Asia-Pacific Financial Markets

1997 - 2025

Current editor(s): Jiro Akahori

From:
Springer
Japanese Association of Financial Economics and Engineering
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 16, issue 4, 2009

Risk-Hedging in Real Estate Markets pp. 265-285

Abel Cadenillas, Robert Elliott, Hong Miao and Zhenyu Wu

Recovery Process Model for Two Companies pp. 287-331

Yuki Itoh

A Remark on a Singular Perturbation Method for Option Pricing Under a Stochastic Volatility Model pp. 333-345

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

Hidenori Futami

Volume 16, issue 3, 2009

Counterparty Risk for Credit Default Swaps: Markov Chain Interacting Intensities Model with Stochastic Intensity pp. 169-181

Kwai Leung and Yue Kwok

Dynamic Modeling of Tail Risk: Applications to China, Hong Kong and Other Asian Markets pp. 183-210

Mike So and Alex Tse

Dynamic Linkages Between the China and International Stock Markets pp. 211-230

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

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

Jun Ma

Evaluation of the MEMM, Parameter Estimation and Option Pricing for Geometric Lévy Processes pp. 111-139

Masatoshi Fujisaki and Dewei Zhang

Informational Efficiency: Which Institutions Matter? pp. 141-168

Tao Chen

Volume 16, issue 1, 2009

Alternative Defaultable Term Structure Models pp. 1-31

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

Elhaj Walid

Volatility Forecasting in the Hang Seng Index using the GARCH Approach pp. 51-63

Wei Liu and Bruce Morley

The Minimal Entropy Martingale Measures for Exponential Additive Processes pp. 65-95

Tsukasa Fujiwara

Volume 15, issue 3, 2008

q-Optimal Martingale Measures for Discrete Time Models pp. 155-173

Takuji Arai and Muneki Kawaguchi

A Method of Calculating the Downside Risk by Multivariate Nonnormal Distributions pp. 175-184

Yuichi Nagahara

Macroeconomic News, Business Cycles and Australian Financial Markets pp. 185-207

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

Ali Anvary Rostamy, Mohammad Aghaee and Vahid Biglari

An Explicit Finite Difference Approach to the Pricing Problems of Perpetual Bermudan Options pp. 229-253

Yoshifumi Muroi and Takashi Yamada

The Determinants of Bank Capital Ratios in a Developing Economy pp. 255-272

Rubi Ahmad, Mohamed Ariff and Michael Skully

Term Structure of Interest Rates Under Recursive Preferences in Continuous Time pp. 273-305

Hisashi Nakamura, Keita Nakayama and Akihiko Takahashi

Recovery Process Model pp. 307-347

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

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

Robert Rutledge, Zhaohui Zhang and Khondkar Karim

Regulations, Supervision Approaches and Acquisition Likelihood in the Asian Banking Industry pp. 135-154

Fotios Pasiouras, Chrysovalantis Gaganis and Constantin Zopounidis

Volume 15, issue 1, 2008

Editorial pp. 1-2

Yuji Yamada

A Stochastic Receding Horizon Control Approach to Constrained Index Tracking pp. 3-24

James Primbs and Chang Sung

Solving Singular Control from Optimal Switching pp. 25-45

Xin Guo and Pascal Tomecek

Optimal Mortgage Refinancing with Regime Switches pp. 47-65

Toshio Kimura and Naoki Makimoto

Optimal Hedging of Prediction Errors Using Prediction Errors pp. 67-95

Yuji Yamada

Volume 14, issue 4, 2007

Causal and Dynamic Relationships among Stock Returns, Return Volatility and Trading Volume: Evidence from Emerging markets in South-East Asia pp. 277-297

