Annals of Finance

Editor: C.D. Aliprantis
For technical questions regarding this series, please contact (Christopher F. Baum)
Series handle: repec:kap:annfin

• 399-429 Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
  by Erhan Bayraktar & Virginia Young [Downloadable! (restricted)]
• 431-444 Robust portfolio optimization with a generalized expected utility model under ambiguity
  by Xiaoxian Ma & Qingzhen Zhao & Jilin Qu [Downloadable! (restricted)]
• 445-454 Short-term relative arbitrage in volatility-stabilized markets
  by Adrian Banner & Daniel Fernholz [Downloadable! (restricted)]
• 455-480 Informational leverage: the problem of noise traders
  by Norvald Instefjord & Kouji Sasaki [Downloadable! (restricted)]
• 481-503 Technology driven organizational structure of the firm
  by René Brink & Pieter Ruys [Downloadable! (restricted)]
• 505-523 A computational study on general equilibrium pricing of derivative securities
  by Jacco Thijssen [Downloadable! (restricted)]

• 269-298 Demand shocks and market manipulation
  by Marcelo Pinheiro [Downloadable! (restricted)]
• 299-303 Liquidity and market incompleteness
  by Felipe Zurita [Downloadable! (restricted)]
• 305-344 Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks
  by Yu Chen & Thomas Cosimano & Alex Himonas [Downloadable! (restricted)]
• 345-367 Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
  by Jón Daníelsson & Bjørn Jorgensen & Casper Vries & Xiaoguang Yang [Downloadable! (restricted)]
• 369-397 Balance, growth and diversity of financial markets
  by Constantinos Kardaras [Downloadable! (restricted)]

• 131-155 The social value of risk-free government debt
  by Stacey Schreft & Bruce Smith [Downloadable! (restricted)]
• 157-181 Amplification and asymmetry in crashes and frenzies
  by Han Ozsoylev [Downloadable! (restricted)]
• 183-195 Capital market equilibrium without riskless assets: heterogeneous expectations
  by D. Won & G. Hahn & N. Yannelis [Downloadable! (restricted)]
• 197-215 Managing the risk of loan prepayments and the optimal structure of short term lending rates
  by Bryan Stanhouse & Duane Stock [Downloadable! (restricted)]
• 217-241 Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration
  by Wei Sun & Svetlozar Rachev & Frank Fabozzi & Petko Kalev [Downloadable! (restricted)]
• 243-253 Fair (intra-bank transfer) prices for credits with stochastic recovery
  by Johannes Leitner [Downloadable! (restricted)]
• 255-268 On the semimartingale property via bounded logarithmic utility
  by Kasper Larsen & Gordan Žitković [Downloadable! (restricted)]

• 1-28 Optimal portfolio allocation with higher moments
  by Jakša Cvitanić & Vassilis Polimenis & Fernando Zapatero [Downloadable! (restricted)]
• 29-53 The price of rapid exit in venture capital-backed IPOs
  by Silvia Rossetto [Downloadable! (restricted)]
• 55-74 A PDE approach for risk measures for derivatives with regime switching
  by Robert Elliott & Tak Siu & Leunglung Chan [Downloadable! (restricted)]
• 75-103 Who controls Allianz?
  by Victor Dorofeenko & Larry Lang & Klaus Ritzberger & Jamsheed Shorish [Downloadable! (restricted)]
• 105-129 Prospect and Markowitz stochastic dominance
  by W. Wong & R. Chan [Downloadable! (restricted)]

• 411-453 Correlation and the pricing of risks
  by Marc Atlan & Hélyette Geman & Dilip Madan & Marc Yor [Downloadable! (restricted)]
• 455-469 On the positive fundamental value of money with short-sale constraints
  by Eduardo Giménez [Downloadable! (restricted)]
• 471-486 Duration, factor sensitivities, and interest rate Greeks
  by Oh Kwon [Downloadable! (restricted)]
• 487-507 Maximum likelihood estimation of the double exponential jump-diffusion process
  by Cyrus Ramezani & Yong Zeng [Downloadable! (restricted)]

