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Asia-Pacific Financial Markets
1997 - 2012
Edited by Ryozo Miura
from Springer
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Volume 19, issue 2 , 2012
Identifying Bull and Bear Markets in Japan pp. 99-117 Mai Shibata A Continuous-Time Analysis of Optimal Restructuring of Contracts with Costly Information Disclosure pp. 119-147 Hisashi Nakamura Properties of Optimal Smooth Functions in Additive Models for Hedging Multivariate Derivatives pp. 149-179 Yuji Yamada Default Risk and Equity Returns: Evidence from the Taiwan Equities Market pp. 181-204 Yu-Ling Lin , Ta-Cheng Chang and Su-Jing Yeh Volume 19, issue 1 , 2012
Convertible Bonds and Stock Liquidity pp. 1-21 Jason West Is Concentration a Good Idea? Evidence from Active Fund Management pp. 23-41 Pei- Chou and Chia-Hao Lee Modeling of Contagious Credit Events and Risk Analysis of Credit Portfolios pp. 43-62 Suguru Yamanaka , Masaaki Sugihara and Hidetoshi Nakagawa The Minimal Entropy Martingale Measure (MEMM) for a Markov-Modulated Exponential Lévy Model pp. 63-98 Romuald Momeya and Zied Salah Volume 18, issue 4 , 2011
Pricing Derivatives using the Asymptotic Expansion Approach: Credit Migration Models with Stochastic Credit Spreads pp. 345-372 Yoshifumi Muroi and E. Takino Forecasting Japanese Stock Returns with Financial Ratios and Other Variables pp. 373-384 Kohei Aono and Tokuo Iwaisako Risk-sensitive Portfolio Optimization with Two-factor Having a Memory Effect pp. 385-403 Tadashi Hayashi and Jun Sekine Liquidity, Skewness and Stock Returns: Evidence from Chinese Stock Market pp. 405-427 Langnan Chen , Steven Li and Jinan Wang Using Nonnormal Distributions to Analyze the Relationship Between Stock Returns in Japan and the US pp. 429-443 Yuichi Nagahara Volume 18, issue 3 , 2011
On a Statistical Analysis of Implied Data pp. 231-266 Hajime Takahashi Lead–Lag Effects in Australian Industry Portfolios pp. 267-290 Tariq Haque Dynamic Relationship among Intraday Realized Volatility, Volume and Number of Trades pp. 291-317 Kerr Hatrick , Mike So , S. Chung and R. Deng Detection of Information Flow in Major International Financial Markets by Interactivity Network Analysis pp. 319-344 Abdelwahab Allali , Amor Oueslati and Abdelwahed Trabelsi Volume 18, issue 2 , 2011
Preface pp. 129-129 Hiroshi Ishijima Dynamic Investment Strategies to Reaction–Diffusion Systems Based upon Stochastic Differential Utilities pp. 131-150 Akira Kashiwabara and Nobuhiro Nakamura On the Verification Theorem of Dynamic Portfolio-Consumption Problems with Stochastic Market Price of Risk pp. 151-166 Toshiki Honda and Shoji Kamimura The Regime Switching Portfolios pp. 167-189 Hiroshi Ishijima and Masaki Uchida Constant Rebalanced Portfolio Optimization Under Nonlinear Transaction Costs pp. 191-211 Yuichi Takano and Jun-ya Gotoh Log Mean-Variance Portfolio Selection Under Regime Switching pp. 213-229 Hiroshi Ishijima and Masaki Uchida Volume 18, issue 1 , 2011
The Impact of Order Flow on the Foreign Exchange Market: A Copula Approach pp. 1-31 Yoshihiro Kitamura Valuation of Portfolio Credit Derivatives with Default Intensities Using the Vasicek Model pp. 33-54 Jin Liang , Jun Ma , Tao Wang and Qin Ji Empirical Study of Nikkei 225 Options with the Markov Switching GARCH Model pp. 55-68 Kiyotaka Satoyoshi and Hidetoshi Mitsui “Down-Side Risk” Probability Minimization Problem with Cox-Ingersoll-Ross’s Interest Rates pp. 69-87 Hiroaki Hata A Note on Utility Maximization with Unbounded Random Endowment pp. 89-103 Keita Owari A Multifactor Model of Credit Spreads pp. 105-127 Ramaprasad Bhar and Nedim Handzic Volume 17, issue 4 , 2010
