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Content
March 2018, Volume 25, Issue 1
- 23-45 China, Japan and the US Stock Markets and the Global Financial Crisis
by Yan Zhang - 47-70 On the Effect of Bank of Japan’s Outright Purchase on the JGB Yield Curve
by Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi & Takami Tokioka
December 2017, Volume 24, Issue 4
- 253-267 Internal Market Efficiency, Market Co-movement, and Cross-Market Efficiency: The Case of Hong Kong and Shanghai Stock Markets
by Ebenezer Asem & Vishaal Baulkaran & Rossitsa Yalamova & Xiaofei Zhang - 269-289 Assessing Corporate Vulnerabilities in Indonesia: A Bottom-Up Default Analysis
by Ken Miyajima & Jorge A. Chan-Lau & Weimin Miao & Jongsoon Shin - 291-308 Pricing Perpetual Put Options by the Black–Scholes Equation with a Nonlinear Volatility Function
by Maria do Rosário Grossinho & Yaser Kord Faghan & Daniel Ševčovič - 309-322 Do Domestic Institutional Trades Exacerbate Information Asymmetry? Evidence from the Korean Stock Market
by Chune Young Chung & Yunjae Lee & Doojin Ryu
September 2017, Volume 24, Issue 3
- 149-167 Forecasting Financial Market Volatility Using a Dynamic Topic Model
by Takayuki Morimoto & Yoshinori Kawasaki - 169-191 Merton Model and Capital Measurement in Commercial Banks: A Case Study of Selected Emerging Countries in Southeast Asia
by Mohammadreza Janvisloo Alizadeh & Reza Sherafatian-Jahromi - 193-220 Analysis of Dynamic Correlation of Japanese Stock Returns with Network Clustering
by Takashi Isogai - 221-252 Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps
by Hiroaki Hata & Jun Sekine
June 2017, Volume 24, Issue 2
- 75-107 Weather Effects on Stock Returns and Volatility in South Asian Markets
by Muhammad Fayyaz Sheikh & Syed Zulfiqar Ali Shah & Shahid Mahmood - 109-129 An Algorithmic Approach to Optimal Asset Liquidation Problems
by Juri Hinz & Jeremy Yee - 131-148 VIX Forecast Under Different Volatility Specifications
by Ying Wang & Hoi Ying Wong
March 2017, Volume 24, Issue 1
- 1-18 Optimal Hedging of Basket Barrier Options with Additive Models and Its Application to Equity Value Separation Problem
by Yuji Yamada - 19-38 Pricing CIR Yield Options by Conditional Moment Matching
by Adrian Prayoga & Nicolas Privault - 39-73 Effects of Jumps and Small Noise in High-Frequency Financial Econometrics
by Naoto Kunitomo & Daisuke Kurisu
December 2016, Volume 23, Issue 4
- 281-304 Speculative Futures Trading under Mean Reversion
by Tim Leung & Jiao Li & Xin Li & Zheng Wang - 305-335 On the Price of Risk Under a Regime Switching CGMY Process
by Pious Asiimwe & Charles Wilson Mahera & Olivier Menoukeu-Pamen - 337-373 An Asymptotic Expansion for Forward–Backward SDEs: A Malliavin Calculus Approach
by Akihiko Takahashi & Toshihiro Yamada
September 2016, Volume 23, Issue 3
- 229-262 Measuring Credit Risk of Individual Corporate Bonds in US Energy Sector
by Takeaki Kariya & Yoko Tanokura & Hideyuki Takada & Yoshiro Yamamura - 263-279 Central Bank Intervention in USD/INR Market: Estimating Its Reaction Function and Impact on Volatility
by Smita Roy Trivedi & P. G. Apte
June 2016, Volume 23, Issue 2
- 137-152 Expectations Hypothesis and Term Structure of Interest Rates: An Evidence from Emerging Market
by Hassan Shareef & Santhakumar Shijin - 175-201 Bond Market Development, Economic Growth and Other Macroeconomic Determinants: Panel VAR Evidence
by Rudra P. Pradhan & Mak B. Arvin & Sara E. Bennett & Mahendhiran Nair & John H. Hall - 203-227 The Effects of Analysts’ Herding on Traders: Evidence from the Taiwan Stock Market
by Po-Jung Chen
March 2016, Volume 23, Issue 1
- 1-44 Commodity Spread Option with Cointegration
by Katsushi Nakajima & Kazuhiko Ohashi - 45-68 Explaining Size Effect for Indian Stock Market
by Asheesh Pandey & Sanjay Sehgal - 69-83 The End of the Month Option and Other Embedded Options in Futures Contracts
by Kristoffer Lindensjö - 85-106 Pricing Foreign Exchange Options Under Intervention by Absorption Modeling
by Taiga Saito
November 2015, Volume 22, Issue 4
