Asia-Pacific Financial Markets

1997 - 2025

Current editor(s): Jiro Akahori

From:
Springer
Japanese Association of Financial Economics and Engineering
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From the Minimal Entropy Martingale Measures to the Optimal Strategies for the Exponential Utility Maximization: the Case of Geometric Lévy Processes pp. 367-391: Tsukasa Fujiwara
A New Computational Scheme for Computing Greeks by the Asymptotic Expansion Approach pp. 393-430: Ryosuke Matsuoka, Akihiko Takahashi and Yoshihiko Uchida
A Complete-Market Generalization of the Black-Scholes Model pp. 431-444: Koichiro Takaoka
Exact Solutions of a Model for Asset Prices by K. Takaoka pp. 445-451: Naoyuki Ishimura and Toshi-hiko Sakaguchi

Preface pp. 215-215: Takaki Hayashi
Columbia University Program in Mathematics of Finance and JAFEE pp. 217-232: Mikhail Smirnov
Analyses of Mortgage-Backed Securities Based on Unobservable Prepayment Cost Processes pp. 233-266: Hidetoshi Nakagawa and Tomoaki Shouda
Numerical Approach to Asset Pricing Models with Stochastic Differential Utility pp. 267-300: Nobuhiro Nakamura
Pricing European Options by Numerical Replication: Quadratic Programming with Constraints pp. 301-333: Valeriy Ryabchenko, Sergey Sarykalin and Stan Uryasev
Properties of Multinomial Lattices with Cumulants for Option Pricing and Hedging pp. 335-365: Yuji Yamada and James Primbs

Good-Deal Option Price Bounds for a Non-Traded Event with Stochastic Return: A Note pp. 135-141: Yong-Jin Kim
A New Control Variate Estimator for an Asian Option pp. 143-160: Kenji Kamizono, Takeaki Kariya, Regina Liu and Teruo Nakatsuma
On Bayesian Value at Risk: From Linear to Non-Linear Portfolios pp. 161-184: Tak Kuen Siu, Howell Tong and Hailiang Yang
Valuation of Residential Mortgage-Backed Securities with Default Risk Using an Intensity-Based Approach pp. 185-214: Toru Sugimura

Diversified Portfolios with Jumps in a Benchmark Framework pp. 1-22: Eckhard Platen
A Fair Pricing Approach to Weather Derivatives pp. 23-53: Eckhard Platen and Jason West
Understanding the Implied Volatility Surface for Options on a Diversified Index pp. 55-77: David Heath and Eckhard Platen
A Benchmark Approach to Filtering in Finance pp. 79-105: Eckhard Platen and Wolfgang Runggaldier
A Two-Factor Model for Low Interest Rate Regimes pp. 107-133: Shane Miller and Eckhard Platen

Investor Familiarity and Home Bias: Japanese Evidence pp. 281-300: Takato Hiraki, Akitoshi Ito and Fumiaki Kuroki
Crisis and Creative Destruction: Cases of Korean and Japanese Stock Markets pp. 301-317: Shumpei Takemori and Kenji Wada
The Halloween Effect and Japanese Equity Prices: Myth or Exploitable Anomaly pp. 319-334: Edwin Maberly and Raylene Pierce
Forecasting Credit Spread Volatility: Evidence from the Japanese Eurobond Market pp. 335-357: Brock Johnson and Jonathan Batten
Are Banks Affiliated with Bank Holding Companies More Efficient Than Independent Banks? The Recent Experience Regarding Japanese Regional BHCs pp. 359-376: Nobuyoshi Yamori, Kozo Harimaya and Kazumine Kondo
A Note on Credit Risk of Vertical Keiretsu Firms: Preliminary Evidence from the Japanese Automobile Industry pp. 377-398: Naoya Takezawa and Nobuya Takezawa

