Asia-Pacific Financial Markets

Short Title:	Asia-Pac. Financ. Mark.
Publisher:	Springer Japan, Tokyo
ISSN:	1387-2834; 1573-6946/e
Online:	https://link.springer.com/journal/10690/volumes-and-issues
Predecessor:	Financial Engineering and the Japanese Markets
Comments:	Journal

Documents Indexed:	454 Publications (since 1997)
References Indexed:	339 Publications with 10,858 References.

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Latest Issues

31, No. 2 (2024)
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5, No. 3 (1998)
5, No. 2 (1998)
...and 2 more Volumes

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Authors

14	Takahashi, Akihiko
12	Platen, Eckhard
8	Yamada, Yuji
7	Kariya, Takeaki
6	Konno, Hiroshi
6	Nakamura, Nobuhiro
6	Shen, Dehua
6	Shirakawa, Hiroshi
5	Ishijima, Hiroshi
5	Miyahara, Yoshio
5	Tsurumi, Hiroki
4	Akahori, Jirô
4	Bhar, Ramaprasad
4	Cheung, Yan-Leung
4	Chiarella, Carl
4	Fujita, Takahiko
4	Kim, Jeong-Bon
4	le Courtois, Olivier
4	Miura, Ryozo
4	Nakajima, Katsushi
4	Nakamura, Hisashi
4	Runggaldier, Wolfgang J.
4	Sekine, Jun
4	Siu, Tak Kuen
4	So, Mike K. P.
3	Chung, Hay Y.
3	Delbaen, Freddy
3	Elliott, Robert James
3	Fujii, Masaaki
3	Hata, Hiroaki
3	Hodoshima, Jiro
3	Ishimura, Naoyuki
3	Kim, Yongjin
3	Klebaner, Fima C.
3	Kunitomo, Naoto
3	Madan, Dilip B.
3	Makimoto, Naoki
3	Matsumoto, Koichi
3	Mitra, Sovan
3	Muroi, Yoshifumi
3	Nakatsuma, Teruo
3	Primbs, James A.
3	Sato, Seisho
3	Takahashi, Hajime
3	Takaoka, Koichiro
3	Tang, Gordon Y.-N.
3	Tsuda, Hiroshi
3	Wong, Michael C. S.
2	Arai, Takuji
2	Ben Nowman, K.
2	Chakrabarty, Siddhartha Pratim
2	Chung, Tsz-Kin
2	Cvitanić, Jakša
2	Fong, Wai Mun
2	Fujiwara, Tsukasa
2	Futami, Hidenori
2	Hamori, Shigeyuki
2	Hayashi, Takaki
2	Heath, David C.
2	Hishida, Yuji
2	Honda, Toshiki
2	Huang, Tai-Hsin
2	Hui, Cho-Hoi
2	Hung, Ngo Thai
2	Hurst, Simon R.
2	Ito, Akitoshi
2	Itoh, Yuki
2	Jokung, Octave
2	Kayal, Parthajit
2	Kim, Suduk
2	Kiriu, Takuya
2	Kobayashi, Hisanori
2	Kwok, Yue-Kuen
2	Kwon, Oh Kang
2	Lau, Wee-Yeap
2	Li, Xiao
2	Lo, Chi-Fai
2	Maeda, Akira
2	Miwa, Kotaro
2	Miyakoshi, Tatsuyoshi
2	Morimoto, Takayuki
2	Mortazian, Mona
2	Nakagawa, Hidetoshi
2	Nakayama, Keita
2	Nicolau, João
2	Nikitopoulos Sklibosios, Christina
2	Ōhashi, Kazuhiko
2	Ohnishi, Masamitsu
2	Okabe, Yasunori
2	Panda, Pradiptarathi
2	Rabbani, Naheed
2	Rachev, Svetlozar T.
2	Ševčovič, Daniel
2	Shibata, Ritei
2	Shiohama, Takayuki
2	Shouda, Tomoaki
2	Skully, Michael J.
2	Sugimura, Toru
2	Takezawa, Nobuya
2	Tsuji, Chikashi
...and 568 more Authors

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Fields

448	Game theory, economics, finance, and other social and behavioral sciences (91-XX)
90	Statistics (62-XX)
84	Probability theory and stochastic processes (60-XX)
13	Numerical analysis (65-XX)
12	Systems theory; control (93-XX)
10	Operations research, mathematical programming (90-XX)
8	Partial differential equations (35-XX)
7	General and overarching topics; collections (00-XX)
5	Calculus of variations and optimal control; optimization (49-XX)
3	Ordinary differential equations (34-XX)
3	Approximations and expansions (41-XX)
3	Computer science (68-XX)
1	Field theory and polynomials (12-XX)
1	Measure and integration (28-XX)
1	Harmonic analysis on Euclidean spaces (42-XX)
1	Biology and other natural sciences (92-XX)
1	Information and communication theory, circuits (94-XX)

Publications by Year

all cited Publications top 5 cited Publications

Citations contained in zbMATH Open

217 Publications have been cited 1,068 times in 905 Documents	Cited by ▼	Year ▼
An asymptotic expansion approach to pricing financial contingent claims. Zbl 1153.91568 Takahashi, Akihiko	58	1999
Portfolio optimization with a defaultable security. Zbl 1283.91163 Bielecki, Tomasz R.; Jang, Inwon	48	2006
A note on option pricing for the constant elasticity of variance model. Zbl 1072.91020 Delbaen, Freddy; Shirakawa, Hiroshi	40	2002
Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs. Zbl 1422.91694 Fujii, Masaaki; Takahashi, Akihiko; Takahashi, Masayuki	39	2019
No arbitrage condition for positive diffusion price processes. Zbl 1074.91014 Delbaen, Freddy; Shirakawa, Hiroshi	39	2002
An interest rate model with upper and lower bounds. Zbl 1071.91020 Delbaen, Freddy; Shirakawa, Hiroshi	36	2002