- 369-396 Real Estate Pricing Models: Theory, Evidence, and Implementation
by Hiroshi Ishijima & Akira Maeda - 397-427 Credit Risk Analysis on Euro Government Bonds-Term Structures of Default Probabilities
by Takeaki Kariya & Yoshiro Yamamura & Yoko Tanokura & Zhu Wang - 429-444 Change Point Analysis of Exchange Rates Using Bootstrapping Methods: An Application to the Indonesian Rupiah 2000–2008
by Amirullah Hardi & Ken-ichi Kawai & Sangyeol Lee & Koichi Maekawa
September 2015, Volume 22, Issue 3
- 239-260 An FBSDE Approach to American Option Pricing with an Interacting Particle Method
by Masaaki Fujii & Seisho Sato & Akihiko Takahashi - 261-282 An Empirical Study of Liquidity and Return Autocorrelations in the Chinese Stock Market
by Chen Yang - 283-304 Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method
by Masaaki Fujii & Akihiko Takahashi - 305-331 Credit Derivative Evaluation and CVA Under the Benchmark Approach
by Jan Baldeaux & Eckhard Platen - 333-368 The SIML Estimation of Integrated Covariance and Hedging Coefficient Under Round-off Errors, Micro-market Price Adjustments and Random Sampling
by Naoto Kunitomo & Hiroumi Misaki & Seisho Sato
May 2015, Volume 22, Issue 2
- 113-132 Analytical Solutions for Expected Loss and Standard Deviation of Loss with an Additional Loan
by Satoshi Yamashita & Toshinao Yoshiba - 133-149 Asset Pricing Using Trading Volumes in a Hidden Regime-Switching Environment
by Robert Elliott & Tak Siu - 151-184 Understanding Delta-Hedged Option Returns in Stochastic Volatility Environments
by Hiroshi Sasaki - 185-207 An Approximation Scheme for Diffusion Processes Based on an Antisymmetric Calculus over Wiener Space
by Kazuhiro Yoshikawa - 209-237 Dynamic Investment Strategy with Factor Models Under Regime Switches
by Takahiro Komatsu & Naoki Makimoto
November 2014, Volume 21, Issue 4
- 281-315 Randomised Mixture Models for Pricing Kernels
by Andrea Macrina & Priyanka Parbhoo - 317-330 Optimal Asset-Liability Management for an Insurer Under Markov Regime Switching Jump-Diffusion Market
by Jun Yu - 331-349 The Influence of Japan’s Unsecured Overnight Call Rate on Bull and Bear Markets and Market Turns
by Mai Shibata - 351-396 Asymptotic Expansion Formula of Option Price Under Multifactor Heston Model
by Kazuki Nagashima & Tsz-Kin Chung & Keiichi Tanaka
September 2014, Volume 21, Issue 3
- 193-236 Optimal Portfolio Selection Based on Expected Shortfall Under Generalized Hyperbolic Distribution
by Budhi Surya & Ryan Kurniawan - 237-261 A Continuous-Time Optimal Insurance Design with Costly Monitoring
by Hisashi Nakamura & Koichiro Takaoka - 263-280 Large Deviations for the Extended Heston Model: The Large-Time Case
by Antoine Jacquier & Aleksandar Mijatović
May 2014, Volume 21, Issue 2
- 97-120 A Discrete-Time Clark-Ocone Formula for Poisson Functionals
by Takafumi Amaba - 121-131 Evidence on Hedging Effectiveness in Indian Derivatives Market
by Barik Kumar & M. Supriya - 133-149 Portfolio Selection and Optimization with Higher Moments: Evidence from the Indian Stock Market
by K. Saranya & P. Prasanna - 151-174 A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information
by Takashi Kato & Jun Sekine & Hiromitsu Yamamoto - 175-191 Intangible Asset Valuation Model Using Panel Data
by Tomohiro Yamaguchi
March 2014, Volume 21, Issue 1
- 1-14 Application of Homotopy Analysis Method to Option Pricing Under Lévy Processes
by Takayuki Sakuma & Yuji Yamada - 15-34 Asset Pricing and Share Reforms: An Anatomy of China’s Investable Stocks
by Xiao-Ming Li - 35-66 Expected Log-Utility Maximization Under Incomplete Information and with Cox-Process Observations
by Kazufumi Fujimoto & Hideo Nagai & Wolfgang Runggaldier - 67-96 Foreign Ownership and Firm Value: Evidence from Australian Firms
by Anil Mishra
November 2013, Volume 20, Issue 4
- 311-344 Asymptotic Expansion for Term Structures of Defaultable Bonds with Non-Gaussian Dependent Innovations
by Masakazu Miura & Kenichiro Tamaki & Takayuki Shiohama - 345-381 Does Cross-Listing Benefit the Shareholders? Evidence from Companies in the GCC Countries?
