Asia-Pacific Financial Markets Short Title: Asia-Pac. Financ. Mark. Publisher: Springer Japan, Tokyo ISSN: 1387-2834; 1573-6946/e Online: http://link.springer.com/journal/volumesAndIssues/10690 Predecessor: Financial Engineering and the Japanese Markets Documents Indexed: 390 Publications (since 1997) References Indexed: 275 Publications with 7,492 References. all top 5 Latest Issues 28, No. 2 (2021) 28, No. 1 (2021) 27, No. 4 (2020) 27, No. 3 (2020) 27, No. 2 (2020) 27, No. 1 (2020) 26, No. 4 (2019) 26, No. 3 (2019) 26, No. 2 (2019) 26, No. 1 (2019) 25, No. 4 (2018) 25, No. 3 (2018) 25, No. 2 (2018) 25, No. 1 (2018) 24, No. 4 (2017) 24, No. 3 (2017) 24, No. 2 (2017) 24, No. 1 (2017) 23, No. 4 (2016) 23, No. 3 (2016) 23, No. 2 (2016) 23, No. 1 (2016) 22, No. 4 (2015) 22, No. 3 (2015) 22, No. 2 (2015) 22, No. 1 (2015) 21, No. 4 (2014) 21, No. 3 (2014) 21, No. 2 (2014) 21, No. 1 (2014) 20, No. 4 (2013) 20, No. 3 (2013) 20, No. 2 (2013) 20, No. 1 (2013) 19, No. 4 (2012) 19, No. 3 (2012) 19, No. 2 (2012) 19, No. 1 (2012) 18, No. 4 (2011) 18, No. 3 (2011) 18, No. 2 (2011) 18, No. 1 (2011) 17, No. 4 (2010) 17, No. 3 (2010) 17, No. 2 (2010) 17, No. 1 (2010) 16, No. 4 (2009) 16, No. 3 (2009) 16, No. 2 (2009) 16, No. 1 (2009) 15, No. 3-4 (2008) 15, No. 2 (2008) 15, No. 1 (2008) 14, No. 4 (2007) 14, No. 3 (2007) 14, No. 1-2 (2007) 13, No. 4 (2006) 13, No. 3 (2006) 13, No. 2 (2006) 13, No. 1 (2006) 12, No. 4 (2005) 12, No. 3 (2005) 12, No. 2 (2005) 12, No. 1 (2005) 11, No. 4 (2004) 11, No. 3 (2004) 11, No. 2 (2004) 11, No. 1 (2004) 10, No. 4 (2003) 10, No. 2-3 (2003) 10, No. 1 (2003) 9, No. 3-4 (2002) 9, No. 2 (2002) 9, No. 1 (2002) 8, No. 4 (2001) 8, No. 3 (2001) 8, No. 2 (2001) 8, No. 1 (2001) 7, No. 4 (2000) 7, No. 3 (2000) 7, No. 2 (2000) 7, No. 1 (2000) 6, No. 4 (1999) 6, No. 3 (1999) 6, No. 2 (1999) 6, No. 1 (1999) 5, No. 3 (1998) 5, No. 2 (1998) 5, No. 1 (1998) 4, No. 3 (1997) 4, No. 2 (1997) 4, No. 1 (1997) all top 5 Authors 14 Takahashi, Akihiko 12 Platen, Eckhard 8 Yamada, Yuji 7 Kariya, Takeaki 6 Konno, Hiroshi 6 Shirakawa, Hiroshi 5 Ishijima, Hiroshi 5 Nakamura, Nobuhiro 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 Miyahara, Yoshio 4 Nakajima, Katsushi 4 Nakamura, Hisashi 4 Runggaldier, Wolfgang J. 4 Sekine, Jun 4 Shen, Dehua 4 Siu, Tak Kuen 3 Chung, Hay Y. 3 Delbaen, Freddy 3 Elliott, Robert James 3 Fujii, Masaaki 3 Hata, Hiroaki 3 Ishimura, Naoyuki 3 Kim, Yongjin 3 Klebaner, Fima C. 3 Kunitomo, Naoto 3 Matsumoto, Koichi 3 Mitra, Sovan 3 Muroi, Yoshifumi 3 Nakatsuma, Teruo 3 Primbs, James A. 3 Sato, Seisho 3 So, Mike K. P. 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 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 Hodoshima, Jiro 2 Honda, Toshiki 2 Hui, Cho-Hoi 2 Hurst, Simon R. 2 Ito, Akitoshi 2 Itoh, Yuki 2 Jokung, Octave 2 Kim, Suduk 2 Kobayashi, Hisanori 2 Kwok, Yue-Kuen 2 Kwon, Oh Kang 2 Lau, Wee-Yeap 2 Li, Steven 2 Lo, Chi-Fai 2 Madan, Dilip B. 2 Maeda, Akira 2 Makimoto, Naoki 2 Miwa, Kotaro 2 Miyakoshi, Tatsuyoshi 2 Morimoto, Takayuki 2 Nakagawa, Hidetoshi 2 Nakayama, Keita 2 Nikitopoulos Sklibosios, Christina 2 Ōhashi, Kazuhiko 2 Okabe, Yasunori 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 2 Tsukuda, Yoshihiko 2 Uchida, Masaki 2 West, Jason 2 Wong, Hoi Ying 2 Wu, Lifan 2 Yamada, Toshihiro 2 Yamamura, Yoshiro 2 Yang, Hailiang 2 Zhang, Wei ...and 443 more Authors all top 5 Fields 384 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 81 Probability theory and stochastic processes (60-XX) 70 Statistics (62-XX) 10 Numerical analysis (65-XX) 9 Operations research, mathematical programming (90-XX) 9 Systems theory; control (93-XX) 7 Partial differential equations (35-XX) 6 General and overarching topics; collections (00-XX) 4 Calculus of variations and optimal control; optimization (49-XX) 3 Ordinary differential equations (34-XX) 3 Approximations and expansions (41-XX) 2 Computer science (68-XX) 1 Field theory and polynomials (12-XX) 1 Measure and integration (28-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 186 Publications have been cited 840 times in 720 Documents Cited by ▼ Year ▼ An asymptotic expansion approach to pricing financial contingent claims. Zbl 