Monte Carlo option pricing for tempered stable (CGMY) processes. Zbl 1283.91196 Poirot, Jérémy; Tankov, Peter	24	2006
Subordinated market index models: A comparison. Zbl 1153.91788 Hurst, Simon R.; Platen, Eckhard; Rachev, Svetlozar T.	22	1997
Geometric Lévy process & MEMM pricing model and related estimation problems. Zbl 1070.91012 Miyahara, Yoshio	22	2001
Minimal entropy martingale measures of jump type price processes in incomplete assets markets. Zbl 1153.91549 Miyahara, Yoshio	21	1999
Squared Bessel processes and their applications to the square root interest rate model. Zbl 1034.60074 Shirakawa, Hiroshi	21	2002
Portfolio optimization under lower partial risk measures. Zbl 1056.91032 Konno, Hiroshi; Waki, Hayato; Yuuki, Atsushi	18	2002
Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon. Zbl 1163.91414 Madan, Dilip B.; Roynette, Bernard; Yor, Marc	16	2008
Diversified portfolios with jumps in a benchmark framework. Zbl 1075.91022 Platen, Eckhard	16	2004
An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates. Zbl 1151.91545 Takahashi, Akihiko; Takehara, Kohta	15	2007
Unconditional and conditional distributional models for the Nikkei index. Zbl 1153.91721 Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T.	14	1998
Pricing options under stochastic interest rates: a new approach. Zbl 1157.91363 Kim, Yong-Jin; Kunitomo, Naoto	14	1999
Analysis of the nonlinear option pricing model under variable transaction costs. Zbl 1418.91538 Ševčovič, Daniel; Žitňanská, Magdaléna	14	2016
Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model. Zbl 1131.91354 Le Courtois, Olivier; Quittard-Pinon, François	14	2006
Financial modeling in a fast mean-reverting stochastic volatility environment. Zbl 1157.91358 Fouque, Jean-Pierre; Papanicolaou, George; Sircar, K. Ronnie	13	1999
Portfolio optimization in discontinuous markets under incomplete information. Zbl 1124.93068 Callegaro, Giorgia; Di Masi, Giovanni B.; Runggaldier, Wolfgang J.	13	2006
A new computational scheme for computing Greeks by the asymptotic expansion approach. Zbl 1154.91512 Matsuoka, Ryosuke; Takahashi, Akihiko; Uchida, Yoshihiko	13	2004
Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity. Zbl 1187.91222 Leung, Kwai Sun; Kwok, Yue Kuen	12	2009
Pricing discrete barrier options under stochastic volatility. Zbl 1282.91347 Shiraya, Kenichiro; Takahashi, Akihiko; Yamada, Toshihiro	11	2012
Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility. Zbl 1195.91163 Meng, Li; Wang, Mei	10	2010
Cusum techniques for technical trading in financial markets. Zbl 1153.91794 Lam, Kin; Yam, H. C.	10	1997
Classes of interest rate models under the HJM framework. Zbl 1089.91018 Chiarella, Carl; Kwon, Oh Kang	10	2001
Option pricing under stochastic interest rates: an empirical investigation. Zbl 1059.91044 Kim, Yong-Jin	10	2002
Exotic passport options. Zbl 1153.91553 Penaud, Antony; Wilmott, Paul; Ahn, Hyungsok	9	1999
Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs. Zbl 1195.91157 Ishimura, Naoyuki	9	2010
The credit risk and pricing of OTC options. Zbl 1151.91525 Liang, Gechun; Ren, Xuemin	9	2007
Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market. Zbl 1368.91167 Yu, Jun	9	2014
Perturbative expansion technique for non-linear FBSDEs with interacting particle method. Zbl 1368.65009 Fujii, Masaaki; Takahashi, Akihiko	9	2015
Pricing mortgage-backed securities (MBS). Zbl 1153.91425 Kariya, Takeaki; Kobayashi, Masaaki	8	2000
A complete Markovian stochastic volatility model in the HJM framework. Zbl 1153.91474 Chiarella, Carl; Kwon, Oh Kang	8	2000
Properties of multinomial lattices with cumulants for option pricing and hedging. Zbl 1154.91488 Yamada, Yuji; Primbs, James A.	8	2004
A class of jump-diffusion bond pricing models within the HJM framework. Zbl 1137.91438 Chiarella, Carl; Sklibosios, Christina Nikitopoulos	8	2003
Valuation of portfolio credit derivatives with default intensities using the Vasicek model. Zbl 1208.91147 Liang, Jin; Ma, Jun Mei; Wang, Tao; Ji, Qin	7	2011
On the Hoggard-Whalley-Wilmott equation for the pricing of options with transaction costs. Zbl 1283.91176 Imai, Hitoshi; Ishimura, Naoyuki; Mottate, Ikumi; Nakamura, Masaaki	7	2006
Edokko options: a new framework of barrier options. Zbl 1056.91030 Fujita, Takahiko; Miura, Ryozo	7	2002
A fair pricing approach to weather derivatives. Zbl 1075.91024 Platen, Eckhard; West, Jason	7	2004
