Annals of Finance
(Volume 20, Issue 1)
• Affine Heston model style with self-exciting jumps and long memory
• How does soft information on the causes of default affect debt renegotiation? The Italian evidence
• On certain representations of pricing functionals
• Skewness-seeking behavior and financial investments
(Volume 19, Issue 4, December 2023)
• The kind of silence: managing a reputation for voluntary disclosure in financial markets
• The value of expected return persistence
• Nonparametric estimates of option prices via Hermite basis functions
• Robustness and sensitivity analyses of rough Volterra stochastic volatility models
• What can monetary policy tell us about Bitcoin?
(Volume 19, Issue 3, September 2023)
• Co-jumps and recursive preferences in portfolio choices
• A compositional analysis of systemic risk in European financial institutions
• Sentiment-based indicators of real estate market stress and systemic risk: international evidence
• Analysis of fair fee in guaranteed lifelong withdrawal and Markovian health benefits
• The no-arbitrage pricing of non-traded assets
(Volume 19, Issue 2
June 2023)
o No-arbitrage conditions and pricing from discrete-time to continuous-time strategies
o Connectivity, centralisation and ‘robustness-yet-fragility’ of interbank networks
o Integrating market conditions into regulatory decisions on microfinance interest rates: does competition matter?
o A behavioral approach to inconsistencies in intertemporal choices with the Analytic Hierarchy Process methodology
o Drawdown risk measures for asset portfolios with high frequency data
(Volume 19, Issue 1, March 2023)
o The valuation of corporations: a derivative pricing perspective
o The optimal financing of a conglomerate firm with hidden information and costly state verification
o Uncertainty in firm valuation and a cross-sectional misvaluation measure
o The market value of SMEs: a comparative study between private and listed firms in alternative stock markets
o Delta-hedging in fractional volatility models