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Content
September 2005, Volume 12, Issue 3
- 199-226 Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility
by David McMillan & Alan Speight - 227-244 Comparison of randomization techniques for low-discrepancy sequences in finance
by Tsutomu Tamura - 245-271 The volume–volatility relationship and the opening of the Korean stock market to foreign investors after the financial turmoil in 1997
by J. Kim & A. Kartsaklas & M. Karanasos - 273-287 A discrete Itô calculus approach to He’s framework for multi-factor discrete markets
by Jirô Akahori
June 2005, Volume 12, Issue 2
- 109-141 Inference Methods for Discretely Observed Continuous-Time Stochastic Volatility Models: A Commented Overview
by J. Jimenez & R. Biscay & T. Ozaki - 143-157 Testing for Volatility Jumps in the Stochastic Volatility Process
by Masahito Kobayashi - 159-179 Dynamic Efficiency in the East European Emerging Markets
by Yoshihiko Tsukuda & Tatsuyoshi Miyakoshi & Junji Shimada - 181-198 Option Approach to Search for Threshold Rice Price Toward Sustainable Paddy Field Management
by Atsushi Yoshimoto
March 2005, Volume 12, Issue 1
- 1-28 Intraday Empirical Analysis and Modeling of Diversified World Stock Indices
by Wolfgang Breymann & Leah Kelly & Eckhard Platen - 29-44 A Modified GARCH Model with Spells of Shocks
by Qingfeng Liu & Kimio Morimune - 45-60 Market Efficiency and Returns to Simple Technical Trading Rules: Further Evidence from U.S., U.K., Asian and Chinese Stock Markets
by Bill Cai & Charlie Cai & Kevin Keasey - 61-90 Bank Exposure to Interest Rate Risks During Financial Liberalization: Evidence from South Korea
by Raj Aggarwal & B. Jeon & Xinlei Zhao - 91-107 The Determinants of Foreign Currency Hedging–Evidence from Hong Kong Non-Financial Firms
by Chao Hu & Pengguo Wang
December 2004, Volume 11, Issue 4
- 367-391 From the Minimal Entropy Martingale Measures to the Optimal Strategies for the Exponential Utility Maximization: the Case of Geometric Lévy Processes
by Tsukasa Fujiwara - 393-430 A New Computational Scheme for Computing Greeks by the Asymptotic Expansion Approach
by Ryosuke Matsuoka & Akihiko Takahashi & Yoshihiko Uchida - 431-444 A Complete-Market Generalization of the Black-Scholes Model
by Koichiro Takaoka - 445-451 Exact Solutions of a Model for Asset Prices by K. Takaoka
by Naoyuki Ishimura & Toshi-hiko Sakaguchi
September 2004, Volume 11, Issue 3
- 215-215 Preface
by Takaki Hayashi - 217-232 Columbia University Program in Mathematics of Finance and JAFEE
by Mikhail Smirnov - 233-266 Analyses of Mortgage-Backed Securities Based on Unobservable Prepayment Cost Processes
by Hidetoshi Nakagawa & Tomoaki Shouda - 267-300 Numerical Approach to Asset Pricing Models with Stochastic Differential Utility
by Nobuhiro Nakamura - 301-333 Pricing European Options by Numerical Replication: Quadratic Programming with Constraints
by Valeriy Ryabchenko & Sergey Sarykalin & Stan Uryasev - 335-365 Properties of Multinomial Lattices with Cumulants for Option Pricing and Hedging
by Yuji Yamada & James Primbs
June 2004, Volume 11, Issue 2
- 135-141 Good-Deal Option Price Bounds for a Non-Traded Event with Stochastic Return: A Note
by Yong-Jin Kim - 143-160 A New Control Variate Estimator for an Asian Option
by Kenji Kamizono & Takeaki Kariya & Regina Liu & Teruo Nakatsuma - 161-184 On Bayesian Value at Risk: From Linear to Non-Linear Portfolios
by Tak Siu & Howell Tong & Hailiang Yang - 185-214 Valuation of Residential Mortgage-Backed Securities with Default Risk Using an Intensity-Based Approach
by Toru Sugimura
March 2004, Volume 11, Issue 1
- 1-22 Diversified Portfolios with Jumps in a Benchmark Framework
by Eckhard Platen - 23-53 A Fair Pricing Approach to Weather Derivatives
by Eckhard Platen & Jason West - 55-77 Understanding the Implied Volatility Surface for Options on a Diversified Index
by David Heath & Eckhard Platen - 79-105 A Benchmark Approach to Filtering in Finance
by Eckhard Platen & Wolfgang Runggaldier - 107-133 A Two-Factor Model for Low Interest Rate Regimes
by Shane Miller & Eckhard Platen
December 2003, Volume 10, Issue 4
- 281-300 Investor Familiarity and Home Bias: Japanese Evidence
by Takato Hiraki & Akitoshi Ito & Fumiaki Kuroki - 301-317 Crisis and Creative Destruction: Cases of Korean and Japanese Stock Markets
by Shumpei Takemori & Kenji Wada - 319-334 The Halloween Effect and Japanese Equity Prices: Myth or Exploitable Anomaly
by Edwin Maberly & Raylene Pierce - 335-357 Forecasting Credit Spread Volatility: Evidence from the Japanese Eurobond Market
by Brock Johnson & Jonathan Batten - 359-376 Are Banks Affiliated with Bank Holding Companies More Efficient Than Independent Banks? The Recent Experience Regarding Japanese Regional BHCs
by Nobuyoshi Yamori & Kozo Harimaya & Kazumine Kondo - 377-398 A Note on Credit Risk of Vertical Keiretsu Firms: Preliminary Evidence from the Japanese Automobile Industry
by Naoya Takezawa & Nobuya Takezawa
September 2003, Volume 10, Issue 2
- 87-127 A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework
by Carl Chiarella & Christina Sklibosios - 129-149 Implied Default Probability and Credit Derivatives
by Koichi Matsumoto - 151-162 On the Pricing of Defaultable Bonds Using the Framework of Barrier Options
by Motokazu Ishizaka & Koichiro Takaoka - 163-185 Is Volatility the Best Predictor of Market Crashes?
