Asia-Pacific Financial Markets

1997 - 2025

Current editor(s): Jiro Akahori

From:
Springer
Japanese Association of Financial Economics and Engineering
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Volume 23, issue 4, 2016

Speculative Futures Trading under Mean Reversion pp. 281-304

Tim Leung, Jiao Li, Xin Li and Zheng Wang

On the Price of Risk Under a Regime Switching CGMY Process pp. 305-335

Pious Asiimwe, Charles Wilson Mahera and Olivier Menoukeu-Pamen

An Asymptotic Expansion for Forward–Backward SDEs: A Malliavin Calculus Approach pp. 337-373

Akihiko Takahashi and Toshihiro Yamada

Volume 23, issue 3, 2016

Measuring Credit Risk of Individual Corporate Bonds in US Energy Sector pp. 229-262

Takeaki Kariya, Yoko Tanokura, Hideyuki Takada and Yoshiro Yamamura

Central Bank Intervention in USD/INR Market: Estimating Its Reaction Function and Impact on Volatility pp. 263-279

Smita Roy Trivedi and P. G. Apte

Volume 23, issue 2, 2016

Expectations Hypothesis and Term Structure of Interest Rates: An Evidence from Emerging Market pp. 137-152

Hassan Shareef and Santhakumar Shijin

Bond Market Development, Economic Growth and Other Macroeconomic Determinants: Panel VAR Evidence pp. 175-201

Rudra P. Pradhan, Mak Arvin, Sara E. Bennett, Mahendhiran Nair and John H. Hall

The Effects of Analysts’ Herding on Traders: Evidence from the Taiwan Stock Market pp. 203-227

Po-Jung Chen

Volume 23, issue 1, 2016

Commodity Spread Option with Cointegration pp. 1-44

Katsushi Nakajima and Kazuhiko Ohashi

Explaining Size Effect for Indian Stock Market pp. 45-68

Asheesh Pandey and Sanjay Sehgal

The End of the Month Option and Other Embedded Options in Futures Contracts pp. 69-83

Kristoffer Lindensjö

Pricing Foreign Exchange Options Under Intervention by Absorption Modeling pp. 85-106

Taiga Saito

Volume 22, issue 4, 2015

Real Estate Pricing Models: Theory, Evidence, and Implementation pp. 369-396

Hiroshi Ishijima and Akira Maeda

Credit Risk Analysis on Euro Government Bonds-Term Structures of Default Probabilities pp. 397-427

Takeaki Kariya, Yoshiro Yamamura, Yoko Tanokura and Zhu Wang

Change Point Analysis of Exchange Rates Using Bootstrapping Methods: An Application to the Indonesian Rupiah 2000–2008 pp. 429-444

Amirullah Hardi, Ken-ichi Kawai, Sangyeol Lee and Koichi Maekawa

Volume 22, issue 3, 2015

An FBSDE Approach to American Option Pricing with an Interacting Particle Method pp. 239-260

Masaaki Fujii, Seisho Sato and Akihiko Takahashi

An Empirical Study of Liquidity and Return Autocorrelations in the Chinese Stock Market pp. 261-282

Chen Yang

Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method pp. 283-304

Masaaki Fujii and Akihiko Takahashi

Credit Derivative Evaluation and CVA Under the Benchmark Approach pp. 305-331

Jan Baldeaux and Eckhard Platen

The SIML Estimation of Integrated Covariance and Hedging Coefficient Under Round-off Errors, Micro-market Price Adjustments and Random Sampling pp. 333-368

Naoto Kunitomo, Hiroumi Misaki and Seisho Sato

Volume 22, issue 2, 2015

Analytical Solutions for Expected Loss and Standard Deviation of Loss with an Additional Loan pp. 113-132

Satoshi Yamashita and Toshinao Yoshiba

Asset Pricing Using Trading Volumes in a Hidden Regime-Switching Environment pp. 133-149

Robert Elliott and Tak Kuen Siu

Understanding Delta-Hedged Option Returns in Stochastic Volatility Environments pp. 151-184

Hiroshi Sasaki

An Approximation Scheme for Diffusion Processes Based on an Antisymmetric Calculus over Wiener Space pp. 185-207

Kazuhiro Yoshikawa

Dynamic Investment Strategy with Factor Models Under Regime Switches pp. 209-237

Takahiro Komatsu and Naoki Makimoto

Volume 21, issue 4, 2014

Randomised Mixture Models for Pricing Kernels pp. 281-315

Andrea Macrina and Priyanka Parbhoo

Optimal Asset-Liability Management for an Insurer Under Markov Regime Switching Jump-Diffusion Market pp. 317-330