• 297-327 To what extent are investment bank-differentiating factors relevant for firms floating moderate-sized IPOs?
  by Kedar Kulkarni & Tarun Sabarwal [Downloadable! (restricted)]
• 329-350 Proprietary trading losses in banks: do banks invest sufficiently in control?
  by Norvald Instefjord & Kouji Sasaki [Downloadable! (restricted)]
• 351-367 A multicriteria discrimination approach for the credit rating of Asian banks
  by Fotios Pasiouras & Chrysovalantis Gaganis & Michael Doumpos [Downloadable! (restricted)]
• 369-387 IPO share allocation and conflicts of interest
  by Naoki Kojima [Downloadable! (restricted)]
• 389-409 Switching to a poor business activity: optimal capital structure, agency costs and covenant rules
  by Jean-Paul Décamps & Bertrand Djembissi [Downloadable! (restricted)]

• 193-212 Habit formation and the equity–premium puzzle: a skeptical view
  by Stefano Athanasoulis & Oren Sussman [Downloadable! (restricted)]
• 213-240 A Forecasting Model for Stock Market Diversity
  by Francesco Audrino & Robert Fernholz & Roberto Ferretti [Downloadable! (restricted)]
• 241-255 An empirical model for durations in stocks
  by Ola Simonsen [Downloadable! (restricted)]
• 257-276 Industry and time specific deviations from fundamental values in a random coefficient model
  by Leonardo Becchetti & Roberto Rocci & Giovanni Trovato [Downloadable! (restricted)]
• 277-295 Transfers and bequests: a portfolio analysis in a Nash game
  by Yang-Ming Chang [Downloadable! (restricted)]

• 1-4 Financial stability: theory and applications
  by Charles Goodhart & Dimitrios Tsomocos [Downloadable! (restricted)]
• 5-35 Financial distress, bankruptcy law and the business cycle
  by Javier Suarez & Oren Sussman [Downloadable! (restricted)]
• 37-74 Towards a measure of financial fragility
  by Oriol Aspachs & Charles Goodhart & Dimitrios Tsomocos & Lea Zicchino [Downloadable! (restricted)]
• 75-105 An equilibrium approach to financial stability analysis: the Colombian case
  by Agustín Saade & Daniel Osorio & Dairo Estrada [Downloadable! (restricted)]
• 107-130 Financial stability and Basel II
  by Paul Kupiec [Downloadable! (restricted)]
• 131-153 Pursuing financial stability under an inflation-targeting regime
  by Q. Akram & Gunnar Bårdsen & Kjersti-Gro Lindquist [Downloadable! (restricted)]
• 155-192 Devaluation with contract redenomination in Argentina
  by Charles Calomiris [Downloadable! (restricted)]

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

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

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

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

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

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

• 109-147 Determinants of stock market volatility and risk premia
  by Mordecai Kurz & Hehui Jin & Maurizio Motolese [Downloadable! (restricted)]
• 149-177 Relative arbitrage in volatility-stabilized markets
  by Robert Fernholz & Ioannis Karatzas [Downloadable! (restricted)]
• 179-192 Parallel cartoons of fractal models of finance
  by Benoit B. Mandelbrot [Downloadable! (restricted)]
• 193-195 The inescapable need for fractal tools in finance
  by Benoit B. Mandelbrot [Downloadable! (restricted)]
• 197-224 A risk assessment model for banks
  by Charles A.E. Goodhart & Pojanart Sunirand & Dimitrios P. Tsomocos [Downloadable! (restricted)]

• 1-34 Junior must pay: pricing the implicit put in privatizing Social Security
  by G. M. Constantinides & J. B. Donaldson & R. Mehra [Downloadable! (restricted)]
• 35-50 On user costs of risky monetary assets
  by William A. Barnett & Shu Wu [Downloadable! (restricted)]
• 51-72 Shaking the tree: an agency-theoretic model of asset pricing
  by Jamsheed Shorish & Stephen E. Spear [Downloadable! (restricted)]
• 73-107 On the microstructure of price determination and information aggregation with sequential and asymmetric information arrival in an experimental asset market
  by Martin Barner & Francesco Feri & Charles R. Plott [Downloadable! (restricted)]

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This page was last updated on 2008-7-15.