Anirut Pisedtasalasai and Abeyratna Gunasekarage

A Factor Allocation Approach to Optimal Bond Portfolio pp. 299-324

Keita Nakayama and Akihiko Takahashi

A Model Forecasting Risk for Emerging Market Currencies pp. 325-340

Masahiro Fukuhara and Yasufumi Saruwatari

A Simple Measure for Examining the Proxy Problem of the Short-Rate pp. 341-361

Hideyuki Takamizawa

Portfolio Insurance with Liquidity Risk pp. 363-386

Koichi Matsumoto

Volume 14, issue 3, 2007

A Class of Gaussian Hybrid Processes for Modeling Financial Markets pp. 185-199

Yasuyuki Itoh

Foreign Ownership and Volatility Dynamics of Indonesian Stocks pp. 201-210

Jianxin Wang

Board Size, Independence and Performance: An Analysis of Thai Banks pp. 211-227

Shams Pathan, Michael Skully and Jayasinghe Wickramanayake

Reduced-form Models with Regime Switching: An Empirical Analysis for Corporate Bonds pp. 229-253

Hoi Wong and Tsz Wong

On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity pp. 255-275

Tak Kuen Siu, John Lau and Hailiang Yang

Volume 14, issue 1, 2007

Estimation and Prediction of a Non-Constant Volatility pp. 1-23

Vyacheslav Abramov and Fima Klebaner

A Benchmark Approach to Portfolio Optimization under Partial Information pp. 25-43

Eckhard Platen and Wolfgang Runggaldier

An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates pp. 69-121

Akihiko Takahashi and Kohta Takehara

Volume 13, issue 4, 2006

Preface pp. 297-297

S. Omata

What is the Natural Scale for a Lévy Process in Modelling Term Structure of Interest Rates? pp. 299-313

Jiro Akahori and Takahiro Tsuchiya

On the Hoggard–Whalley–Wilmott Equation for the Pricing of Options with Transaction Costs pp. 315-326

Hitoshi Imai, Naoyuki Ishimura, Ikumi Mottate and Masaaki Nakamura

Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes pp. 327-344

Jérémy Poirot and Peter Tankov

Pricing and Hedging of Multi Type Contracts under Multidimensional Risks in Incomplete Markets Modeled by General Itô SDE Systems pp. 345-372

Srdjan Stojanovic

Portfolio Optimization in Discontinuous Markets under Incomplete Information pp. 373-394

Giorgia Callegaro, Giovanni Masi and Wolfgang Runggaldier

Volume 13, issue 3, 2006

The Asian Financial Crisis and Investors’ Risk Aversion pp. 181-205

Yasuo Nishiyama

Existence of Unsolicited Ratings pp. 207-233

Bappaditya Mukhopadhyay

On a Non-linear Risk Analysis for Stock Market Indexes pp. 235-258

Kenjiro Suzuki, Yasunori Okabe and Takaaki Fujii

On a Non-linear Risk Analysis for Stock Market Indexes pp. 259-259

Kenjiro Suzuki, Yasunori Okabe and Takaaki Fujii

Risk Management for Linear and Non-Linear Assets: A Bootstrap Method with Importance Resampling to Evaluate Value-at-Risk pp. 261-295

Shih-Kuei Lin, Ren-Her Wang and Cheng- Der Fuh

Volume 13, issue 2, 2006

Non-linear long horizon returns predictability: evidence from six south-east Asian markets pp. 95-111

David McMillan and Alan Speight

Portfolio optimization with a defaultable security pp. 113-127

Tomasz Bielecki and Inwon Jang

Risk measures for derivatives with Markov-modulated pure jump processes pp. 129-149

Robert Elliott, Leunglung Chan and Tak Kuen Siu

Generalizations of Ho–Lee’s binomial interest rate model I: from one- to multi-factor pp. 151-179

Jiro Akahori, Hiroki Aoki and Yoshihiko Nagata

Volume 13, issue 1, 2006

Component structures of agricultural commodity futures traded on the Tokyo Grain Exchange pp. 1-9

Ramaprasad Bhar and Shigeyuki Hamori

Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model pp. 11-39

Olivier Le Courtois and François Quittard-Pinon

Mean and volatility dynamics of Indian rupee/US dollar exchange rate series: an empirical investigation pp. 41-69

Rituparna Kar and Nityananda Sarkar

Evidence on the arbitrage efficiency of SPI index futures and options markets pp. 71-93

Steven Li and Elia Alfay