by Mejda Bahlous - 383-430 Forecasting Long-Term Interest Rates with a General-Equilibrium Model of the Euro Area: What Role for Liquidity Services of Bonds?
by Paolo Zagaglia
September 2013, Volume 20, Issue 3
- 219-242 Informed Futures Trading and Price Discovery: Evidence from Taiwan Futures and Stock Markets
by Yi-Tsung Lee & Wei-Shao Wu & Yun Yang - 243-259 An Empirical Comparison of Two Stochastic Volatility Models using Indian Market Data
by Srikanth Iyer & Seema Nanda & Swapnil Kumar - 261-281 Optimal Investment and Consumption with Default Risk: HARA Utility
by Lijun Bo & Xindan Li & Yongjin Wang & Xuewei Yang - 283-309 An Analytical Evaluation Method of the Operational Risk Using Fast Wavelet Expansion Techniques
by Kensuke Ishitani & Kenichi Sato
May 2013, Volume 20, Issue 2
- 113-129 Idiosyncratic Volatility and the Expected Stock Returns for Exploring the Relationship with Panel Threshold Regression
by Mu-Shun Wang - 131-146 Using Interest Rate Derivative Prices to Estimate LIBOR-OIS Spread Dynamics and Systemic Funding Liquidity Shock Probabilities
by Cho-Hoi Hui & Tsz-Kin Chung & Chi-Fai Lo - 147-182 Pricing Exotic Options and American Options: A Multidimensional Asymptotic Expansion Approach
by Masahiro Nishiba - 183-217 Emission Allowance as a Derivative on Commodity-Spread
by Katsushi Nakajima & Kazuhiko Ohashi
March 2013, Volume 20, Issue 1
- 1-30 Financial Crisis and Corporate Liquidity: Implications for Emerging Markets
by Naiwei Chen & Meiya Chang - 31-47 How does Monetary Policy Influence Capital Markets? Using a Threshold Regression Model
by Guan-Ru Chen & Ming-Hung Wu - 49-70 Price Discovery in Chinese Stock Index Futures Market: New Evidence Based on Intraday Data
by Yang Hou & Steven Li - 71-81 Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion
by Yuri Imamura & Katsuya Takagi - 83-111 Forecasting Intraday Volatility and Value-at-Risk with High-Frequency Data
by Mike So & Rui Xu
November 2012, Volume 19, Issue 4
- 319-329 Factor Models for Option Pricing
by Peter Carr & Dilip Madan - 331-352 Samuelson Hypothesis & Indian Commodity Derivatives Market
by Saurabh Gupta & Prabina Rajib - 353-370 Performance Regularity: A New Class of Executive Compensation Packages
by Carole Bernard & Olivier Le Courtois - 371-389 A Time Series Analysis of Economical Phenomena in Japan’s Lost Decade (1): Determinacy Property of the Velocity of Money and Equilibrium Solution
by Yuji Nakano & Yasunori Okabe - 391-415 Unilateral Counterparty Risk Valuation for CDS Under a Regime Switching Interacting Intensities Model
by Yinghui Dong & Xue Liang & Guojing Wang
September 2012, Volume 19, Issue 3
- 205-232 Pricing Discrete Barrier Options Under Stochastic Volatility
by Kenichiro Shiraya & Akihiko Takahashi & Toshihiro Yamada - 233-258 Crossing the River by Touching Stones?: The Reform of Corporate Ownership in China
by Wenwen Zhan & John Turner - 259-292 Empirically Effective Bond Pricing Model and Analysis on Term Structures of Implied Interest Rates in Financial Crisis
by Takeaki Kariya & Jingsui Wang & Zhu Wang & Eiichi Doi & Yoshiro Yamamura - 293-318 Approximation of Asymmetric Multivariate Return Distributions
by Ba Chu
May 2012, Volume 19, Issue 2
- 99-117 Identifying Bull and Bear Markets in Japan
by Mai Shibata - 119-147 A Continuous-Time Analysis of Optimal Restructuring of Contracts with Costly Information Disclosure
by Hisashi Nakamura - 149-179 Properties of Optimal Smooth Functions in Additive Models for Hedging Multivariate Derivatives