1153.91568Takahashi, Akihiko 50 1999 Portfolio optimization with a defaultable security. Zbl 1283.91163Bielecki, Tomasz R.; Jang, Inwon 35 2006 No arbitrage condition for positive diffusion price processes. Zbl 1074.91014Delbaen, Freddy; Shirakawa, Hiroshi 33 2002 A note on option pricing for the constant elasticity of variance model. Zbl 1072.91020Delbaen, Freddy; Shirakawa, Hiroshi 32 2002 An interest rate model with upper and lower bounds. Zbl 1071.91020Delbaen, Freddy; Shirakawa, Hiroshi 24 2002 Geometric Lévy process & MEMM pricing model and related estimation problems. Zbl 1070.91012Miyahara, Yoshio 22 2001 Subordinated market index models: A comparison. Zbl 1153.91788Hurst, Simon R.; Platen, Eckhard; Rachev, Svetlozar T. 20 1997 Monte Carlo option pricing for tempered stable (CGMY) processes. Zbl 1283.91196Poirot, Jérémy; Tankov, Peter 19 2006 Minimal entropy martingale measures of jump type price processes in incomplete assets markets. Zbl 1153.91549Miyahara, Yoshio 17 1999 Squared Bessel processes and their applications to the square root interest rate model. Zbl 1034.60074Shirakawa, Hiroshi 16 2002 Diversified portfolios with jumps in a benchmark framework. Zbl 1075.91022Platen, Eckhard 15 2004 An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates. Zbl 1151.91545Takahashi, Akihiko; Takehara, Kohta 15 2007 Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs. Zbl 1422.91694Fujii, Masaaki; Takahashi, Akihiko; Takahashi, Masayuki 15 2019 Portfolio optimization under lower partial risk measures. Zbl 1056.91032Konno, Hiroshi; Waki, Hayato; Yuuki, Atsushi 14 2002 Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model. Zbl 1131.91354Le Courtois, Olivier; Quittard-Pinon, François 14 2006 Unconditional and conditional distributional models for the Nikkei index. Zbl 1153.91721Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T. 13 1998 A new computational scheme for computing Greeks by the asymptotic expansion approach. Zbl 1154.91512Matsuoka, Ryosuke; Takahashi, Akihiko; Uchida, Yoshihiko 13 2004 Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity. Zbl 1187.91222Leung, Kwai Sun; Kwok, Yue Kuen 12 2009 Portfolio optimization in discontinuous markets under incomplete information. Zbl 1124.93068Callegaro, Giorgia; Di Masi, Giovanni B.; Runggaldier, Wolfgang J. 11 2006 Analysis of the nonlinear option pricing model under variable transaction costs. Zbl 1418.91538Ševčovič, Daniel; Žitňanská, Magdaléna 11 2016 Financial modeling in a fast mean-reverting stochastic volatility environment. Zbl 1157.91358Fouque, Jean-Pierre; Papanicolaou, George; Sircar, K. Ronnie 11 1999 Pricing options under stochastic interest rates: a new approach. Zbl 1157.91363Kim, Yong-Jin; Kunitomo, Naoto 11 1999 Classes of interest rate models under the HJM framework. Zbl 1089.91018Chiarella, Carl; Kwon, Oh Kang 10 2001 Pricing discrete barrier options under stochastic volatility. Zbl 1282.91347Shiraya, Kenichiro; Takahashi, Akihiko; Yamada, Toshihiro 10 2012 Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon. Zbl 1163.91414Madan, Dilip B.; Roynette, Bernard; Yor, Marc 8 2008 Cusum techniques for technical trading in financial markets. Zbl 1153.91794Lam, Kin; Yam, H. C. 8 1997 A class of jump-diffusion bond pricing models within the HJM framework. Zbl 1137.91438Chiarella, Carl; Sklibosios, Christina Nikitopoulos 8 2003 A fair pricing approach to weather derivatives. Zbl 1075.91024Platen, Eckhard; West, Jason 7 2004 Option pricing under stochastic interest rates: an empirical investigation. Zbl 1059.91044Kim, Yong-Jin 7 2002 Edokko options: a new framework of barrier options. Zbl 1056.91030Fujita, Takahiko; Miura, Ryozo 7 2002 On the Hoggard-Whalley-Wilmott equation for the pricing of options with transaction costs. Zbl 1283.91176Imai, Hitoshi; Ishimura, Naoyuki; Mottate, Ikumi; Nakamura, Masaaki 7 2006 The credit risk and pricing of OTC options. Zbl 1151.91525Liang, Gechun; Ren, Xuemin 7 2007 Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility. Zbl 1195.91163Meng, Li; Wang, Mei 7 2010 Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs. Zbl 1195.91157Ishimura, Naoyuki 7 2010 Perturbative expansion