Modelling co-movements and tail dependency in the international stock market via copulae. Zbl 1195.91182 Ignatieva, Katja; Platen, Eckhard	6	2010
The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model. Zbl 1245.91092 Momeya, Romuald Hervé; Salah, Zied Ben	6	2012
Lévy processes driven by stochastic volatility. Zbl 1283.91188 Chourdakis, Kyriakos	6	2005
Speculative futures trading under mean reversion. Zbl 1418.91521 Leung, Tim; Li, Jiao; Li, Xin; Wang, Zheng	6	2016
Valuation of mortgage-backed securities based upon a structural approach. Zbl 1089.91038 Nakamura, Nobuhiro	6	2001
A two-factor model for low interest rate regimes. Zbl 1075.91021 Miller, Shane; Platen, Eckhard	6	2004
Risk measures for derivatives with Markov-modulated pure jump processes. Zbl 1283.91173 Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen	6	2006
Failure discrimination and rating of enterprises by semi-definite programming. Zbl 1157.91364 Konno, Hiroshi; Kobayashi, Hisanori	5	2000
A remark on a singular perturbation method for option pricing under a stochastic volatility model. Zbl 1177.91133 Yamamoto, Kyo; Takahashi, Akihiko	5	2009
Modeling of contagious credit events and risk analysis of credit portfolios. Zbl 1243.91102 Yamanaka, Suguru; Sugihara, Masaaki; Nakagawa, Hidetoshi	5	2012
A benchmark approach to portfolio optimization under partial information. Zbl 1151.91451 Platen, Eckhard; Runggaldier, Wolfgang J.	5	2007
Large deviations for the extended Heston model: the large-time case. Zbl 1418.91395 Jacquier, Antoine; Mijatović, Aleksandar	5	2014
On the price of risk under a regime switching CGMY process. Zbl 1418.91499 Asiimwe, Pious; Mahera, Charles Wilson; Menoukeu-Pamen, Olivier	5	2016
Gaussian estimation and forecasting of multi-factor term structure models with an application to Japan and the United Kingdom. Zbl 1054.91543 Nowman, K. Ben	5	2001
A benchmark approach to filtering in finance. Zbl 1075.91023 Platen, Eckhard; Runggaldier, Wolfgang J.	5	2004
Asset pricing using trading volumes in a hidden regime-switching environment. Zbl 1368.91170 Elliott, Robert J.; Siu, Tak Kuen	5	2015
An FBSDE approach to American option pricing with an interacting particle method. Zbl 1368.91181 Fujii, Masaaki; Sato, Seisho; Takahashi, Akihiko	5	2015
Optimal investment and consumption with default risk: HARA utility. Zbl 1273.91417 Bo, Lijun; Li, Xindan; Wang, Yongjin; Yang, Xuewei	4	2013
A stochastic correlation model with mean reversion for pricing multi-asset options. Zbl 1170.91390 Ma, Jun	4	2009
On the verification theorem of dynamic portfolio-consumption problems with stochastic market price of risk. Zbl 1278.91140 Honda, Toshiki; Kamimura, Shoji	4	2011
“Down-side risk” probability minimization problem with Cox-Ingersoll-Ross’s interest rates. Zbl 1208.91134 Hata, Hiroaki	4	2011
Volatility persistence and switching ARCH in Japanese stock returns. Zbl 1153.91757 Fong, Wai Mun	4	1997
From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes. Zbl 1154.91442 Fujiwara, Tsukasa	4	2004
Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview. Zbl 1134.91430 Jimenez, J. C.; Biscay, R. J.; Ozaki, T.	4	2005
A discrete Itō calculus approach to He’s framework for multi-factor discrete markets. Zbl 1161.91381 Akahori, Jirô	4	2005
Optimal policies of call with notice period requirement. Zbl 1283.91172 Dai, Min; Kwok, Yue Kuen	4	2005
Pricing and hedging of multi type contracts under multidimensional risks in incomplete markets modeled by general Itō SDE systems. Zbl 1283.91183 Stojanovic, Srdjan D.	4	2006
A stochastic receding horizon control approach to constrained index tracking. Zbl 1151.91534 Primbs, James A.; Sung, Chang Hwan	4	2008
A prepayment model for the Japanese mortgage loan market: Prepayment-type-specific parametric model approach. Zbl 1059.91031 Sugimura, Toru	4	2002
Understanding the implied volatility surface for options on a diversified index. Zbl 1075.91019 Heath, David; Platen, Eckhard	4	2004
Expected log-utility maximization under incomplete information and with Cox-process observations. Zbl 1305.91217 Fujimoto, Kazufumi; Nagai, Hideo; Runggaldier, Wolfgang J.	4	2014
Asymptotic expansion formula of option price under multifactor Heston model. Zbl 1368.91174 Nagashima, Kazuki; Chung, Tsz-Kin; Tanaka, Keiichi	4	2014
