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Asia-Pacific Financial Markets

1997 - 2017

Current editor(s): Jiro Akahori

From:
Springer
Japanese Association of Financial Economics and Engineering
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Volume 11, issue 4, 2004

From the Minimal Entropy Martingale Measures to the Optimal Strategies for the Exponential Utility Maximization: the Case of Geometric Lévy Processes pp. 367-391 Downloads
Tsukasa Fujiwara
A New Computational Scheme for Computing Greeks by the Asymptotic Expansion Approach pp. 393-430 Downloads
Ryosuke Matsuoka, Akihiko Takahashi and Yoshihiko Uchida
A Complete-Market Generalization of the Black-Scholes Model pp. 431-444 Downloads
Koichiro Takaoka
Exact Solutions of a Model for Asset Prices by K. Takaoka pp. 445-451 Downloads
Naoyuki Ishimura and Toshi-hiko Sakaguchi

Volume 11, issue 3, 2004

Preface pp. 215-215 Downloads
Takaki Hayashi
Columbia University Program in Mathematics of Finance and JAFEE pp. 217-232 Downloads
Mikhail Smirnov
Analyses of Mortgage-Backed Securities Based on Unobservable Prepayment Cost Processes pp. 233-266 Downloads
Hidetoshi Nakagawa and Tomoaki Shouda
Numerical Approach to Asset Pricing Models with Stochastic Differential Utility pp. 267-300 Downloads
Nobuhiro Nakamura
Pricing European Options by Numerical Replication: Quadratic Programming with Constraints pp. 301-333 Downloads
Valeriy Ryabchenko, Sergey Sarykalin and Stan Uryasev
Properties of Multinomial Lattices with Cumulants for Option Pricing and Hedging pp. 335-365 Downloads
Yuji Yamada and James Primbs

Volume 11, issue 2, 2004

Good-Deal Option Price Bounds for a Non-Traded Event with Stochastic Return: A Note pp. 135-141 Downloads
Yong-Jin Kim
A New Control Variate Estimator for an Asian Option pp. 143-160 Downloads
Kenji Kamizono, Takeaki Kariya, Regina Liu and Teruo Nakatsuma
On Bayesian Value at Risk: From Linear to Non-Linear Portfolios pp. 161-184 Downloads
Tak Kuen Siu, Howell Tong and Hailiang Yang
Valuation of Residential Mortgage-Backed Securities with Default Risk Using an Intensity-Based Approach pp. 185-214 Downloads
Toru Sugimura

Volume 11, issue 1, 2004

Diversified Portfolios with Jumps in a Benchmark Framework pp. 1-22 Downloads
Eckhard Platen
A Fair Pricing Approach to Weather Derivatives pp. 23-53 Downloads
Eckhard Platen and Jason West
Understanding the Implied Volatility Surface for Options on a Diversified Index pp. 55-77 Downloads
David Heath and Eckhard Platen
A Benchmark Approach to Filtering in Finance pp. 79-105 Downloads
Eckhard Platen and Wolfgang Runggaldier
A Two-Factor Model for Low Interest Rate Regimes pp. 107-133 Downloads
Shane Miller and Eckhard Platen

Volume 10, issue 4, 2003

Investor Familiarity and Home Bias: Japanese Evidence pp. 281-300 Downloads
Takato Hiraki, Akitoshi Ito and Fumiaki Kuroki
Crisis and Creative Destruction: Cases of Korean and Japanese Stock Markets pp. 301-317 Downloads
Shumpei Takemori and Kenji Wada
The Halloween Effect and Japanese Equity Prices: Myth or Exploitable Anomaly pp. 319-334 Downloads
Edwin Maberly and Raylene Pierce
Forecasting Credit Spread Volatility: Evidence from the Japanese Eurobond Market pp. 335-357 Downloads
Brock Johnson and Jonathan Batten
Are Banks Affiliated with Bank Holding Companies More Efficient Than Independent Banks? The Recent Experience Regarding Japanese Regional BHCs pp. 359-376 Downloads
Nobuyoshi Yamori, Kozo Harimaya and Kazumine Kondo
A Note on Credit Risk of Vertical Keiretsu Firms: Preliminary Evidence from the Japanese Automobile Industry pp. 377-398 Downloads
Naoya Takezawa and Nobuya Takezawa