technique for non-linear FBSDEs with interacting particle method. Zbl 1368.65009Fujii, Masaaki; Takahashi, Akihiko 7 2015 Exotic passport options. Zbl 1153.91553Penaud, Antony; Wilmott, Paul; Ahn, Hyungsok 7 1999 Pricing mortgage-backed securities (MBS). Zbl 1153.91425Kariya, Takeaki; Kobayashi, Masaaki 7 2000 A complete Markovian stochastic volatility model in the HJM framework. Zbl 1153.91474Chiarella, Carl; Kwon, Oh Kang 7 2000 A two-factor model for low interest rate regimes. Zbl 1075.91021Miller, Shane; Platen, Eckhard 6 2004 Valuation of portfolio credit derivatives with default intensities using the Vasicek model. Zbl 1208.91147Liang, Jin; Ma, Jun Mei; Wang, Tao; Ji, Qin 6 2011 Modelling co-movements and tail dependency in the international stock market via copulae. Zbl 1195.91182Ignatieva, Katja; Platen, Eckhard 6 2010 Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market. Zbl 1368.91167Yu, Jun 6 2014 Properties of multinomial lattices with cumulants for option pricing and hedging. Zbl 1154.91488Yamada, Yuji; Primbs, James A. 6 2004 Risk measures for derivatives with Markov-modulated pure jump processes. Zbl 1283.91173Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen 5 2006 A remark on a singular perturbation method for option pricing under a stochastic volatility model. Zbl 1177.91133Yamamoto, Kyo; Takahashi, Akihiko 5 2009 Speculative futures trading under mean reversion. Zbl 1418.91521Leung, Tim; Li, Jiao; Li, Xin; Wang, Zheng 5 2016 Failure discrimination and rating of enterprises by semi-definite programming. Zbl 1157.91364Konno, Hiroshi; Kobayashi, Hisanori 5 2000 Understanding the implied volatility surface for options on a diversified index. Zbl 1075.91019Heath, David; Platen, Eckhard 4 2004 Gaussian estimation and forecasting of multi-factor term structure models with an application to Japan and the United Kingdom. Zbl 1054.91543Nowman, K. Ben 4 2001 Valuation of mortgage-backed securities based upon a structural approach. Zbl 1089.91038Nakamura, Nobuhiro 4 2001 A prepayment model for the Japanese mortgage loan market: Prepayment-type-specific parametric model approach. Zbl 1059.91031Sugimura, Toru 4 2002 Pricing and hedging of multi type contracts under multidimensional risks in incomplete markets modeled by general Itō SDE systems. Zbl 1283.91183Stojanovic, Srdjan D. 4 2006 Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview. Zbl 1134.91430Jimenez, J. C.; Biscay, R. J.; Ozaki, T. 4 2005 A discrete Itō calculus approach to He’s framework for multi-factor discrete markets. Zbl 1161.91381Akahori, Jirô 4 2005 “Down-side risk” probability minimization problem with Cox-Ingersoll-Ross’s interest rates. Zbl 1208.91134Hata, Hiroaki 4 2011 Lévy processes driven by stochastic volatility. Zbl 1283.91188Chourdakis, Kyriakos 4 2005 Optimal policies of call with notice period requirement. Zbl 1283.91172Dai, Min; Kwok, Yue Kuen 4 2005 Asset pricing using trading volumes in a hidden regime-switching environment. Zbl 1368.91170Elliott, Robert J.; Siu, Tak Kuen 4 2015 Asymptotic expansion formula of option price under multifactor Heston model. Zbl 1368.91174Nagashima, Kazuki; Chung, Tsz-Kin; Tanaka, Keiichi 4 2014 Expected log-utility maximization under incomplete information and with Cox-process observations. Zbl 1305.91217Fujimoto, Kazufumi; Nagai, Hideo; Runggaldier, Wolfgang J. 4 2014 From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes. Zbl 1154.91442Fujiwara, Tsukasa 4 2004 Optimal investment and consumption with default risk: HARA utility. Zbl 1273.91417Bo, Lijun; Li, Xindan; Wang, Yongjin; Yang, Xuewei 4 2013 Optimal hedging of prediction errors using prediction errors. Zbl 1151.91582Yamada, Yuji 3 2008 A stochastic receding horizon control approach to constrained index tracking. Zbl 1151.91534Primbs, James A.; Sung, Chang Hwan 3 2008 Dynamic hedging effectiveness in South Korean index futures and the impact of the Asian financial crisis. Zbl 1054.91546Sim, Ah-Boon; Zurbruegg, Ralf 3 2001 Long-term memory and applying the multi-factor ARFIMA models in financial markets. Zbl 1059.91077Tsuji, Chikashi 3 2002 On the verification theorem of dynamic portfolio-consumption