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 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

Volume 19, issue 4, 2012

Factor Models for Option Pricing pp. 319-329

Peter Carr and Dilip Madan

Samuelson Hypothesis & Indian Commodity Derivatives Market pp. 331-352

Saurabh Gupta and Prabina Rajib

Performance Regularity: A New Class of Executive Compensation Packages pp. 353-370

Carole Bernard and Olivier Le Courtois

A Time Series Analysis of Economical Phenomena in Japan’s Lost Decade (1): Determinacy Property of the Velocity of Money and Equilibrium Solution pp. 371-389

Yuji Nakano and Yasunori Okabe

Unilateral Counterparty Risk Valuation for CDS Under a Regime Switching Interacting Intensities Model pp. 391-415

Yinghui Dong, Xue Liang and Guojing Wang

Volume 19, issue 3, 2012

Pricing Discrete Barrier Options Under Stochastic Volatility pp. 205-232

Kenichiro Shiraya, Akihiko Takahashi and Toshihiro Yamada

Crossing the River by Touching Stones?: The Reform of Corporate Ownership in China pp. 233-258

Wenwen Zhan and John Turner

Empirically Effective Bond Pricing Model and Analysis on Term Structures of Implied Interest Rates in Financial Crisis pp. 259-292

Takeaki Kariya, Jingsui Wang, Zhu Wang, Eiichi Doi and Yoshiro Yamamura

Approximation of Asymmetric Multivariate Return Distributions pp. 293-318

Ba Chu

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-I 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