Asia-Pacific Financial Markets

1997 - 2025

Current editor(s): Jiro Akahori

From:
Springer
Japanese Association of Financial Economics and Engineering
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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

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

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

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

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

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

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

On the asymptotic behavior of the prices of Asian options pp. 289-306: Yuji Hishida and Kenji Yasutomi
Dynamical analysis of corporate bonds based on the yield spread term-quality surface pp. 307-332: Tomoaki Shouda
Lévy processes driven by stochastic volatility pp. 333-352: Kyriakos Chourdakis
Optimal policies of call with notice period requirement pp. 353-373: Min Dai and Yue Kwok
Optimal risk transfer and investment policies based upon stochastic differential utilities pp. 375-403: Nobuhiro Nakamura

Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility pp. 199-226: David McMillan and Alan Speight
Comparison of randomization techniques for low-discrepancy sequences in finance pp. 227-244: Tsutomu Tamura
The volume–volatility relationship and the opening of the Korean stock market to foreign investors after the financial turmoil in 1997 pp. 245-271: J. Kim, A. Kartsaklas and M. Karanasos
A discrete Itô calculus approach to He’s framework for multi-factor discrete markets pp. 273-287: Jiro Akahori

Inference Methods for Discretely Observed Continuous-Time Stochastic Volatility Models: A Commented Overview pp. 109-141: J. Jimenez, R. Biscay and T. Ozaki
Testing for Volatility Jumps in the Stochastic Volatility Process pp. 143-157: Masahito Kobayashi
Dynamic Efficiency in the East European Emerging Markets pp. 159-179: Yoshihiko Tsukuda, Tatsuyoshi Miyakoshi and Junji Shimada
Option Approach to Search for Threshold Rice Price Toward Sustainable Paddy Field Management pp. 181-198: Atsushi Yoshimoto

Intraday Empirical Analysis and Modeling of Diversified World Stock Indices pp. 1-28: Wolfgang Breymann, Leah Kelly and Eckhard Platen
A Modified GARCH Model with Spells of Shocks pp. 29-44: Qingfeng Liu and Kimio Morimune
Market Efficiency and Returns to Simple Technical Trading Rules: Further Evidence from U.S., U.K., Asian and Chinese Stock Markets pp. 45-60: Bill Cai, Charlie Cai and Kevin Keasey
Bank Exposure to Interest Rate Risks During Financial Liberalization: Evidence from South Korea pp. 61-90: Raj Aggarwal, B. Jeon and Xinlei Zhao
The Determinants of Foreign Currency Hedging–Evidence from Hong Kong Non-Financial Firms pp. 91-107: Chao Hu and Pengguo Wang