problems with stochastic market price of risk. Zbl 1278.91140Honda, Toshiki; Kamimura, Shoji 3 2011 The regime switching portfolios. Zbl 1278.91144Ishijima, Hiroshi; Uchida, Masaki 3 2011 Environmental economics and modeling marketable permits. Zbl 1200.91247Taschini, Takaki Luca 3 2010 A stochastic correlation model with mean reversion for pricing multi-asset options. Zbl 1170.91390Ma, Jun 3 2009 An FBSDE approach to American option pricing with an interacting particle method. Zbl 1368.91181Fujii, Masaaki; Sato, Seisho; Takahashi, Akihiko 3 2015 Volatility persistence and switching ARCH in Japanese stock returns. Zbl 1153.91757Fong, Wai Mun 3 1997 Modeling of contagious credit events and risk analysis of credit portfolios. Zbl 1243.91102Yamanaka, Suguru; Sugihara, Masaaki; Nakagawa, Hidetoshi 3 2012 The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model. Zbl 1245.91092Momeya, Romuald Hervé; Salah, Zied Ben 3 2012 Semi-static hedging based on a generalized reflection principle on a multi dimensional Brownian motion. Zbl 1282.91331Imamura, Yuri; Takagi, Katsuya 3 2013 A complete-market generalization of the Black-Scholes model. Zbl 1154.91481Takaoka, Koichiro 3 2004 Exact solutions of a model for asset prices by K. Takaoka. Zbl 1154.91450Ishimura, Naoyuki; Sakaguchi, Toshi-hiko 3 2004 Intraday empirical analysis and modeling of diversified world stock indices. Zbl 1154.91399Breymann, Wolfgang; Kelly, Leah; Platen, Eckhard 3 2005 On valuing participating life insurance contracts with conditional heteroscedasticity. Zbl 1136.91488Siu, Tak Kuen; Lau, John W.; Yang, Hailiang 2 2007 A benchmark approach to filtering in finance. Zbl 1075.91023Platen, Eckhard; Runggaldier, Wolfgang J. 2 2004 The relations between minimal martingale measure and minimal entropy martingale measure. Zbl 1062.91028Arai, Takuji 2 2001 Valuation model of defaultable bond values in emerging markets. Zbl 1061.91027Hui, C. H.; Lo, C. F. 2 2002 Market efficiency and the returns to simple technical trading rules: New evidence from U.S. equity market and Chinese equity markets. Zbl 1074.91522Tian, Gary Gang; Wan, Guang Hua; Guo, Mingyuan 2 2002 Analysing yield spread and output dynamics in an endogenous Markov switching regression framework. Zbl 1151.91482Bhar, Ramaprasad; Hamori, Shigeyuki 2 2007 Testing for volatility jumps in the stochastic volatility process. Zbl 1134.91435Kobayashi, Masahito 2 2005 Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities. Zbl 1275.91123Kashiwabara, Akira; Nakamura, Nobuhiro 2 2011 Constant rebalanced portfolio optimization under nonlinear transaction costs. Zbl 1278.91152Takano, Yuichi; Gotoh, Jun-ya 2 2011 Generalizations of Ho-Lee’s binomial interest rate model. I: From one- to multi-factor. Zbl 1283.91186Akahori, Jirô; Aoki, Hiroki; Nagata, Yoshihiko 2 2006 Multi-factor affine term structure model with single regime shift: Real term structure under zero interest rate. Zbl 1177.91135Futami, Hidenori 2 2009 Coefficients of asymptotic expansions of SDE with jumps. Zbl 1201.91196Hayashi, Masafumi 2 2010 Dynamic modeling of tail risk: Applications to China, Hong Kong and other Asian markets. Zbl 1188.91238So, Mike K. P.; Tse, Alex S. L. 2 2009 Large deviations for the extended Heston model: the large-time case. Zbl 1418.91395Jacquier, Antoine; Mijatović, Aleksandar 2 2014 An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach. Zbl 1418.91542Takahashi, Akihiko; Yamada, Toshihiro 2 2016 Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps. Zbl 1418.91474Hata, Hiroaki; Sekine, Jun 2 2017 Hyperbolic symmetrization of Heston type diffusion. Zbl 1422.91702Ida, Yuuki; Kinoshita, Tsuyoshi 2 2019 Methods of partial hedging. Zbl 1157.91357Cvitanić, Jakša 2 1999 The minimal entropy martingale measures for exponential additive processes. Zbl 1181.60068Fujiwara, Tsukasa 2 2009 Evaluation of the MEMM, parameter estimation and option pricing for geometric Lévy processes. Zbl 1180.60061Fujisaki, Masatoshi; Zhang, Dewei 2 2009 Randomised mixture models for pricing kernels. Zbl 1368.91176Macrina, Andrea; Parbhoo, Priyanka A. 2 2014 Econometric analysis of a continuous time multi-factor generalized Vasicek term