by Chikashi Tsuji - 187-204 Effectiveness of Stochastic Neural Network for Prediction of Fall or Rise of TOPIX
by Shigeo Kamitsuji & Ritei Shibata - 205-237 Productivity and Technical Change in Malaysian Banking: 1989–1998
by Ergun Dogan & Dietrich Fausten - 239-274 Long-Run Operating Performance of Initial Public Offerings in Japanese Over-the-Counter Market (1991–2001): Evidence and Implications
by Daying Yan & Jun Cai - 275-279 A Note on Gaussian Estimation of the CKLS and CIR Models with Feedback Effects for Japan
by K. Nowman
2003, Volume 10, Issue 1
- 1-28 Financial Sector Risk and the Stock Returns: Evidence from Tokyo Stock Exchange Firms
by Keiichi Kubota & Hitoshi Takehara - 29-44 Price Linkages in Asian Equity Markets: Evidence Bordering the Asian Economic, Currency and Financial Crises
by Andrew C. Worthington & Masaki Katsuura & Helen Higgs - 45-57 Profitability of the CRISMA System: From World Indices to the Hong Kong Stock Market
by Wai-Yan Cheng & Yan Leung Cheung & Haynes H. M. Yung - 59-85 Prediction of Individual Bond Prices via a Dynamic Bond Pricing Model: Application to Japanese Government Bond Price Data
by Hiroshi Tsuda
January 1999, Volume 6, Issue 1
- 1-2 Introduction
by Jakša Cvitanić - 3-6 On the Quasi Gaussian Interest Rate Models
by Jirô Akahori - 7-35 Methods of Partial Hedging
by Jakša Cvitanić - 37-48 Financial Modeling in a Fast Mean-Reverting Stochastic Volatility Environment
by Jean-Pierre Fouque & George Papanicolaou & K. Sircar - 49-70 Pricing Options under Stochastic Interest Rates: A New Approach
by Yong-Jin Kim & Naoto Kunitomo - 71-84 Bayesian Estimation of ARMA-GARCH Model of Weekly Foreign Exchange Rates
by Teruo Nakatsuma & Hiroki Tsurumi
November 1998, Volume 5, Issue 3
- 191-209 The Impact of the U.S. and the Japanese Equity Markets on the Emerging Asia-Pacific Equity Markets
by Baekin Cha & Yan-leung Cheung - 211-225 Transmission of Stock Returns and Volatility between the U.S. and Japan: Evidence from the Stock Index Futures Markets
by Ming-Shiun Pan & L. Hsueh - 227-236 A Note on the Term Structure of Implied Volatilities for the Yen/U.S. Dollar Currency Option
by Nobuya Takezawa & Noriyoshi Shiraishi - 237-259 Underpricing, Subsequent Equity Offerings, and the Long-Run Performance of Japanese IPOs
by Takehiko Isobe & Akitoshi Ito & Joseph Kairys - 261-274 Weekly Pattern of Exchange Rate Risks: Evidence from Ten Asian-Pacific Currencies
by Gordon Tang - 275-307 Monthly Pattern and Portfolio Effect on Higher Moments of Stock Returns: Empirical Evidence from Hong Kong
by Gordon Tang
May 1998, Volume 5, Issue 2
- 99-128 Unconditional and Conditional Distributional Models for the Nikkei Index
by Stefan Mittnik & Marc Paolella & Svetlozar Rachev - 129-158 The Pricing Formula for Commodity-Linked Bonds with Stochastic Convenience Yields and Default Risk
by Ryozo Miura & Hiroaki Yamauchi - 159-183 Econometric Analysis of a Continuous Time Multi-Factor Generalized Vasicek Term Structure Model: International Evidence
by Simon Babbs & K. Nowman
May 1997, Volume 4, Issue 2
- 97-124 Subordinated Market Index Models: A Comparison
by Simon Hurst & Eckhard Platen & Svetlozar Rachev - 125-146 Decomposition of Japanese Yen Interest Rate Data Through Local Regression
by Ritei Shibata & Ryozo Miura - 147-169 Stock Market Returns and Economic Fundamentals in an Emerging Market: The Case of Korea
by Fangxiong Gong & Roberto Mariano - 171-177 Abnormal Stock Returns Following Large One-day Advances and Declines: Evidence from Asia-Pacific Markets
by Michael Wong - 179-185 Convex Structure of the Constrained Least Square Problem for Estimating the Forward Rate Sequence
by Hiroshi Konno