by Yuji Yamada - 181-204 Default Risk and Equity Returns: Evidence from the Taiwan Equities Market
by Yu-Ling Lin & Ta-Cheng Chang & Su-Jing Yeh
March 2012, Volume 19, Issue 1
- 1-21 Convertible Bonds and Stock Liquidity
by Jason West - 23-41 Is Concentration a Good Idea? Evidence from Active Fund Management
by Pei-I Chou & Chia-Hao Lee - 43-62 Modeling of Contagious Credit Events and Risk Analysis of Credit Portfolios
by Suguru Yamanaka & Masaaki Sugihara & Hidetoshi Nakagawa - 63-98 The Minimal Entropy Martingale Measure (MEMM) for a Markov-Modulated Exponential Lévy Model
by Romuald Momeya & Zied Salah
November 2011, Volume 18, Issue 4
- 345-372 Pricing Derivatives using the Asymptotic Expansion Approach: Credit Migration Models with Stochastic Credit Spreads
by Yoshifumi Muroi & E. Takino - 373-384 Forecasting Japanese Stock Returns with Financial Ratios and Other Variables
by Kohei Aono & Tokuo Iwaisako - 385-403 Risk-sensitive Portfolio Optimization with Two-factor Having a Memory Effect
by Tadashi Hayashi & Jun Sekine - 405-427 Liquidity, Skewness and Stock Returns: Evidence from Chinese Stock Market
by Langnan Chen & Steven Li & Jinan Wang - 429-443 Using Nonnormal Distributions to Analyze the Relationship Between Stock Returns in Japan and the US
by Yuichi Nagahara
September 2011, Volume 18, Issue 3
- 231-266 On a Statistical Analysis of Implied Data
by Hajime Takahashi - 267-290 Lead–Lag Effects in Australian Industry Portfolios
by Tariq Haque - 291-317 Dynamic Relationship among Intraday Realized Volatility, Volume and Number of Trades
by Kerr Hatrick & Mike So & S. Chung & R. Deng - 319-344 Detection of Information Flow in Major International Financial Markets by Interactivity Network Analysis
by Abdelwahab Allali & Amor Oueslati & Abdelwahed Trabelsi
May 2011, Volume 18, Issue 2
- 129-129 Preface
by Hiroshi Ishijima - 131-150 Dynamic Investment Strategies to Reaction–Diffusion Systems Based upon Stochastic Differential Utilities
by Akira Kashiwabara & Nobuhiro Nakamura - 151-166 On the Verification Theorem of Dynamic Portfolio-Consumption Problems with Stochastic Market Price of Risk
by Toshiki Honda & Shoji Kamimura - 167-189 The Regime Switching Portfolios
by Hiroshi Ishijima & Masaki Uchida - 191-211 Constant Rebalanced Portfolio Optimization Under Nonlinear Transaction Costs
by Yuichi Takano & Jun-ya Gotoh - 213-229 Log Mean-Variance Portfolio Selection Under Regime Switching
by Hiroshi Ishijima & Masaki Uchida
March 2011, Volume 18, Issue 1
- 1-31 The Impact of Order Flow on the Foreign Exchange Market: A Copula Approach
by Yoshihiro Kitamura - 33-54 Valuation of Portfolio Credit Derivatives with Default Intensities Using the Vasicek Model
by Jin Liang & Jun Ma & Tao Wang & Qin Ji - 55-68 Empirical Study of Nikkei 225 Options with the Markov Switching GARCH Model
by Kiyotaka Satoyoshi & Hidetoshi Mitsui - 69-87 “Down-Side Risk” Probability Minimization Problem with Cox-Ingersoll-Ross’s Interest Rates
by Hiroaki Hata - 89-103 A Note on Utility Maximization with Unbounded Random Endowment
by Keita Owari - 105-127 A Multifactor Model of Credit Spreads
by Ramaprasad Bhar & Nedim Handzic
December 2010, Volume 17, Issue 4
- 323-324 Preface
by Takaki Hayashi - 325-343 Environmental Economics and Modeling Marketable Permits
by Luca Taschini - 345-363 Assessments of ‘Greenhouse Insurance’: A Methodological Review