structure model: International evidence. Zbl 1153.91698Babbs, Simon H.; Ben Nowman, K. 2 1998 The profitability in the FTSE 100 index: a new Markov chain approach. Zbl 1437.91420Riedlinger, Flavio Ivo; Nicolau, João 1 2020 Market efficiency, liquidity, and multifractality of Bitcoin: a dynamic study. Zbl 1437.91421Takaishi, Tetsuya; Adachi, Takanori 1 2020 Direct estimation of lead-lag relationships using multinomial dynamic time warping. Zbl 1454.91251Ito, Katsuya; Sakemoto, Ryuta 1 2020 Market participation willingness and investor’s herding behavior: evidence from an emerging market. Zbl 1454.91270Xiong, Xiong; Wang, Chen; Shen, Dehua 1 2020 Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs. Zbl 1422.91694Fujii, Masaaki; Takahashi, Akihiko; Takahashi, Masayuki 15 2019 Hyperbolic symmetrization of Heston type diffusion. Zbl 1422.91702Ida, Yuuki; Kinoshita, Tsuyoshi 2 2019 A numerical scheme for expectations with first hitting time to smooth boundary. Zbl 1425.91428Hishida, Yuji; Ishigaki, Yuta; Okumura, Toshiki 1 2019 Term structure models during the global financial crisis: a parsimonious text mining approach. Zbl 1422.91738Nishimura, Kiyohiko G.; Sato, Seisho; Takahashi, Akihiko 1 2019 Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints. Zbl 1418.91493Yamada, Yuji; Primbs, James A. 1 2018 On the effect of Bank of Japan’s outright purchase on the JGB yield curve. Zbl 1418.91557Nakano, Masafumi; Takahashi, Akihiko; Takahashi, Soichiro; Tokioka, Takami 1 2018 Some further results on the tempered multistable approach. Zbl 1418.91611Le Courtois, Olivier 1 2018 Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps. Zbl 1418.91474Hata, Hiroaki; Sekine, Jun 2 2017 Pricing CIR yield options by conditional moment matching. Zbl 1418.91534Prayoga, Adrian; Privault, Nicolas 1 2017 An algorithmic approach to optimal asset liquidation problems. Zbl 1418.91476Hinz, Juri; Yee, Jeremy 1 2017 Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function. Zbl 1418.91508do Rosário Grossinho, Maria; Kord Faghan, Yaser; Ševčovič, Daniel 1 2017 Analysis of the nonlinear option pricing model under variable transaction costs. Zbl 1418.91538Ševčovič, Daniel; Žitňanská, Magdaléna 11 2016 Speculative futures trading under mean reversion. Zbl 1418.91521Leung, Tim; Li, Jiao; Li, Xin; Wang, Zheng 5 2016 An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach. Zbl 1418.91542Takahashi, Akihiko; Yamada, Toshihiro 2 2016 On the price of risk under a regime switching CGMY process. Zbl 1418.91499Asiimwe, Pious; Mahera, Charles Wilson; Menoukeu-Pamen, Olivier 1 2016 Perturbative expansion technique for non-linear FBSDEs with interacting particle method. Zbl 1368.65009Fujii, Masaaki; Takahashi, Akihiko 7 2015 Asset pricing using trading volumes in a hidden regime-switching environment. Zbl 1368.91170Elliott, Robert J.; Siu, Tak Kuen 4 2015 An FBSDE approach to American option pricing with an interacting particle method. Zbl 1368.91181Fujii, Masaaki; Sato, Seisho; Takahashi, Akihiko 3 2015 Dynamic investment strategy with factor models under regime switches. Zbl 1368.91166Komatsu, Takahiro; Makimoto, Naoki 1 2015 Option pricing for symmetric Lévy returns with applications. Zbl 1368.91171Hamza, Kais; Klebaner, Fima C.; Landsman, Zinoviy; Tan, Ying-Oon 1 2015 Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market. Zbl 1368.91167Yu, Jun 6 2014 Asymptotic expansion formula of option price under multifactor Heston model. Zbl 1368.91174Nagashima, Kazuki; Chung, Tsz-Kin; Tanaka, Keiichi 4 2014 Expected log-utility maximization under incomplete information and with Cox-process observations. Zbl 1305.91217Fujimoto, Kazufumi; Nagai, Hideo; Runggaldier, Wolfgang J. 4 2014 Large deviations for the extended Heston model: the large-time case. Zbl 1418.91395Jacquier, Antoine; Mijatović, Aleksandar 2 2014 Randomised mixture models for pricing kernels. Zbl 1368.91176Macrina, Andrea; Parbhoo, Priyanka A. 2 2014 Optimal portfolio selection based on expected shortfall under generalized hyperbolic distribution. Zbl 1418.91490Surya, Budhi Arta; Kurniawan, Ryan 1 2014 A discrete-time Clark-Ocone formula for Poisson functionals. Zbl 