Jun Yu

The Influence of Japan’s Unsecured Overnight Call Rate on Bull and Bear Markets and Market Turns pp. 331-349

Mai Shibata

Asymptotic Expansion Formula of Option Price Under Multifactor Heston Model pp. 351-396

Kazuki Nagashima, Tsz-Kin Chung and Keiichi Tanaka

Volume 21, issue 3, 2014

Optimal Portfolio Selection Based on Expected Shortfall Under Generalized Hyperbolic Distribution pp. 193-236

Budhi Surya and Ryan Kurniawan

A Continuous-Time Optimal Insurance Design with Costly Monitoring pp. 237-261

Hisashi Nakamura and Koichiro Takaoka

Large Deviations for the Extended Heston Model: The Large-Time Case pp. 263-280

Antoine Jacquier and Aleksandar Mijatović

Volume 21, issue 2, 2014

A Discrete-Time Clark-Ocone Formula for Poisson Functionals pp. 97-120

Takafumi Amaba

Evidence on Hedging Effectiveness in Indian Derivatives Market pp. 121-131

Barik Kumar and M. Supriya

Portfolio Selection and Optimization with Higher Moments: Evidence from the Indian Stock Market pp. 133-149

K. Saranya and P. Prasanna

A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information pp. 151-174

Takashi Kato, Jun Sekine and Hiromitsu Yamamoto

Intangible Asset Valuation Model Using Panel Data pp. 175-191

Tomohiro Yamaguchi

Volume 21, issue 1, 2014

Application of Homotopy Analysis Method to Option Pricing Under Lévy Processes pp. 1-14

Takayuki Sakuma and Yuji Yamada

Asset Pricing and Share Reforms: An Anatomy of China’s Investable Stocks pp. 15-34

Xiao-Ming Li

Expected Log-Utility Maximization Under Incomplete Information and with Cox-Process Observations pp. 35-66

Kazufumi Fujimoto, Hideo Nagai and Wolfgang Runggaldier

Foreign Ownership and Firm Value: Evidence from Australian Firms pp. 67-96

Anil Mishra

Volume 20, issue 4, 2013

Asymptotic Expansion for Term Structures of Defaultable Bonds with Non-Gaussian Dependent Innovations pp. 311-344

Masakazu Miura, Kenichiro Tamaki and Takayuki Shiohama

Does Cross-Listing Benefit the Shareholders? Evidence from Companies in the GCC Countries? pp. 345-381

Mejda Bahlous

Forecasting Long-Term Interest Rates with a General-Equilibrium Model of the Euro Area: What Role for Liquidity Services of Bonds? pp. 383-430

Paolo Zagaglia

Volume 20, issue 3, 2013

Informed Futures Trading and Price Discovery: Evidence from Taiwan Futures and Stock Markets pp. 219-242

Yi-Tsung Lee, Wei-Shao Wu and Yun Yang

An Empirical Comparison of Two Stochastic Volatility Models using Indian Market Data pp. 243-259

Srikanth Iyer, Seema Nanda and Swapnil Kumar

Optimal Investment and Consumption with Default Risk: HARA Utility pp. 261-281

Lijun Bo, Xindan Li, Yongjin Wang and Xuewei Yang

An Analytical Evaluation Method of the Operational Risk Using Fast Wavelet Expansion Techniques pp. 283-309

Kensuke Ishitani and Kenichi Sato

Volume 20, issue 2, 2013

Idiosyncratic Volatility and the Expected Stock Returns for Exploring the Relationship with Panel Threshold Regression pp. 113-129

Mu-Shun Wang

Using Interest Rate Derivative Prices to Estimate LIBOR-OIS Spread Dynamics and Systemic Funding Liquidity Shock Probabilities pp. 131-146

Cho-Hoi Hui, Tsz-Kin Chung and Chi-Fai Lo

Pricing Exotic Options and American Options: A Multidimensional Asymptotic Expansion Approach pp. 147-182

Masahiro Nishiba

Emission Allowance as a Derivative on Commodity-Spread pp. 183-217

Katsushi Nakajima and Kazuhiko Ohashi

Volume 20, issue 1, 2013

Financial Crisis and Corporate Liquidity: Implications for Emerging Markets pp. 1-30

Naiwei Chen and Meiya Chang

How does Monetary Policy Influence Capital Markets? Using a Threshold Regression Model pp. 31-47

Guan-Ru Chen and Ming-Hung Wu

Price Discovery in Chinese Stock Index Futures Market: New Evidence Based on Intraday Data pp. 49-70

Yang Hou and Steven Li

Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion pp. 71-81

Yuri Imamura and Katsuya Takagi

Forecasting Intraday Volatility and Value-at-Risk with High-Frequency Data pp. 83-111

Mike So and Rui Xu