by Takanobu Kosugi - 365-372 Solutions and Simulations of Some One-Dimensional Stochastic Differential Equations
by F. Klebaner & E. Azmy - 373-389 Coefficients of Asymptotic Expansions of SDE with Jumps
by Masafumi Hayashi - 391-436 The Instantaneous Volatility and the Implied Volatility Surface for a Generalized Black–Scholes Model
by Koichiro Takaoka & Hidenori Futami
September 2010, Volume 17, Issue 3
- 209-239 Comparing Firm Failure Predictions Between Logit, KMV, and ZPP Models: Evidence from Taiwan’s Electronics Industry
by En-Der Su & Shih-Ming Huang - 241-259 Remarks on the Nonlinear Black-Scholes Equations with the Effect of Transaction Costs
by Naoyuki Ishimura - 261-302 Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae
by Katja Ignatieva & Eckhard Platen - 303-322 The Impact of Derivatives Activity on Commercial Banks: Evidence from U.S. Bank Holding Companies
by Li Li & Zhang Yu
June 2010, Volume 17, Issue 2
- 99-111 Comparison of Black–Scholes Formula with Fractional Black–Scholes Formula in the Foreign Exchange Option Market with Changing Volatility
by Li Meng & Mei Wang - 113-140 An Empirical Analysis of Growth Options of Japanese Electronics Firms
by Gennady Latypov - 141-149 On the Predictability of Japanese Stock Returns Using Dividend Yield
by Kohei Aono & Tokuo Iwaisako - 151-169 Utility Indifference Hedging with Exponential Additive Processes
by Thorsten Rheinländer & Gallus Steiger - 171-207 The Value of Principles-Based Governance Practices and the Attenuation of Information Asymmetry
by Chaiyasit Anuchitworawong
March 2010, Volume 17, Issue 1
- 1-18 Valuation of a Repriceable Executive Stock Option
by Takahiko Fujita & Masahiro Ishii - 19-50 Dominance of a Class of Stein type Estimators for Optimal Portfolio Weights When the Covariance Matrix is Unknown
by Takuya Kinkawa & Nobuo Shinozaki - 51-61 Reforms in the Korean Financial Reporting Systems and Earnings Quality
by B. Lee & Soo Seo - 63-97 Efficiency of Microfinance Institutions: A Data Envelopment Analysis
by Mamiza Haq & Michael Skully & Shams Pathan
December 2009, Volume 16, Issue 4
- 265-285 Risk-Hedging in Real Estate Markets
by Abel Cadenillas & Robert Elliott & Hong Miao & Zhenyu Wu - 287-331 Recovery Process Model for Two Companies
by Yuki Itoh - 333-345 A Remark on a Singular Perturbation Method for Option Pricing Under a Stochastic Volatility Model
by Kyo Yamamoto & Akihiko Takahashi - 347-369 Multi-factor Affine Term Structure Model with Single Regime Shift: Real Term Structure under Zero Interest Rate
by Hidenori Futami
September 2009, Volume 16, Issue 3
- 169-181 Counterparty Risk for Credit Default Swaps: Markov Chain Interacting Intensities Model with Stochastic Intensity
by Kwai Leung & Yue Kwok - 183-210 Dynamic Modeling of Tail Risk: Applications to China, Hong Kong and Other Asian Markets
by Mike So & Alex Tse - 211-230 Dynamic Linkages Between the China and International Stock Markets
by Kui Fan & Zudi Lu & Shouyang Wang - 231-263 Macroeconomic Implications of Term Structures of Interest Rates Under Stochastic Differential Utility with Non-Unitary EIS
by Hisashi Nakamura & Wataru Nozawa & Akihiko Takahashi
June 2009, Volume 16, Issue 2
- 97-109 A Stochastic Correlation Model with Mean Reversion for Pricing Multi-Asset Options
by Jun Ma - 111-139 Evaluation of the MEMM, Parameter Estimation and Option Pricing for Geometric Lévy Processes
by Masatoshi Fujisaki & Dewei Zhang - 141-168 Informational Efficiency: Which Institutions Matter?
