praet

Family firms, debtholder–shareholder agency costs and the use of covenants in private debt pp. 477-509

Mark Bagnoli, Hsin-Tsai Liu and Susan Watts

The interaction between corporate tax structure and disclosure policy pp. 511-527

Anil Arya and Brian Mittendorf

Independents’ day? Analyst behavior surrounding the Global Settlement pp. 529-547

Jonathan Clarke, Ajay Khorana, Ajay Patel and Raghavendra Rau

Volume 7, issue 3, 2011

Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks pp. 285-318

Rustam Ibragimov and Johan Walden

Central bank haircut policy pp. 319-348

James Chapman, Jonathan Chiu and Miguel Molico

Diversity and arbitrage in a regulatory breakup model pp. 349-374

Winslow Strong and Jean-Pierre Fouque

Risk-averse asymptotics for reservation prices pp. 375-387

Laurence Carassus and Miklós Rásonyi

Search and herding effects in peer-to-peer lending: evidence from prosper.com pp. 389-405

Efraim Berkovich

Maximal submarkets that replicate any option pp. 407-423

Ioannis Polyrakis and Foivos Xanthos

Volume 7, issue 2, 2011

Mutual fund performance: false discoveries, bias, and power pp. 137-169

Nik Tuzov and Frederi Viens

Real options with unknown-date events pp. 171-198

Oscar Gutiérrez and Francisco Ruiz-Aliseda

Option pricing under a Gamma-modulated diffusion process pp. 199-219

Pilar Iglesias, Jaime San Martín, Soledad Torres and Frederi Viens

Short term persistence in mutual fund market timing and stock selection abilities pp. 221-246

Evangelos Benos and Marek Jochec

Subjective evaluation of delayed risky outcomes for buying and selling positions: the behavioral approach pp. 247-265

Uri Benzion, Jan Krahnen and Tal Shavit

Incentivizing managers to build innovative firms pp. 267-283

Laarni Bulan and Paroma Sanyal

Volume 7, issue 1, 2011

On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting pp. 1-29

Julien Chevallier and Benoît Sévi

On the effects of banks’ equity ownership on credit markets pp. 31-52

Rabah Amir and Michael Troege

IPO pricing: growth rates implied in offer prices pp. 53-82

Giordano Cogliati, Stefano Paleari and Silvio Vismara

Does knowing the volatility states affect the market risk premium? pp. 83-94

Jinho Bae

Corporate debt and financial balance sheet adjustment: a comparison of the United States, the United Kingdom, France and Germany pp. 95-118

Peter Gibbard and Ibrahim Stevens

The forward discount puzzle and market efficiency pp. 119-135

Keith Pilbeam and Jose Olmo

Volume 6, issue 4, 2010

Robust consumption and portfolio choice for time varying investment opportunities pp. 435-454

Hening Liu

On dividend restrictions and the collapse of the interbank market pp. 455-473

C. Goodhart, Udara Peiris, Dimitrios Tsomocos and A. Vardoulakis

An economy with personal currency: theory and experimental evidence pp. 475-509

Martin Angerer, Juergen Huber, Martin Shubik and Shyam Sunder

Investigating the dependence structure between credit default swap spreads and the U.S. financial market pp. 511-535

Hayette Gatfaoui

Indexed bonds and revisions of inflation expectations pp. 537-554

Andreas Reschreiter

A financial stability index for Colombia pp. 555-581

Miguel Morales Mosquera and Dairo Estrada

Volume 6, issue 3, 2010

Irreversible investment and discounting: an arbitrage pricing approach pp. 295-315

Jacco Thijssen

Investment timing in presence of downside risk: a certainty equivalent characterization pp. 317-333

Luis Alvarez and Teppo Rakkolainen

On the neutrality of debt in investment intensity pp. 335-356

Kit Wong

Portfolio management without probabilities or statistics pp. 357-368

Sjur Flåm

Effects of corporate tax reform on optimum debt maturity pp. 369-389

Chang Woon Nam and Doina Radulescu

Pricing errors and estimates of risk premia in factor models pp. 391-403

Kim Sawyer, André Gygax and Matthew Hazledine

Return attribution analysis of the UK insurance portfolios pp. 405-420

G. Christodoulakis and Emmanuel Mamatzakis

The decline of calendar seasonality in the Australian stock exchange, 1958–2005 pp. 421-433

Andrew Worthington

Volume 6, issue 2, 2010

The fundamental theorem of asset pricing for continuous processes under small transaction costs pp. 157-191

Paolo Guasoni, Miklós Rásonyi and Walter Schachermayer

Demographics and asset returns: does the dynamics of population ageing matter? pp. 193-219

Marianna Brunetti and Costanza Torricelli

The two-fund separation theorem revisited pp. 221-239

Jan Wenzelburger

Behavioral arbitrage with collateral and uncertain deliveries pp. 241-254

José Fajardo

Information provision in financial markets pp. 255-286

Moez Bennouri, C. Clark and Jacques Robert

A dynamic strategy of the informed trader with market manipulation pp. 287-294

Shino Takayama

Volume 6, issue 1, 2010

Macroeconomics of bank interest spreads: evidence from Brazil pp. 1-32

Nelson Sobrinho

Rating systems, procyclicality and Basel II: an evaluation in a general equilibrium framework pp. 33-49

Chiara Pederzoli, Costanza Torricelli and Dimitrios Tsomocos

Repeated lending under contractual incompleteness pp. 51-82

Vinicius Carrasco and Joao De Mello

Beliefs regarding fundamental value and optimal investing pp. 83-105

Bradford Cornell, Jaksa Cvitanic and Levon Goukasian

Partial equilibria with convex capital requirements: existence, uniqueness and stability pp. 107-135

Michail Anthropelos and Gordan Žitković

Strategic complementarity of information in financial markets with large shocks pp. 137-145

Christophe Chamley

No arbitrage conditions for simple trading strategies pp. 147-156

Erhan Bayraktar and Hasanjan Sayit