1321.60120Amaba, Takafumi 1 2014 Application of homotopy analysis method to option pricing under Lévy processes. Zbl 1307.91180Sakuma, Takayuki; Yamada, Yuji 1 2014 Optimal investment and consumption with default risk: HARA utility. Zbl 1273.91417Bo, 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 1282.91331Imamura, Yuri; Takagi, Katsuya 3 2013 Price discovery in Chinese stock index futures market: new evidence based on intraday data. Zbl 1282.91385Hou, Yang; Li, Steven 2 2013 Pricing exotic options and American options: a multidimensional asymptotic expansion approach. Zbl 1283.91195Nishiba, Masahiro 1 2013 Pricing discrete barrier options under stochastic volatility. Zbl 1282.91347Shiraya, Kenichiro; Takahashi, Akihiko; Yamada, Toshihiro 10 2012 Modeling of contagious credit events and risk analysis of credit portfolios. Zbl 1243.91102Yamanaka, Suguru; Sugihara, Masaaki; Nakagawa, Hidetoshi 3 2012 The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model. Zbl 1245.91092Momeya, Romuald Hervé; Salah, Zied Ben 3 2012 Empirically effective bond pricing model and analysis on term structures of implied interest rates in financial crisis. Zbl 1282.91387Kariya, 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 1282.91269Nakano, Yuji; Okabe, Yasunori 2 2012 Performance regularity: a new class of executive compensation packages. Zbl 1282.91319Bernard, Carole; Le Courtois, Olivier 2 2012 Properties of optimal smooth functions in additive models for hedging multivariate derivatives. Zbl 1242.91199Yamada, Yuji 1 2012 Approximation of asymmetric multivariate return distributions. Zbl 1283.62023Chu, Ba 1 2012 Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model. Zbl 1282.91358Dong, Yinghui; Liang, Xue; Wang, Guojing 1 2012 Valuation of portfolio credit derivatives with default intensities using the Vasicek model. Zbl 1208.91147Liang, Jin; Ma, Jun Mei; Wang, Tao; Ji, Qin 6 2011 “Down-side risk” probability minimization problem with Cox-Ingersoll-Ross’s interest rates. Zbl 1208.91134Hata, Hiroaki 4 2011 On the verification theorem of dynamic portfolio-consumption problems with stochastic market price of risk. Zbl 1278.91140Honda, Toshiki; Kamimura, Shoji 3 2011 The regime switching portfolios. Zbl 1278.91144Ishijima, Hiroshi; Uchida, Masaki 3 2011 Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities. Zbl 1275.91123Kashiwabara, Akira; Nakamura, Nobuhiro 2 2011 Constant rebalanced portfolio optimization under nonlinear transaction costs. Zbl 1278.91152Takano, Yuichi; Gotoh, Jun-ya 2 2011 Empirical study of Nikkei 225 options with the Markov switching GARCH model. Zbl 1208.91164Satoyoshi, Kiyotaka; Mitsui, Hidetoshi 1 2011 A note on utility maximization with unbounded random endowment. Zbl 1211.91227Owari, Keita 1 2011 Log mean-variance portfolio selection under regime switching. Zbl 1278.91145Ishijima, Hiroshi; Uchida, Masaki 1 2011 Detection of information flow in major international financial markets by interactivity network analysis. Zbl 1274.91484Allali, Abdelwahab; Oueslati, Amor; Trabelsi, Abdelwahed 1 2011 Pricing derivatives using the asymptotic expansion approach: credit migration models with stochastic credit spreads. Zbl 1239.91177Muroi, 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 1195.91163Meng, Li; Wang, Mei 7 2010 Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs. Zbl 1195.91157Ishimura, Naoyuki 7 2010 Modelling co-movements and tail dependency in the international stock market via copulae. Zbl 1195.91182Ignatieva, Katja; Platen, Eckhard 6 2010 Environmental economics and modeling marketable permits. Zbl 1200.91247Taschini, Takaki Luca 3 2010 Coefficients of asymptotic expansions of SDE with jumps. Zbl 1201.91196Hayashi, Masafumi 2 2010 Utility indifference hedging with exponential additive processes. Zbl 1195.91165Rheinländer, Thorsten; Steiger, Gallus 1 2010 Comparing firm failure predictions between Logit, KMV, and ZPP models: Evidence from Taiwan’s electronics industry. Zbl 1195.91183Su, En-Der; Huang, Shih-Ming 1 2010 The instantaneous volatility and the implied volatility surface for a generalized Black-Scholes model. Zbl 1201.91239Takaoka, Takaki Koichiro; Futami, Hidenori 1 2010 Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity. Zbl 1187.91222Leung, Kwai Sun; Kwok, Yue Kuen 12 2009 A remark on a singular perturbation method for option pricing under a stochastic volatility model. 