Risk-sensitive asset management with lognormal interest rates. Zbl 1467.91161 Hata, Hiroaki	3	2021
Evaluation of the MEMM, parameter estimation and option pricing for geometric Lévy processes. Zbl 1180.60061 Fujisaki, Masatoshi; Zhang, Dewei	3	2009
Semi-static hedging based on a generalized reflection principle on a multi dimensional Brownian motion. Zbl 1282.91331 Imamura, Yuri; Takagi, Katsuya	3	2013
Environmental economics and modeling marketable permits. Zbl 1200.91247 Taschini, Takaki Luca	3	2010
The regime switching portfolios. Zbl 1278.91144 Ishijima, Hiroshi; Uchida, Masaki	3	2011
A complete-market generalization of the Black-Scholes model. Zbl 1154.91481 Takaoka, Koichiro	3	2004
Exact solutions of a model for asset prices by K. Takaoka. Zbl 1154.91450 Ishimura, Naoyuki; Sakaguchi, Toshi-hiko	3	2004
Intraday empirical analysis and modeling of diversified world stock indices. Zbl 1154.91399 Breymann, Wolfgang; Kelly, Leah; Platen, Eckhard	3	2005
A new control variate estimator for an Asian option. Zbl 1189.91208 Kamizono, Kenji; Kariya, Takeaki; Liu, Regina Y.; Nakatsuma, Teruo	3	2004
On Bayesian value at risk: from linear to non-linear portfolios. Zbl 1188.91206 Siu, Tak Kuen; Tong, Howell; Yang, Hailiang	3	2004
Effectiveness of stochastic neural network for prediction of fall or rise of TOPIX. Zbl 1086.68568 Kamitsuji, Shigeo; Shibata, Ritei	3	2003
A note on Gaussian estimation of the CKLS and CIR models with feedback effects for Japan. Zbl 1125.91359 Nowman, K. Ben	3	2003
On valuing participating life insurance contracts with conditional heteroscedasticity. Zbl 1136.91488 Siu, Tak Kuen; Lau, John W.; Yang, Hailiang	3	2007
Optimal hedging of prediction errors using prediction errors. Zbl 1151.91582 Yamada, Yuji	3	2008
An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach. Zbl 1418.91542 Takahashi, Akihiko; Yamada, Toshihiro	3	2016
Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps. Zbl 1418.91474 Hata, Hiroaki; Sekine, Jun	3	2017
The relations between minimal martingale measure and minimal entropy martingale measure. Zbl 1062.91028 Arai, Takuji	3	2001
Dynamic hedging effectiveness in South Korean index futures and the impact of the Asian financial crisis. Zbl 1054.91546 Sim, Ah-Boon; Zurbruegg, Ralf	3	2001
Long-term memory and applying the multi-factor ARFIMA models in financial markets. Zbl 1059.91077 Tsuji, Chikashi	3	2002
A discrete-time Clark-Ocone formula for Poisson functionals. Zbl 1321.60120 Amaba, Takafumi	3	2014
Structural pricing of CoCos and deposit insurance with regime switching and jumps. Zbl 1467.91200 Le Courtois, Olivier; Su, Xiaoshan	2	2020
Empirically effective bond pricing model and analysis on term structures of implied interest rates in financial crisis. Zbl 1282.91387 Kariya, Takeaki; Wang, Jingsui; Wang, Zhu; Doi, Eiichi; Yamamura, Yoshiro	2	2012
A time series analysis of economical phenomena in Japan’s lost decade (1): determinacy property of the velocity of money and equilibrium solution. Zbl 1282.91269 Nakano, Yuji; Okabe, Yasunori	2	2012
Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model. Zbl 1282.91358 Dong, Yinghui; Liang, Xue; Wang, Guojing	2	2012
Performance regularity: a new class of executive compensation packages. Zbl 1282.91319 Bernard, Carole; Le Courtois, Olivier	2	2012
Forecasting intraday volatility and value-at-risk with high-frequency data. Zbl 1282.91389 So, Mike K. P.; Xu, Rui	2	2013
Price discovery in Chinese stock index futures market: new evidence based on intraday data. Zbl 1282.91385 Hou, Yang; Li, Steven	2	2013
The dynamic volatility connectedness of major environmental, social, and governance (ESG) stock indices: evidence based on DCC-GARCH model. Zbl 1521.91350 Shaik, Muneer; Rehman, Mohd Ziaur	1	2023
Does ESG certification improve price efficiency in the Chinese stock market? Zbl 1497.91303 Wu, Chunying; Xiong, Xiong; Gao, Ya	1	2022
Optimal pair-trade execution with generalized cross-impact. Zbl 1497.91300 Ohnishi, Masamitsu; Shimoshimizu, Makoto	1	2022
Risk-sensitive asset management with lognormal interest rates. Zbl 1467.91161 Hata, Hiroaki	3	2021
Financial network connectedness and systemic risk during the COVID-19 pandemic. Zbl 1495.91128 So, Mike K. P.; Chan, Lupe S. H.; Chu, Amanda M. Y.	2	2021
