Displaying Archives List

There is but the filter sucks, it only gives you the link HTML:

add_filter( 'get_archives_link', 'wpse74891_archives_link' );
function wpse74891_archives_link( $link ) {
    $link = preg_replace_callback( '/>([A-Za-z]+\s+\d{4})/', function( $matches ) {
        return '>' . date( 'm.y', strtotime( $matches[1] ) );
        }, $link );
    return $link;
}

Using this method you can pass in any date format you want for the link at least.