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Zbl 1163.91414Madan, Dilip B.; Roynette, Bernard; Yor, Marc 8 2008 Optimal hedging of prediction errors using prediction errors. Zbl 1151.91582Yamada, Yuji 3 2008 A stochastic receding horizon control approach to constrained index tracking. Zbl 1151.91534Primbs, James A.; Sung, Chang Hwan 3 2008 A method of calculating the downside risk by multivariate nonnormal distributions. Zbl 1170.91415Nagahara, Yuichi 1 2008 An explicit finite difference approach to the pricing problems of perpetual Bermudan options. Zbl 1170.91344Muroi, Yoshifumi; Yamada, Takashi 1 2008 Term structure of interest rates under recursive preferences in continuous time. Zbl 1170.91494Nakamura, Hisashi; Nakayama, Keita; Takahashi, Akihiko 1 2008 Recovery process model. Zbl 1170.91484Itoh, Yuki 1 2008 An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates. Zbl 1151.91545Takahashi, Akihiko; Takehara, Kohta 15 2007 The credit risk and pricing of OTC options. Zbl 1151.91525Liang, Gechun; Ren, Xuemin 7 2007 On valuing participating life insurance contracts with conditional heteroscedasticity. Zbl 1136.91488Siu, Tak Kuen; Lau, John W.; Yang, Hailiang 2 2007 Analysing yield spread and output dynamics in an endogenous Markov switching regression framework. Zbl 1151.91482Bhar, Ramaprasad; Hamori, Shigeyuki 2 2007 Reduced-form models with regime switching: An empirical analysis for corporate bonds. Zbl 1136.91493Wong, Hoi Ying; Wong, Tsz Lim 1 2007 Estimation and prediction of a non-constant volatility. Zbl 1151.91469Abramov, Vyacheslav M.; Klebaner, Fima C. 1 2007 A benchmark approach to portfolio optimization under partial information. Zbl 1151.91451Platen, Eckhard; Runggaldier, Wolfgang J. 1 2007 Pricing commodity spread options with stochastic term structure of convenience yields and interest rates. Zbl 1151.91528Nakajima, Katsushi; Maeda, Akira 1 2007 Causal and dynamic relationships among stock returns, return volatility and trading volume: Evidence from emerging markets in South-East Asia. Zbl 1170.91360Pisedtasalasai, Anirut; Gunasekarage, Abeyratna 1 2007 Portfolio optimization with a defaultable security. Zbl 1283.91163Bielecki, Tomasz R.; Jang, Inwon 35 2006 Monte Carlo option pricing for tempered stable (CGMY) processes. Zbl 1283.91196Poirot, Jérémy; Tankov, Peter 19 2006 Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model. Zbl 1131.91354Le Courtois, Olivier; Quittard-Pinon, François 14 2006 Portfolio optimization in discontinuous markets under incomplete information. Zbl 1124.93068Callegaro, Giorgia; Di Masi, Giovanni B.; Runggaldier, Wolfgang J. 11 2006 On the Hoggard-Whalley-Wilmott equation for the pricing of options with transaction costs. Zbl 1283.91176Imai, Hitoshi; Ishimura, Naoyuki; Mottate, Ikumi; Nakamura, Masaaki 7 2006 Risk measures for derivatives with Markov-modulated pure jump processes. Zbl 1283.91173Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen 5 2006 Pricing and hedging of multi type contracts under multidimensional risks in incomplete markets modeled by general Itō SDE systems. Zbl 1283.91183Stojanovic, Srdjan D. 4 2006 Generalizations of Ho-Lee’s binomial interest rate model. I: From one- to multi-factor. Zbl 1283.91186Akahori, Jirô; Aoki, Hiroki; Nagata, Yoshihiko 2 2006 The Asian financial crisis and investors’ risk aversion. Zbl 1185.91167Nishiyama, Yasuo 1 2006 What is the natural scale for a Lévy process in modelling term structure of interest rates? Zbl 1283.91187Akahori, Jirô; Tsuchiya, Takahiro 1 2006 Component structures of agricultural commodity futures traded on the Tokyo grain exchange. Zbl 1131.91380Bhar, Ramaprasad; Hamori, Shigeyuki 1 2006 Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview. Zbl 1134.91430Jimenez, J. C.; Biscay, R. J.; Ozaki, T. 4 2005 ...and 86 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 1,113 Authors 28 Takahashi, Akihiko 23 Platen, Eckhard 21 Siu, Tak Kuen 10 Jentzen, Arnulf 