Asia-Pacific Financial Markets

1997 - 2025

Current editor(s): Jiro Akahori

From:
Springer
Japanese Association of Financial Economics and Engineering
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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

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

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

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

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

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

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

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

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

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

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

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 Shams Pathan