Annals of Finance

2005 - 2025

Current editor(s): Anne Villamil

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Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model pp. 327-355: M. Dempster, Igor Evstigneev and M. Taksar
The Use of Debt to Prevent Short-Term Managerial Exploitation pp. 357-368: Anil Arya and Jonathan Glover
Endogenous Information Acquisition with Cournot Competition pp. 369-395: Martin Dierker
Generalised Rational Bias in Financial Forecasts pp. 397-405: George Christodoulakis
Common Shocks and Relative Compensation pp. 407-420: Michael Magill and Martine Quinzii

The Discounted Economic Stock of Money with VAR Forecasting pp. 229-258: William Barnett, John Keating and Unja Chae
Heterogeneous Beliefs, the Term Structure and Time-varying Risk Premia pp. 259-285: Min Fan
Arbitrage Opportunities in Diverse Markets via a Non-equivalent Measure Change pp. 287-301: Jörg Osterrieder and Thorsten Rheinländer
New No-arbitrage Conditions and the Term Structure of Interest Rate Futures pp. 303-325: Kristian Miltersen, J. Nielsen and Klaus Sandmann

Do lack of transparency and enforcement undermine international risk-sharing? pp. 123-140: Elizabeth Asiedu, Yi Jin and Anne Villamil
Convertibility risk: the precautionary demand for foreign currency in a crisis pp. 141-165: Stanley Black, Charis Christofides and Alex Mourmouras
The modified mixture of distributions model: a revisit pp. 167-178: Wai Fong and Wing Wong
A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets pp. 179-205: Xun Li and Zhenyu Wu
Consistency conditions for affine term structure models pp. 207-224: Sergei LevendorskiĬ
Hedging decisions with price and output uncertainty pp. 225-227: Moawia Alghalith

A Time Series Analysis of Financial Fragility in the UK Banking System pp. 1-21: Charles Goodhart, Pojanart Sunirand and Dimitrios Tsomocos
Kyle v. Kyle (’85 v. ’89) pp. 23-38: Dan Bernhardt and Bart Taub
Stock options and capital structure pp. 39-50: Richard MacMinn and Frank Page
Risk measure pricing and hedging in incomplete markets pp. 51-71: Mingxin Xu
A characterization of the distributions that imply existence of linear equilibria in the Kyle-model pp. 73-85: Georg Nöldeke and Thomas Tröger
The implied liquidity premium for equities pp. 87-99: Robert Fernholz and Ioannis Karatzas
Stochastic equilibria for economies under uncertainty with intertemporal substitution pp. 101-122: V. Filipe Martins-da-Rocha and Frank Riedel

Race to the top or bottom? Corporate governance, freedom of reincorporation and competition in law pp. 349-378: Zsuzsanna Fluck and Colin Mayer
Analyst estimation revision clusters and corporate events, Part II pp. 379-393: Mark Bagnoli, Stanley Levine and Susan G. Watts
Informational asymmetries and a multiplier effect on price correlation and trading pp. 395-421: Marcelo Pinheiro
Option pricing and Esscher transform under regime switching pp. 423-432: Robert J. Elliott, Leunglung Chan and Tak Kuen Siu
The non-neutrality of debt in investment timing: a new NPV rule pp. 433-445: Tarun Sabarwal

Corporate portfolio management pp. 225-243: Jean Rochet and Stephane Villeneuve
Analyst estimation revision clusters and corporate events, Part I pp. 245-265: Mark Bagnoli, Stanley Levine and Susan G. Watts
American options: the EPV pricing model pp. 267-292: Svetlana Boyarchenko and Sergei Levendorskii
Completion time structures of stock price movements pp. 293-326: Asger Lunde and Allan Timmermann
Should short-term speculators be taxed, or subsidised? pp. 327-348: Alexander Gümbel

Determinants of stock market volatility and risk premia pp. 109-147: Mordecai Kurz, Hehui Jin and Maurizio Motolese
Relative arbitrage in volatility-stabilized markets pp. 149-177: Robert Fernholz and Ioannis Karatzas
Parallel cartoons of fractal models of finance pp. 179-192: Benoît Mandelbrot
The inescapable need for fractal tools in finance pp. 193-195: Benoît Mandelbrot
A risk assessment model for banks pp. 197-224: Charles A.E. Goodhart, Pojanart Sunirand and Dimitrios Tsomocos

Junior must pay: pricing the implicit put in privatizing Social Security pp. 1-34: George Constantinides, J. B. Donaldson and Rajnish Mehra
On user costs of risky monetary assets pp. 35-50: William Barnett and Shu Wu
Shaking the tree: an agency-theoretic model of asset pricing pp. 51-72: Jamsheed Shorish and Stephen Spear
On the microstructure of price determination and information aggregation with sequential and asymmetric information arrival in an experimental asset market pp. 73-107: Martin Barner, Francesco Feri and Charles Plott