Asia-Pacific Financial Markets

1997 - 2025

Current editor(s): Jiro Akahori

From:
Springer
Japanese Association of Financial Economics and Engineering
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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

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

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

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

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

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

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

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