A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework pp. 87-127: Carl Chiarella and Christina Nikitopoulos-Sklibosios
Implied Default Probability and Credit Derivatives pp. 129-149: Koichi Matsumoto
On the Pricing of Defaultable Bonds Using the Framework of Barrier Options pp. 151-162: Motokazu Ishizaka and Koichiro Takaoka
Is Volatility the Best Predictor of Market Crashes? pp. 163-185: Chikashi Tsuji
Effectiveness of Stochastic Neural Network for Prediction of Fall or Rise of TOPIX pp. 187-204: Shigeo Kamitsuji and Ritei Shibata
Productivity and Technical Change in Malaysian Banking: 1989–1998 pp. 205-237: Ergun Dogan and Dietrich Fausten
Long-Run Operating Performance of Initial Public Offerings in Japanese Over-the-Counter Market (1991–2001): Evidence and Implications pp. 239-274: Daying Yan and Jun Cai
A Note on Gaussian Estimation of the CKLS and CIR Models with Feedback Effects for Japan pp. 275-279: K. Nowman

Financial Sector Risk and the Stock Returns: Evidence from Tokyo Stock Exchange Firms pp. 1-28: Keiichi Kubota and Hitoshi Takehara
Price Linkages in Asian Equity Markets: Evidence Bordering the Asian Economic, Currency and Financial Crises pp. 29-44: Andrew Worthington, Masaki Katsuura and Helen Higgs
Profitability of the CRISMA System: From World Indices to the Hong Kong Stock Market pp. 45-57: Wai-Yan Cheng, Yan Leung Cheung and Haynes H. M. Yung
Prediction of Individual Bond Prices via a Dynamic Bond Pricing Model: Application to Japanese Government Bond Price Data pp. 59-85: Hiroshi Tsuda

Introduction pp. 1-2: Jaksa Cvitanic
On the Quasi Gaussian Interest Rate Models pp. 3-6: Jiro Akahori
Methods of Partial Hedging pp. 7-35: Jaksa Cvitanic
Financial Modeling in a Fast Mean-Reverting Stochastic Volatility Environment pp. 37-48: Jean-Pierre Fouque, George Papanicolaou and K. Sircar
Pricing Options under Stochastic Interest Rates: A New Approach pp. 49-70: Yong-Jin Kim and Naoto Kunitomo
Bayesian Estimation of ARMA-GARCH Model of Weekly Foreign Exchange Rates pp. 71-84: Teruo Nakatsuma and Hiroki Tsurumi

The Impact of the U.S. and the Japanese Equity Markets on the Emerging Asia-Pacific Equity Markets pp. 191-209: Baekin Cha and Yan-leung Cheung
Transmission of Stock Returns and Volatility between the U.S. and Japan: Evidence from the Stock Index Futures Markets pp. 211-225: Ming-Shiun Pan and L. Hsueh
A Note on the Term Structure of Implied Volatilities for the Yen/U.S. Dollar Currency Option pp. 227-236: Nobuya Takezawa and Noriyoshi Shiraishi
Underpricing, Subsequent Equity Offerings, and the Long-Run Performance of Japanese IPOs pp. 237-259: Takehiko Isobe, Akitoshi Ito and Joseph Kairys
Weekly Pattern of Exchange Rate Risks: Evidence from Ten Asian-Pacific Currencies pp. 261-274: Gordon Tang
Monthly Pattern and Portfolio Effect on Higher Moments of Stock Returns: Empirical Evidence from Hong Kong pp. 275-307: Gordon Tang

Unconditional and Conditional Distributional Models for the Nikkei Index pp. 99-128: Stefan Mittnik, Marc Paolella and Svetlozar Rachev
The Pricing Formula for Commodity-Linked Bonds with Stochastic Convenience Yields and Default Risk pp. 129-158: Ryozo Miura and Hiroaki Yamauchi
Econometric Analysis of a Continuous Time Multi-Factor Generalized Vasicek Term Structure Model: International Evidence pp. 159-183: Simon Babbs and K. Nowman