The relationship between China’s real estate market and industrial metals futures market: evidence from non-price measures of the real estate market. Zbl 1495.91108 Chen, Xiangyu; Tongurai, Jittima	1	2021
Directional spillover effects between BRICS stock markets and economic policy uncertainty. Zbl 1495.91115 Hung, Ngo Thai	1	2021
Structural pricing of CoCos and deposit insurance with regime switching and jumps. Zbl 1467.91200 Le Courtois, Olivier; Su, Xiaoshan	2	2020
Commodity spot and futures prices under supply, demand, and financial trading: single input-output model. Zbl 1437.91434 Nakajima, Katsushi	2	2020
The profitability in the FTSE 100 index: a new Markov chain approach. Zbl 1437.91420 Riedlinger, Flavio Ivo; Nicolau, João	2	2020
Volatility flocking by Cucker-Smale mechanism in financial markets. Zbl 1451.91181 Bae, Hyeong-Ohk; Ha, Seung-Yeal; Kim, Yongsik; Lim, Hyuncheul; Yoo, Jane	2	2020
Speed of price adjustment in Indian stock market: a paradox. Zbl 1467.91173 Kayal, Parthajit; Mondal, Sayanti	1	2020
Capturing the order imbalance with hidden Markov model: a case of SET50 and KOSPI50. Zbl 1437.91422 Wu, Polin; Siwasarit, Wasin	1	2020
Market efficiency, liquidity, and multifractality of Bitcoin: a dynamic study. Zbl 1437.91421 Takaishi, Tetsuya; Adachi, Takanori	1	2020
Stock performance evaluation incorporating high moments and disaster risk: evidence from Japan. Zbl 1454.91249 Hodoshima, Jiro; Misawa, Tetsuya; Miyahara, Yoshio	1	2020
Inner rate of risk aversion (IRRA) and its applications to investment selection. Zbl 1454.91230 Miyahara, Yoshio	1	2020
Direct estimation of lead-lag relationships using multinomial dynamic time warping. Zbl 1454.91251 Ito, Katsuya; Sakemoto, Ryuta	1	2020
Market participation willingness and investor’s herding behavior: evidence from an emerging market. Zbl 1454.91270 Xiong, Xiong; Wang, Chen; Shen, Dehua	1	2020
Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs. Zbl 1422.91694 Fujii, Masaaki; Takahashi, Akihiko; Takahashi, Masayuki	39	2019
Term structure models during the global financial crisis: a parsimonious text mining approach. Zbl 1422.91738 Nishimura, Kiyohiko G.; Sato, Seisho; Takahashi, Akihiko	2	2019
Hyperbolic symmetrization of Heston type diffusion. Zbl 1422.91702 Ida, Yuuki; Kinoshita, Tsuyoshi	2	2019
A numerical scheme for expectations with first hitting time to smooth boundary. Zbl 1425.91428 Hishida, Yuji; Ishigaki, Yuta; Okumura, Toshiki	1	2019
Spatial-temporal modelling of temperature for pricing temperature index insurance. Zbl 1410.91287 Taib, Che Mohd Imran Che; Darus, Mukminah	1	2019
Cross hedging using prediction error weather derivatives for loss of solar output prediction errors in electricity market. Zbl 1414.91383 Matsumoto, Takuji; Yamada, Yuji	1	2019
Large shareholding and firm value in the alternative investment market (AIM). Zbl 1414.91405 Mortazian, Mona; Tabaghdehi, Seyedeh Asieh H.; Mase, Bryan	1	2019
Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints. Zbl 1418.91493 Yamada, Yuji; Primbs, James A.	2	2018
The dynamic and dependence of takaful and conventional stock return behaviours: evidence from the insurance industry in Saudi Arabia. Zbl 1409.62207 Benlagha, Noureddine; Hemrit, Wael	1	2018
On the effect of Bank of Japan’s outright purchase on the JGB yield curve. Zbl 1418.91557 Nakano, Masafumi; Takahashi, Akihiko; Takahashi, Soichiro; Tokioka, Takami	1	2018
Some further results on the tempered multistable approach. Zbl 1418.91611 Le Courtois, Olivier	1	2018
Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps. Zbl 1418.91474 Hata, Hiroaki; Sekine, Jun	3	2017
Effects of jumps and small noise in high-frequency financial econometrics. Zbl 1418.91610 Kunitomo, Naoto; Kurisu, Daisuke	2	2017
An algorithmic approach to optimal asset liquidation problems. Zbl 1418.91476 Hinz, Juri; Yee, Jeremy	2	2017
Pricing CIR yield options by conditional moment matching. Zbl 1418.91534 Prayoga, Adrian; Privault, Nicolas	1	2017
Analysis of dynamic correlation of Japanese stock returns with network clustering. Zbl 1418.91478 Isogai, Takashi	1	2017
Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function. Zbl 1418.91508 do Rosário Grossinho, Maria; Kord Faghan, Yaser; Ševčovič, Daniel	1	2017
Analysis of the nonlinear option pricing model under variable transaction costs. Zbl 1418.91538 Ševčovič, Daniel; Žitňanská, Magdaléna	14	2016