by Tao Chen
March 2009, Volume 16, Issue 1
- 1-31 Alternative Defaultable Term Structure Models
by Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlögl - 33-50 New Evidence on Risk Factors, Characteristics and the Cross-Sectional Variation of Japanese Stock Returns
by Elhaj Walid - 51-63 Volatility Forecasting in the Hang Seng Index using the GARCH Approach
by Wei Liu & Bruce Morley - 65-95 The Minimal Entropy Martingale Measures for Exponential Additive Processes
by Tsukasa Fujiwara
December 2008, Volume 15, Issue 3
- 155-173 q-Optimal Martingale Measures for Discrete Time Models
by Takuji Arai & Muneki Kawaguchi - 175-184 A Method of Calculating the Downside Risk by Multivariate Nonnormal Distributions
by Yuichi Nagahara - 185-207 Macroeconomic News, Business Cycles and Australian Financial Markets
by Victor Fang & Chien-Ting Lin & Kunaal Parbhoo - 209-228 Empirical Investigation of the Ability of Sensitivity of Stock Prices to Earnings News in Predicting Earnings Management and Management Forecast Errors
by Ali Anvary Rostamy & Mohammad Aghaee & Vahid Biglari - 229-253 An Explicit Finite Difference Approach to the Pricing Problems of Perpetual Bermudan Options
by Yoshifumi Muroi & Takashi Yamada - 255-272 The Determinants of Bank Capital Ratios in a Developing Economy
by Rubi Ahmad & M. Ariff & Michael Skully - 273-305 Term Structure of Interest Rates Under Recursive Preferences in Continuous Time
by Hisashi Nakamura & Keita Nakayama & Akihiko Takahashi - 307-347 Recovery Process Model
by Yuki Itoh
June 2008, Volume 15, Issue 2
- 97-115 Unifying Black–Scholes Type Formulae Which Involve Brownian Last Passage Times up to a Finite Horizon
by D. Madan & B. Roynette & M. Yor - 117-133 Is There a Size Effect in the Pricing of Stocks in the Chinese Stock Markets?: The Case of Bull Versus Bear Markets
by Robert Rutledge & Zhaohui Zhang & Khondkar Karim - 135-154 Regulations, Supervision Approaches and Acquisition Likelihood in the Asian Banking Industry
by Fotios Pasiouras & Chrysovalantis Gaganis & Constantin Zopounidis
March 2008, Volume 15, Issue 1
- 1-2 Editorial
by Yuji Yamada - 3-24 A Stochastic Receding Horizon Control Approach to Constrained Index Tracking
by James Primbs & Chang Sung - 25-45 Solving Singular Control from Optimal Switching
by Xin Guo & Pascal Tomecek - 47-65 Optimal Mortgage Refinancing with Regime Switches
by Toshio Kimura & Naoki Makimoto - 67-95 Optimal Hedging of Prediction Errors Using Prediction Errors
by Yuji Yamada
December 2007, Volume 14, Issue 4
- 277-297 Causal and Dynamic Relationships among Stock Returns, Return Volatility and Trading Volume: Evidence from Emerging markets in South-East Asia
by Anirut Pisedtasalasai & Abeyratna Gunasekarage - 299-324 A Factor Allocation Approach to Optimal Bond Portfolio
by Keita Nakayama & Akihiko Takahashi - 325-340 A Model Forecasting Risk for Emerging Market Currencies
by Masahiro Fukuhara & Yasufumi Saruwatari - 341-361 A Simple Measure for Examining the Proxy Problem of the Short-Rate
by Hideyuki Takamizawa - 363-386 Portfolio Insurance with Liquidity Risk
by Koichi Matsumoto
September 2007, Volume 14, Issue 3
- 185-199 A Class of Gaussian Hybrid Processes for Modeling Financial Markets
by Yasuyuki Itoh - 201-210 Foreign Ownership and Volatility Dynamics of Indonesian Stocks
by Jianxin Wang - 211-227 Board Size, Independence and Performance: An Analysis of Thai Banks
by Shams Pathan & Michael Skully & J. Wickramanayake - 229-253 Reduced-form Models with Regime Switching: An Empirical Analysis for Corporate Bonds
by Hoi Wong & Tsz Wong - 255-275 On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity
by Tak Siu & John Lau & Hailiang Yang
March 2007, Volume 14, Issue 1
- 1-23 Estimation and Prediction of a Non-Constant Volatility
by Vyacheslav Abramov & Fima Klebaner - 25-43 A Benchmark Approach to Portfolio Optimization under Partial Information
by Eckhard Platen & Wolfgang Runggaldier - 69-121 An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates
by Akihiko Takahashi & Kohta Takehara
December 2006, Volume 13, Issue 4
- 297-297 Preface
by S. Omata - 299-313 What is the Natural Scale for a Lévy Process in Modelling Term Structure of Interest Rates?