9 Bo, Lijun 9 Chiarella, Carl 9 Fujii, Masaaki 8 Capponi, Agostino 8 Dong, Yinghui 8 Yamada, Toshihiro 7 Akahori, Jirô 7 Elliott, Robert James 7 Pascucci, Andrea 7 Rachev, Svetlozar T. 7 Runggaldier, Wolfgang J. 7 Shen, Yang 7 Wang, Guojing 7 Zhao, Hui 6 Filipović, Damir 6 Funahashi, Hideharu 6 Larsson, Martin 6 le Courtois, Olivier 6 Nikitopoulos Sklibosios, Christina 6 Protter, Philip Elliott 6 Yamada, Yuji 5 Chen, Nan 5 Ignatieva, Katja 5 Leung, Tim 5 Liang, Xue 5 Lu, Xiaoping 5 Rong, Ximin 5 Seneta, Eugene 4 Becker, Sebastian 4 Benth, Fred Espen 4 Cheridito, Patrick 4 Deng, Chao 4 Fabozzi, Frank J. 4 Figueroa-López, José E. 4 Hata, Hiroaki 4 Heath, David C. 4 Hutzenthaler, Martin 4 Imamura, Yuri 4 Ishimura, Naoyuki 4 Mijatović, Aleksandar 4 Mittnik, Stefan 4 Nakagawa, Hidetoshi 4 Sato, Seisho 4 Shiraya, Kenichiro 4 Takehara, Kohta 4 Wu, Yonghong 4 Yan, Dong 4 Zhu, Songping 3 Bayraktar, Erhan 3 Beck, Christian 3 Biagini, Francesca 3 Cheang, Gerald H. L. 3 Crepey, Stephane 3 Dai, Min 3 Deng, Guohe 3 Fouque, Jean-Pierre 3 Fung, Thomas 3 Gotoh, Jun-ya 3 Grohs, Philipp 3 Hainaut, Donatien 3 Heyde, Christopher Charles 3 Hinz, Juri 3 Jacquier, Antoine 3 Jimenez, Juan Carlos 3 Kardaras, Constantinos 3 Kijima, Masaaki 3 Kohatsu-Higa, Arturo 3 Koleva, Miglena Nikolaeva 3 Konno, Hiroshi 3 Kruse, Thomas 3 Landsman, Zinoviy M. 3 Li, Chenxu 3 Li, Shuang 3 Long, Hongwei 3 Macrina, Andrea 3 Miller, Shane M. 3 Ogryczak, Włodzimierz 3 Pagliarani, Stefano 3 Pulido, Sergio 3 Quittard-Pinon, François M. 3 Rheinländer, Thorsten 3 Sbuelz, Alessandro 3 Ševčovič, Daniel 3 Takano, Yuichi 3 Teichmann, Josef 3 Urusov, Mikhail A. 3 Vulkov, Lubin G. 3 Wan, Xiangwei 3 Wang, Suxin 3 Wang, Xingchun 3 Wang, Yongjin 3 Xing, Hao 3 Yang, Hailiang 3 Yang, Nian 3 Yang, Xuewei 3 Yang, Yu ...and 1,013 more Authors all top 5 Cited in 183 Journals 82 Asia-Pacific Financial Markets 44 International Journal of Theoretical and Applied Finance 37 Quantitative Finance 31 Insurance Mathematics & Economics 19 Journal of Computational and Applied Mathematics 18 Finance and Stochastics 17 Stochastic Processes and their Applications 17 Applied Mathematical Finance 15 European Journal of Operational Research 13 Mathematical Finance 12 Statistics & Probability Letters 11 Communications in Statistics. 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Series B 2 Journal of Systems Science and Complexity 2 OR Spectrum 2 Proceedings of the Steklov Institute of Mathematics 2 Probability Surveys 2 Journal of Probability and Statistics 2 Communications in Mathematics and Statistics 2 Journal of Function Spaces 2 Computational Methods for Differential Equations 2 AIMS Mathematics 2 Japanese Journal of Statistics and Data Science 1 Applicable Analysis 1 The Canadian Journal of Statistics 1 International Journal of General Systems 1 Journal of Computational Physics 1 Journal of Engineering Mathematics 1 Journal of Statistical Physics 1 Lithuanian Mathematical Journal 1 Mathematical Biosciences 1 Metrika 1 Moscow University Mathematics Bulletin 1 Nonlinearity 1 Mathematics of Computation 1 Theory of Probability and its Applications 1 Annals of the Institute of Statistical Mathematics ...and 83 more Journals all top 5 Cited in 26 Fields 590 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 342 Probability theory and stochastic processes (60-XX) 145 Statistics (62-XX) 81 Numerical analysis (65-XX) 61 Systems theory; control (93-XX) 51 Partial differential equations (35-XX) 45 Operations research, mathematical programming (90-XX) 18 Calculus of variations and optimal control; optimization (49-XX) 17 Approximations and expansions (41-XX) 10 Computer science (68-XX) 6 Dynamical systems and ergodic theory (37-XX) 6 Integral transforms, operational calculus (44-XX) 5 Ordinary differential equations (34-XX) 5 Integral equations (45-XX) 4 Biology and other natural sciences (92-XX) 3 Combinatorics (05-XX) 3 Real functions (26-XX) 3 Special functions (33-XX) 3 Operator theory (47-XX) 3 Statistical mechanics, structure of matter (82-XX) 2 Measure and integration (28-XX) 2 Geophysics (86-XX) 1 Number theory (11-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year