Speculative futures trading under mean reversion. Zbl 1418.91521 Leung, Tim; Li, Jiao; Li, Xin; Wang, Zheng	6	2016
On the price of risk under a regime switching CGMY process. Zbl 1418.91499 Asiimwe, Pious; Mahera, Charles Wilson; Menoukeu-Pamen, Olivier	5	2016
An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach. Zbl 1418.91542 Takahashi, Akihiko; Yamada, Toshihiro	3	2016
Perturbative expansion technique for non-linear FBSDEs with interacting particle method. Zbl 1368.65009 Fujii, Masaaki; Takahashi, Akihiko	9	2015
Asset pricing using trading volumes in a hidden regime-switching environment. Zbl 1368.91170 Elliott, Robert J.; Siu, Tak Kuen	5	2015
An FBSDE approach to American option pricing with an interacting particle method. Zbl 1368.91181 Fujii, Masaaki; Sato, Seisho; Takahashi, Akihiko	5	2015
Option pricing for symmetric Lévy returns with applications. Zbl 1368.91171 Hamza, Kais; Klebaner, Fima C.; Landsman, Zinoviy; Tan, Ying-Oon	1	2015
Analytical solutions for expected loss and standard deviation of loss with an additional loan. Zbl 1368.91180 Yamashita, Satoshi; Yoshiba, Toshinao	1	2015
Dynamic investment strategy with factor models under regime switches. Zbl 1368.91166 Komatsu, Takahiro; Makimoto, Naoki	1	2015
Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market. Zbl 1368.91167 Yu, Jun	9	2014
Large deviations for the extended Heston model: the large-time case. Zbl 1418.91395 Jacquier, Antoine; Mijatović, Aleksandar	5	2014
Expected log-utility maximization under incomplete information and with Cox-process observations. Zbl 1305.91217 Fujimoto, Kazufumi; Nagai, Hideo; Runggaldier, Wolfgang J.	4	2014
Asymptotic expansion formula of option price under multifactor Heston model. Zbl 1368.91174 Nagashima, Kazuki; Chung, Tsz-Kin; Tanaka, Keiichi	4	2014
A discrete-time Clark-Ocone formula for Poisson functionals. Zbl 1321.60120 Amaba, Takafumi	3	2014
Randomised mixture models for pricing kernels. Zbl 1368.91176 Macrina, Andrea; Parbhoo, Priyanka A.	2	2014
Optimal portfolio selection based on expected shortfall under generalized hyperbolic distribution. Zbl 1418.91490 Surya, Budhi Arta; Kurniawan, Ryan	1	2014
Application of homotopy analysis method to option pricing under Lévy processes. Zbl 1307.91180 Sakuma, Takayuki; Yamada, Yuji	1	2014
Optimal investment and consumption with default risk: HARA utility. Zbl 1273.91417 Bo, Lijun; Li, Xindan; Wang, Yongjin; Yang, Xuewei	4	2013
Semi-static hedging based on a generalized reflection principle on a multi dimensional Brownian motion. Zbl 1282.91331 Imamura, Yuri; Takagi, Katsuya	3	2013
Forecasting intraday volatility and value-at-risk with high-frequency data. Zbl 1282.91389 So, Mike K. P.; Xu, Rui	2	2013
Price discovery in Chinese stock index futures market: new evidence based on intraday data. Zbl 1282.91385 Hou, Yang; Li, Steven	2	2013
Pricing exotic options and American options: a multidimensional asymptotic expansion approach. Zbl 1283.91195 Nishiba, Masahiro	1	2013
Pricing discrete barrier options under stochastic volatility. Zbl 1282.91347 Shiraya, Kenichiro; Takahashi, Akihiko; Yamada, Toshihiro	11	2012
The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model. Zbl 1245.91092 Momeya, Romuald Hervé; Salah, Zied Ben	6	2012
Modeling of contagious credit events and risk analysis of credit portfolios. Zbl 1243.91102 Yamanaka, Suguru; Sugihara, Masaaki; Nakagawa, Hidetoshi	5	2012
Empirically effective bond pricing model and analysis on term structures of implied interest rates in financial crisis. Zbl 1282.91387 Kariya, Takeaki; Wang, Jingsui; Wang, Zhu; Doi, Eiichi; Yamamura, Yoshiro	2	2012
A time series analysis of economical phenomena in Japan’s lost decade (1): determinacy property of the velocity of money and equilibrium solution. Zbl 1282.91269 Nakano, Yuji; Okabe, Yasunori	2	2012
Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model. Zbl 1282.91358 Dong, Yinghui; Liang, Xue; Wang, Guojing	2	2012
Performance regularity: a new class of executive compensation packages. Zbl 1282.91319 Bernard, Carole; Le Courtois, Olivier	2	2012
Approximation of asymmetric multivariate return distributions. Zbl 1283.62023 Chu, Ba	1	2012
Properties of optimal smooth functions in additive models for hedging multivariate derivatives. Zbl 1242.91199 Yamada, Yuji	1	2012
