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Asia-Pacific Financial Markets

1997 - 2017

Current editor(s): Jiro Akahori

From:
Springer
Japanese Association of Financial Economics and Engineering
Series data maintained by Sonal Shukla ().

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Volume 17, issue 4, 2010

Preface pp. 323-324 Downloads
Takaki Hayashi
Environmental Economics and Modeling Marketable Permits pp. 325-343 Downloads
Luca Taschini
Assessments of ‘Greenhouse Insurance’: A Methodological Review pp. 345-363 Downloads
Takanobu Kosugi
Solutions and Simulations of Some One-Dimensional Stochastic Differential Equations pp. 365-372 Downloads
F. Klebaner and E. Azmy
Coefficients of Asymptotic Expansions of SDE with Jumps pp. 373-389 Downloads
Masafumi Hayashi
The Instantaneous Volatility and the Implied Volatility Surface for a Generalized Black–Scholes Model pp. 391-436 Downloads
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 Downloads
EnDer Su and Shih-Ming Huang
Remarks on the Nonlinear Black-Scholes Equations with the Effect of Transaction Costs pp. 241-259 Downloads
Naoyuki Ishimura
Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae pp. 261-302 Downloads
Katja Ignatieva and Eckhard Platen
The Impact of Derivatives Activity on Commercial Banks: Evidence from U.S. Bank Holding Companies pp. 303-322 Downloads
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 Downloads
Li Meng and Mei Wang
An Empirical Analysis of Growth Options of Japanese Electronics Firms pp. 113-140 Downloads
Gennady Latypov
On the Predictability of Japanese Stock Returns Using Dividend Yield pp. 141-149 Downloads
Kohei Aono and Tokuo Iwaisako
Utility Indifference Hedging with Exponential Additive Processes pp. 151-169 Downloads
Thorsten Rheinländer and Gallus Steiger
The Value of Principles-Based Governance Practices and the Attenuation of Information Asymmetry pp. 171-207 Downloads
Chaiyasit Anuchitworawong

Volume 17, issue 1, 2010

Valuation of a Repriceable Executive Stock Option pp. 1-18 Downloads
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 Downloads
Takuya Kinkawa and Nobuo Shinozaki
Reforms in the Korean Financial Reporting Systems and Earnings Quality pp. 51-61 Downloads
B. Lee and Soo Seo
Efficiency of Microfinance Institutions: A Data Envelopment Analysis pp. 63-97 Downloads
Mamiza Haq, Michael Skully and Shams Pathan

Volume 16, issue 4, 2009

Risk-Hedging in Real Estate Markets pp. 265-285 Downloads
Abel Cadenillas, Robert Elliott, Hong Miao and Zhenyu Wu
Recovery Process Model for Two Companies pp. 287-331 Downloads
Yuki Itoh
A Remark on a Singular Perturbation Method for Option Pricing Under a Stochastic Volatility Model pp. 333-345 Downloads
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 Downloads
Hidenori Futami

Volume 16, issue 3, 2009

Counterparty Risk for Credit Default Swaps: Markov Chain Interacting Intensities Model with Stochastic Intensity pp. 169-181 Downloads
Kwai Leung and Yue Kwok
Dynamic Modeling of Tail Risk: Applications to China, Hong Kong and Other Asian Markets pp. 183-210 Downloads
Mike So and Alex Tse
Dynamic Linkages Between the China and International Stock Markets pp. 211-230 Downloads
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 Downloads
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 Downloads
Jun Ma
Evaluation of the MEMM, Parameter Estimation and Option Pricing for Geometric Lévy Processes pp. 111-139 Downloads
Masatoshi Fujisaki and Dewei Zhang
Informational Efficiency: Which Institutions Matter? pp. 141-168 Downloads
Tao Chen

Volume 16, issue 1, 2009

Alternative Defaultable Term Structure Models pp. 1-31 Downloads
Nicola Bruti-Liberati, Christina Nikitopoulos-Sklibosios, Eckhard Platen and Erik Schlogl
New Evidence on Risk Factors, Characteristics and the Cross-Sectional Variation of Japanese Stock Returns pp. 33-50 Downloads
Elhaj Walid
Volatility Forecasting in the Hang Seng Index using the GARCH Approach pp. 51-63 Downloads
Wei Liu and Bruce Morley
The Minimal Entropy Martingale Measures for Exponential Additive Processes pp. 65-95 Downloads
Tsukasa Fujiwara

Volume 15, issue 3, 2008

q-Optimal Martingale Measures for Discrete Time Models pp. 155-173 Downloads
Takuji Arai and Muneki Kawaguchi
A Method of Calculating the Downside Risk by Multivariate Nonnormal Distributions pp. 175-184 Downloads
Yuichi Nagahara
Macroeconomic News, Business Cycles and Australian Financial Markets pp. 185-207 Downloads
Victor Fang, Chien-Ting Lin and Kunaal Parbhoo
Empirical Investigation of the Ability of Sensitivity of Stock Prices to Earnings News in Predicting Earnings Management and Management Forecast Errors pp. 209-228 Downloads
Ali Anvary Rostamy, Mohammad Aghaee and Vahid Biglari
An Explicit Finite Difference Approach to the Pricing Problems of Perpetual Bermudan Options pp. 229-253 Downloads
Yoshifumi Muroi and Takashi Yamada
The Determinants of Bank Capital Ratios in a Developing Economy pp. 255-272 Downloads
Rubi Ahmad, Mohamed Ariff and Michael Skully
Term Structure of Interest Rates Under Recursive Preferences in Continuous Time pp. 273-305 Downloads
Hisashi Nakamura, Keita Nakayama and Akihiko Takahashi
Recovery Process Model pp. 307-347 Downloads
Yuki Itoh

Volume 15, issue 2, 2008

Unifying Black–Scholes Type Formulae Which Involve Brownian Last Passage Times up to a Finite Horizon pp. 97-115 Downloads
D. Madan, B. Roynette and M. Yor
Is There a Size Effect in the Pricing of Stocks in the Chinese Stock Markets?: The Case of Bull Versus Bear Markets pp. 117-133 Downloads
Robert Rutledge, Zhaohui Zhang and Khondkar Karim
Regulations, Supervision Approaches and Acquisition Likelihood in the Asian Banking Industry pp. 135-154 Downloads
Fotios Pasiouras, Chrysovalantis Gaganis and Constantin Zopounidis

Volume 15, issue 1, 2008

Editorial pp. 1-2 Downloads
Yuji Yamada
A Stochastic Receding Horizon Control Approach to Constrained Index Tracking pp. 3-24 Downloads
James Primbs and Chang Sung
Solving Singular Control from Optimal Switching pp. 25-45 Downloads
Xin Guo and Pascal Tomecek
Optimal Mortgage Refinancing with Regime Switches pp. 47-65 Downloads
Toshio Kimura and Naoki Makimoto
Optimal Hedging of Prediction Errors Using Prediction Errors pp. 67-95 Downloads
Yuji Yamada
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