by Jirô Akahori & Takahiro Tsuchiya - 315-326 On the Hoggard–Whalley–Wilmott Equation for the Pricing of Options with Transaction Costs
by Hitoshi Imai & Naoyuki Ishimura & Ikumi Mottate & Masaaki Nakamura - 327-344 Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes
by Jérémy Poirot & Peter Tankov - 345-372 Pricing and Hedging of Multi Type Contracts under Multidimensional Risks in Incomplete Markets Modeled by General Itô SDE Systems
by Srdjan Stojanovic - 373-394 Portfolio Optimization in Discontinuous Markets under Incomplete Information
by Giorgia Callegaro & Giovanni Masi & Wolfgang Runggaldier
September 2006, Volume 13, Issue 3
- 181-205 The Asian Financial Crisis and Investors’ Risk Aversion
by Yasuo Nishiyama - 207-233 Existence of Unsolicited Ratings
by Bappaditya Mukhopadhyay - 235-258 On a Non-linear Risk Analysis for Stock Market Indexes
by Kenjiro Suzuki & Yasunori Okabe & Takaaki Fujii - 259-259 On a Non-linear Risk Analysis for Stock Market Indexes
by Kenjiro Suzuki & Yasunori Okabe & Takaaki Fujii - 261-295 Risk Management for Linear and Non-Linear Assets: A Bootstrap Method with Importance Resampling to Evaluate Value-at-Risk
by Shih-Kuei Lin & Ren-Her Wang & Cheng-Der Fuh
June 2006, Volume 13, Issue 2
- 95-111 Non-linear long horizon returns predictability: evidence from six south-east Asian markets
by David McMillan & Alan Speight - 113-127 Portfolio optimization with a defaultable security
by Tomasz Bielecki & Inwon Jang - 129-149 Risk measures for derivatives with Markov-modulated pure jump processes
by Robert Elliott & Leunglung Chan & Tak Siu - 151-179 Generalizations of Ho–Lee’s binomial interest rate model I: from one- to multi-factor
by Jirô Akahori & Hiroki Aoki & Yoshihiko Nagata
March 2006, Volume 13, Issue 1
- 1-9 Component structures of agricultural commodity futures traded on the Tokyo Grain Exchange
by Ramaprasad Bhar & Shigeyuki Hamori - 11-39 Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model
by Olivier Le Courtois & François Quittard-Pinon - 41-69 Mean and volatility dynamics of Indian rupee/US dollar exchange rate series: an empirical investigation
by Rituparna Kar & Nityananda Sarkar - 71-93 Evidence on the arbitrage efficiency of SPI index futures and options markets
by Steven Li & Elia Alfay
December 2005, Volume 12, Issue 4
- 289-306 On the asymptotic behavior of the prices of Asian options
by Yuji Hishida & Kenji Yasutomi - 307-332 Dynamical analysis of corporate bonds based on the yield spread term-quality surface
by Tomoaki Shouda - 333-352 Lévy processes driven by stochastic volatility
by Kyriakos Chourdakis - 353-373 Optimal policies of call with notice period requirement
by Min Dai & Yue Kwok - 375-403 Optimal risk transfer and investment policies based upon stochastic differential utilities
by Nobuhiro Nakamura