Valuation of portfolio credit derivatives with default intensities using the Vasicek model. Zbl 1208.91147 Liang, Jin; Ma, Jun Mei; Wang, Tao; Ji, Qin	7	2011
On the verification theorem of dynamic portfolio-consumption problems with stochastic market price of risk. Zbl 1278.91140 Honda, Toshiki; Kamimura, Shoji	4	2011
“Down-side risk” probability minimization problem with Cox-Ingersoll-Ross’s interest rates. Zbl 1208.91134 Hata, Hiroaki	4	2011
The regime switching portfolios. Zbl 1278.91144 Ishijima, Hiroshi; Uchida, Masaki	3	2011
Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities. Zbl 1275.91123 Kashiwabara, Akira; Nakamura, Nobuhiro	2	2011
Constant rebalanced portfolio optimization under nonlinear transaction costs. Zbl 1278.91152 Takano, Yuichi; Gotoh, Jun-ya	2	2011
Empirical study of Nikkei 225 options with the Markov switching GARCH model. Zbl 1208.91164 Satoyoshi, Kiyotaka; Mitsui, Hidetoshi	2	2011
Dynamic relationship among intraday realized volatility, volume and number of trades. Zbl 1274.91487 Hatrick, Kerr; So, Mike K. P.; Chung, S. W.; Deng, R.	2	2011
Log mean-variance portfolio selection under regime switching. Zbl 1278.91145 Ishijima, Hiroshi; Uchida, Masaki	1	2011
A note on utility maximization with unbounded random endowment. Zbl 1211.91227 Owari, Keita	1	2011
Detection of information flow in major international financial markets by interactivity network analysis. Zbl 1274.91484 Allali, Abdelwahab; Oueslati, Amor; Trabelsi, Abdelwahed	1	2011
Pricing derivatives using the asymptotic expansion approach: credit migration models with stochastic credit spreads. Zbl 1239.91177 Muroi, Yoshifumi; Takino, E. Kazuhiro	1	2011
Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility. Zbl 1195.91163 Meng, Li; Wang, Mei	10	2010
Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs. Zbl 1195.91157 Ishimura, Naoyuki	9	2010
Modelling co-movements and tail dependency in the international stock market via copulae. Zbl 1195.91182 Ignatieva, Katja; Platen, Eckhard	6	2010
Environmental economics and modeling marketable permits. Zbl 1200.91247 Taschini, Takaki Luca	3	2010
Coefficients of asymptotic expansions of SDE with jumps. Zbl 1201.91196 Hayashi, Masafumi	2	2010
Assessments of ‘greenhouse insurance’: a methodological review. Zbl 1200.91238 Kosugi, Takaki Takanobu	1	2010
The instantaneous volatility and the implied volatility surface for a generalized Black-Scholes model. Zbl 1201.91239 Takaoka, Takaki Koichiro; Futami, Hidenori	1	2010
Utility indifference hedging with exponential additive processes. Zbl 1195.91165 Rheinländer, Thorsten; Steiger, Gallus	1	2010
Comparing firm failure predictions between Logit, KMV, and ZPP models: Evidence from Taiwan’s electronics industry. Zbl 1195.91183 Su, En-Der; Huang, Shih-Ming	1	2010
Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity. Zbl 1187.91222 Leung, Kwai Sun; Kwok, Yue Kuen	12	2009
A remark on a singular perturbation method for option pricing under a stochastic volatility model. Zbl 1177.91133 Yamamoto, Kyo; Takahashi, Akihiko	5	2009
A stochastic correlation model with mean reversion for pricing multi-asset options. Zbl 1170.91390 Ma, Jun	4	2009
Evaluation of the MEMM, parameter estimation and option pricing for geometric Lévy processes. Zbl 1180.60061 Fujisaki, Masatoshi; Zhang, Dewei	3	2009
Multi-factor affine term structure model with single regime shift: Real term structure under zero interest rate. Zbl 1177.91135 Futami, Hidenori	2	2009
The minimal entropy martingale measures for exponential additive processes. Zbl 1181.60068 Fujiwara, Tsukasa	2	2009
Dynamic modeling of tail risk: Applications to China, Hong Kong and other Asian markets. Zbl 1188.91238 So, Mike K. P.; Tse, Alex S. L.	2	2009
Alternative defaultable term structure models. Zbl 1170.91488 Bruti-Liberati, Nicola; Nikitopoulos-Sklibosios, Christina; Platen, Eckhard; Schlögl, Erik	1	2009
Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon. Zbl 1163.91414 Madan, Dilip B.; Roynette, Bernard; Yor, Marc	16	2008
A stochastic receding horizon control approach to constrained index tracking. Zbl 1151.91534 Primbs, James A.; Sung, Chang Hwan	4	2008
Optimal hedging of prediction errors using prediction errors. Zbl 1151.91582 Yamada, Yuji	3	2008
An explicit finite difference approach to the pricing problems of perpetual Bermudan options. Zbl 1170.91344 Muroi, Yoshifumi; Yamada, Takashi	1	2008