Preface pp. 323-324 Takaki Hayashi Environmental Economics and Modeling Marketable Permits pp. 325-343 Luca Taschini Assessments of ‘Greenhouse Insurance’: A Methodological Review pp. 345-363 Takanobu Kosugi Solutions and Simulations of Some One-Dimensional Stochastic Differential Equations pp. 365-372 F. Klebaner and E. Azmy Coefficients of Asymptotic Expansions of SDE with Jumps pp. 373-389 Masafumi Hayashi The Instantaneous Volatility and the Implied Volatility Surface for a Generalized Black–Scholes Model pp. 391-436 Koichiro Takaoka and Hidenori Futami Volume 17, issue 3 , 2010
Comparing Firm Failure Predictions Between Logit, KMV, and ZPP Models: Evidence from Taiwan’s Electronics Industry pp. 209-239 EnDer Su and Shih-Ming Huang Remarks on the Nonlinear Black-Scholes Equations with the Effect of Transaction Costs pp. 241-259 Naoyuki Ishimura Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae pp. 261-302 Katja Ignatieva and Eckhard Platen The Impact of Derivatives Activity on Commercial Banks: Evidence from U.S. Bank Holding Companies pp. 303-322 Li Li and Zhang Yu Volume 17, issue 2 , 2010
Comparison of Black–Scholes Formula with Fractional Black–Scholes Formula in the Foreign Exchange Option Market with Changing Volatility pp. 99-111 Li Meng and Mei Wang An Empirical Analysis of Growth Options of Japanese Electronics Firms pp. 113-140 Gennady Latypov On the Predictability of Japanese Stock Returns Using Dividend Yield pp. 141-149 Kohei Aono and Tokuo Iwaisako Utility Indifference Hedging with Exponential Additive Processes pp. 151-169 Thorsten Rheinländer and Gallus Steiger The Value of Principles-Based Governance Practices and the Attenuation of Information Asymmetry pp. 171-207 Chaiyasit Anuchitworawong Volume 17, issue 1 , 2010
Valuation of a Repriceable Executive Stock Option pp. 1-18 Takahiko Fujita and Masahiro Ishii Dominance of a Class of Stein type Estimators for Optimal Portfolio Weights When the Covariance Matrix is Unknown pp. 19-50 Takuya Kinkawa and Nobuo Shinozaki Reforms in the Korean Financial Reporting Systems and Earnings Quality pp. 51-61 B. Lee and Soo Seo Efficiency of Microfinance Institutions: A Data Envelopment Analysis pp. 63-97 Mamiza Haq , Michael Skully and Dr. Shams Pathan Volume 16, issue 4 , 2009
Risk-Hedging in Real Estate Markets pp. 265-285 Abel Cadenillas , Robert Elliott , Hong Miao and Zhenyu Wu Recovery Process Model for Two Companies pp. 287-331 Yuki Itoh A Remark on a Singular Perturbation Method for Option Pricing Under a Stochastic Volatility Model pp. 333-345 Kyo Yamamoto and Akihiko Takahashi Multi-factor Affine Term Structure Model with Single Regime Shift: Real Term Structure under Zero Interest Rate pp. 347-369 Hidenori Futami Volume 16, issue 3 , 2009
Counterparty Risk for Credit Default Swaps: Markov Chain Interacting Intensities Model with Stochastic Intensity pp. 169-181 Kwai Leung and Yue Kwok Dynamic Modeling of Tail Risk: Applications to China, Hong Kong and Other Asian Markets pp. 183-210 Mike So and Alex Tse Dynamic Linkages Between the China and International Stock Markets pp. 211-230 Kui Fan , Zudi Lu and Shouyang Wang Macroeconomic Implications of Term Structures of Interest Rates Under Stochastic Differential Utility with Non-Unitary EIS pp. 231-263 Hisashi Nakamura , Wataru Nozawa and Akihiko Takahashi Volume 16, issue 2 , 2009
A Stochastic Correlation Model with Mean Reversion for Pricing Multi-Asset Options pp. 97-109 Jun Ma Evaluation of the MEMM, Parameter Estimation and Option Pricing for Geometric Lévy Processes pp. 111-139 Masatoshi Fujisaki and Dewei Zhang Informational Efficiency: Which Institutions Matter? pp. 141-168 Tao Chen
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