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Annals of Finance


Annals of Finance OnlineFirst articles

02-05-2022 | Research Article

Dynamic optimal hedge ratio design when price and production are stochastic with jump

In this paper, we focus on the farmer’s risk income when using commodity futures, when price and output processes are randomly correlated and represented by jump-diffusion models. We evaluate the expected utility of the farmer’s wealth and …

28-04-2022 | Research Article

Derivatives-based portfolio decisions: an expected utility insight

This paper challenges the use of stocks in portfolio construction, instead we demonstrate that Asian derivatives, straddles, or baskets could be more convenient substitutes. Our results are obtained under the assumptions of the …

12-04-2022 | Research Article

Rational pricing of leveraged ETF expense ratios

This paper studies the general relationship between the gearing ratio of a Leveraged ETF and its corresponding expense ratio, viz., the investment management fees that are charged for the provision of this levered financial service. It must not be …

29-03-2022 | Research Article

Portfolio selection in quantile decision models

This paper develops a model for optimal portfolio allocation for an investor with quantile preferences, i.e., who maximizes the $$\tau $$ τ -quantile of the portfolio return, for $$\tau \in (0,1)$$ τ ∈ ( 0 , 1 ) . Quantile preferences allow to …

11-03-2022 | Research Article

Options on bonds: implied volatilities from affine short-rate dynamics

We derive an explicit asymptotic approximation for the implied volatilities of Call options written on bonds assuming the short-rate is described by an affine short-rate model. For specific affine short-rate models, we perform numerical …

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About this journal

Annals of Finance will, different from existing journals, cover all aspects of finance in one journal. In this way, the journal is different from the competition.
The purpose of Annals of Finance is to provide an outlet for original research in all areas of finance and its applications to other disciplines having a clear and substantive link to the general theme of finance. In particular, innovative research papers of moderate length of the highest quality in all scientific areas that are motivated by the analysis of financial problems will be considered. Annals of Finance's scope encompasses - but is not limited to - the following areas: accounting and finance, asset pricing, banking and finance, capital markets and finance, computational finance, corporate finance, derivatives, dynamical and chaotic systems in finance, economics and finance, empirical finance, experimental finance, finance and the theory of the firm, financial econometrics, financial institutions, mathematical finance, money and finance, portfolio analysis, regulation, stochastic analysis and finance, stock market analysis, systemic risk and financial stability.

Annals of Finance will also publish special issues on any topic in finance and its applications of current interest. A small section, entitled finance notes, will be devoted solely to publishing short articles – up to ten pages in length, of substantial interest in finance.

Officially cited as: Ann Finance

Annals of Finance
Volume 1/2005 - Volume 18/2022
Springer Berlin Heidelberg
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