Volume 10, issue 2, 2003

A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework pp. 87-127 Downloads
Carl Chiarella and Christina Nikitopoulos-Sklibosios
Implied Default Probability and Credit Derivatives pp. 129-149 Downloads
Koichi Matsumoto
On the Pricing of Defaultable Bonds Using the Framework of Barrier Options pp. 151-162 Downloads
Motokazu Ishizaka and Koichiro Takaoka
Is Volatility the Best Predictor of Market Crashes? pp. 163-185 Downloads
Chikashi Tsuji
Effectiveness of Stochastic Neural Network for Prediction of Fall or Rise of TOPIX pp. 187-204 Downloads
Shigeo Kamitsuji and Ritei Shibata
Productivity and Technical Change in Malaysian Banking: 1989–1998 pp. 205-237 Downloads
Ergun Dogan and Dietrich Fausten
Long-Run Operating Performance of Initial Public Offerings in Japanese Over-the-Counter Market (1991–2001): Evidence and Implications pp. 239-274 Downloads
Daying Yan and Jun Cai
A Note on Gaussian Estimation of the CKLS and CIR Models with Feedback Effects for Japan pp. 275-279 Downloads
K. Nowman

Volume 10, issue 1, 2003

Financial Sector Risk and the Stock Returns: Evidence from Tokyo Stock Exchange Firms pp. 1-28 Downloads
Keiichi Kubota and Hitoshi Takehara
Price Linkages in Asian Equity Markets: Evidence Bordering the Asian Economic, Currency and Financial Crises pp. 29-44 Downloads
Andrew Worthington, Masaki Katsuura and Helen Higgs
Profitability of the CRISMA System: From World Indices to the Hong Kong Stock Market pp. 45-57 Downloads
Wai-Yan Cheng, Yan Leung Cheung and Haynes H. M. Yung
Prediction of Individual Bond Prices via a Dynamic Bond Pricing Model: Application to Japanese Government Bond Price Data pp. 59-85 Downloads
Hiroshi Tsuda

Volume 6, issue 1, 1999

Introduction pp. 1-2 Downloads
Jaksa Cvitanic
On the Quasi Gaussian Interest Rate Models pp. 3-6 Downloads
Jiro Akahori
Methods of Partial Hedging pp. 7-35 Downloads
Jaksa Cvitanic
Financial Modeling in a Fast Mean-Reverting Stochastic Volatility Environment pp. 37-48 Downloads
Jean-Pierre Fouque, George Papanicolaou and K. Sircar
Pricing Options under Stochastic Interest Rates: A New Approach pp. 49-70 Downloads
Yong-Jin Kim and Naoto Kunitomo
Bayesian Estimation of ARMA-GARCH Model of Weekly Foreign Exchange Rates pp. 71-84 Downloads
Teruo Nakatsuma and Hiroki Tsurumi

Volume 5, issue 3, 1998

The Impact of the U.S. and the Japanese Equity Markets on the Emerging Asia-Pacific Equity Markets pp. 191-209 Downloads
Baekin Cha and Yan-leung Cheung
Transmission of Stock Returns and Volatility between the U.S. and Japan: Evidence from the Stock Index Futures Markets pp. 211-225 Downloads
Ming-Shiun Pan and L. Hsueh
A Note on the Term Structure of Implied Volatilities for the Yen/U.S. Dollar Currency Option pp. 227-236 Downloads
Nobuya Takezawa and Noriyoshi Shiraishi
Underpricing, Subsequent Equity Offerings, and the Long-Run Performance of Japanese IPOs pp. 237-259 Downloads
Takehiko Isobe, Akitoshi Ito and Joseph Kairys
Weekly Pattern of Exchange Rate Risks: Evidence from Ten Asian-Pacific Currencies pp. 261-274 Downloads
Gordon Tang
Monthly Pattern and Portfolio Effect on Higher Moments of Stock Returns: Empirical Evidence from Hong Kong pp. 275-307 Downloads
Gordon Tang

Volume 5, issue 2, 1998

Unconditional and Conditional Distributional Models for the Nikkei Index pp. 99-128 Downloads
Stefan Mittnik, Marc Paolella and Svetlozar Rachev
The Pricing Formula for Commodity-Linked Bonds with Stochastic Convenience Yields and Default Risk pp. 129-158 Downloads
Ryozo Miura and Hiroaki Yamauchi
Econometric Analysis of a Continuous Time Multi-Factor Generalized Vasicek Term Structure Model: International Evidence pp. 159-183 Downloads
Simon Babbs and K. Nowman
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