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10	Fujii, Masaaki
9	Bo, Lijun
9	Hutzenthaler, Martin
9	Runggaldier, Wolfgang J.
9	Wang, Guojing
8	Capponi, Agostino
8	Chiarella, Carl
8	Dong, Yinghui
8	Elliott, Robert James
8	Protter, Philip Elliott
8	Zhao, Hui
7	Akahori, Jirô
7	Filipović, Damir
7	Pascucci, Andrea
7	Rachev, Svetlozar T.
7	Shen, Yang
7	Yamada, Yuji
6	Funahashi, Hideharu
6	Grohs, Philipp
6	Ignatieva, Katja
6	Larsson, Martin
6	le Courtois, Olivier
6	Rong, Ximin
6	Seneta, Eugene
5	Becker, Sebastian
5	Biagini, Francesca
5	Deng, Chao
5	Hata, Hiroaki
5	Kruse, Thomas
5	Leung, Tim
5	Liang, Xue
5	Lu, Xiaoping
5	Mijatović, Aleksandar
5	Nikitopoulos Sklibosios, Christina
5	Sato, Seisho
5	So, Mike K. P.
5	Wang, Xingchun
4	Beck, Christian
4	Benth, Fred Espen
4	Cheridito, Patrick
4	Fabozzi, Frank J.
4	Figueroa-López, José E.
4	Guo, Jie
4	Hainaut, Donatien
4	Heath, David C.
4	Imamura, Yuri
4	Ishimura, Naoyuki
4	Jacquier, Antoine
4	Jarrow, Robert Alan
4	Koleva, Miglena Nikolaeva
4	Li, Chenxu
4	Mittnik, Stefan
4	Nakagawa, Hidetoshi
4	Nakajima, Katsushi
4	Qian, Linyi
4	Ševčovič, Daniel
4	Shiraya, Kenichiro
4	Takehara, Kohta
4	von Wurstemberger, Philippe
4	Vostrikova, Lioudmila
4	Vulkov, Lubin G.
4	Wu, Yonghong
4	Yan, Dong
4	Yang, Hailiang
4	Zhu, Songping
3	Aletti, Giacomo
3	Asai, Manabu
3	Bayraktar, Erhan
3	Cheang, Gerald H. L.
3	Chen, Nan
3	Crepey, Stephane
3	Criens, David
3	Dai, Min
3	Darbon, Jerome
3	Deng, Guohe
3	Deng, Yingchun
3	Duan, Jinqiao
3	Fouque, Jean-Pierre
3	Fung, Thomas
3	Gotoh, Jun-ya
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3	Hornung, Fabian
3	Huang, Ya
3	Jimenez, Juan Carlos
3	Kardaras, Constantinos
3	Kawai, Reiichiro
3	Khaliq, Abdul Qayyum Masud
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3	Kijima, Masaaki
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96	Asia-Pacific Financial Markets
46	International Journal of Theoretical and Applied Finance
46	Quantitative Finance
34	Insurance Mathematics & Economics
24	Journal of Computational and Applied Mathematics
22	Stochastic Processes and their Applications
21	Finance and Stochastics
19	Applied Mathematical Finance
19	Mathematical Finance
17	European Journal of Operational Research
14	Communications in Statistics. Theory and Methods
13	Statistics & Probability Letters
12	Decisions in Economics and Finance
11	Annals of Operations Research
11	Annals of Finance
9	Journal of Applied Probability
9	Journal of Economic Dynamics & Control
9	The Annals of Applied Probability
9	Methodology and Computing in Applied Probability
9	Review of Derivatives Research
8	Stochastic Analysis and Applications
8	Mathematical Problems in Engineering
8	Applied Stochastic Models in Business and Industry
8	Journal of Industrial and Management Optimization
8	SIAM Journal on Financial Mathematics
7	Japan Journal of Industrial and Applied Mathematics
7	International Journal of Computer Mathematics
7	Mathematics and Financial Economics
6	Advances in Applied Probability
6	Journal of Mathematical Analysis and Applications
6	Applied Mathematics and Computation
6	Journal of Econometrics
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6	Acta Mathematicae Applicatae Sinica. English Series
6	Computational Statistics and Data Analysis
6	Computational Management Science
5	Physica A
5	Mathematics of Operations Research
5	SIAM Journal on Control and Optimization
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5	Discrete Dynamics in Nature and Society
5	Stochastics
4	Chaos, Solitons and Fractals
4	Automatica
4	Econometric Reviews
4	Journal of Theoretical Probability
4	Abstract and Applied Analysis
4	Journal of Applied Statistics
4	Discrete and Continuous Dynamical Systems. Series B
4	North American Actuarial Journal
4	JSIAM Letters
3	International Journal of Control
3	Journal of Optimization Theory and Applications
3	Operations Research Letters
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3	Applied Mathematics Letters
3	Computational Optimization and Applications
3	Monte Carlo Methods and Applications
3	Probability in the Engineering and Informational Sciences
3	RAIRO. Operations Research
3	Scandinavian Actuarial Journal
3	Journal of Systems Science and Complexity
3	Journal of Applied Mathematics
3	ASTIN Bulletin
3	Advances in Difference Equations
3	Journal of Statistical Theory and Practice
3	Probability Surveys
3	International Journal of Stochastic Analysis
3	Communications in Mathematics and Statistics
3	Journal of Function Spaces
3	Japanese Journal of Statistics and Data Science
3	Probability, Uncertainty and Quantitative Risk
3	SN Partial Differential Equations and Applications
2	Computers & Mathematics with Applications
2	Journal of Computational Physics
2	Mathematical Methods in the Applied Sciences
2	Scandinavian Journal of Statistics
2	Theory of Probability and its Applications
2	Applied Mathematics and Optimization
2	International Statistical Review
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2	Memoirs of the American Mathematical Society
2	Optimal Control Applications & Methods
2	Numerical Methods for Partial Differential Equations
2	Asia-Pacific Journal of Operational Research
2	Journal of Scientific Computing
2	Journal of Applied Mathematics and Stochastic Analysis
2	Economics Letters
2	Computational Statistics
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711	Game theory, economics, finance, and other social and behavioral sciences (91-XX)
415	Probability theory and stochastic processes (60-XX)
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32	Calculus of variations and optimal control; optimization (49-XX)
27	Computer science (68-XX)
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8	Real functions (26-XX)
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