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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

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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

Publications by Year

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 1153.91568
Takahashi, Akihiko
50
1999
Portfolio optimization with a defaultable security. Zbl 1283.91163
Bielecki, Tomasz R.; Jang, Inwon
35
2006
No arbitrage condition for positive diffusion price processes. Zbl 1074.91014
Delbaen, Freddy; Shirakawa, Hiroshi
33
2002
A note on option pricing for the constant elasticity of variance model. Zbl 1072.91020
Delbaen, Freddy; Shirakawa, Hiroshi
32
2002
An interest rate model with upper and lower bounds. Zbl 1071.91020
Delbaen, Freddy; Shirakawa, Hiroshi
24
2002
Geometric Lévy process & MEMM pricing model and related estimation problems. Zbl 1070.91012
Miyahara, Yoshio
22
2001
Subordinated market index models: A comparison. Zbl 1153.91788
Hurst, Simon R.; Platen, Eckhard; Rachev, Svetlozar T.
20
1997
Monte Carlo option pricing for tempered stable (CGMY) processes. Zbl 1283.91196
Poirot, Jérémy; Tankov, Peter
19
2006
Minimal entropy martingale measures of jump type price processes in incomplete assets markets. Zbl 1153.91549
Miyahara, Yoshio
17
1999
Squared Bessel processes and their applications to the square root interest rate model. Zbl 1034.60074
Shirakawa, Hiroshi
16
2002
Diversified portfolios with jumps in a benchmark framework. Zbl 1075.91022
Platen, 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 1151.91545
Takahashi, Akihiko; Takehara, Kohta
15
2007
Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs. Zbl 1422.91694
Fujii, Masaaki; Takahashi, Akihiko; Takahashi, Masayuki
15
2019
Portfolio optimization under lower partial risk measures. Zbl 1056.91032
Konno, Hiroshi; Waki, Hayato; Yuuki, Atsushi
14
2002
Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model. Zbl 1131.91354
Le Courtois, Olivier; Quittard-Pinon, François
14
2006
Unconditional and conditional distributional models for the Nikkei index. Zbl 1153.91721
Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T.
13
1998
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
Portfolio optimization in discontinuous markets under incomplete information. Zbl 1124.93068
Callegaro, Giorgia; Di Masi, Giovanni B.; Runggaldier, Wolfgang J.
11
2006
Analysis of the nonlinear option pricing model under variable transaction costs. Zbl 1418.91538
Ševčovič, Daniel; Žitňanská, Magdaléna
11
2016
Financial modeling in a fast mean-reverting stochastic volatility environment. Zbl 1157.91358
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, K. Ronnie
11
1999
Pricing options under stochastic interest rates: a new approach. Zbl 1157.91363
Kim, Yong-Jin; Kunitomo, Naoto
11
1999
Classes of interest rate models under the HJM framework. Zbl 1089.91018
Chiarella, Carl; Kwon, Oh Kang
10
2001
Pricing discrete barrier options under stochastic volatility. Zbl 1282.91347
Shiraya, Kenichiro; Takahashi, Akihiko; Yamada, Toshihiro
10
2012
Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon. Zbl 1163.91414
Madan, Dilip B.; Roynette, Bernard; Yor, Marc
8
2008
Cusum techniques for technical trading in financial markets. Zbl 1153.91794
Lam, Kin; Yam, H. C.
8
1997
A class of jump-diffusion bond pricing models within the HJM framework. Zbl 1137.91438
Chiarella, Carl; Sklibosios, Christina Nikitopoulos
8
2003
A fair pricing approach to weather derivatives. Zbl 1075.91024
Platen, Eckhard; West, Jason
7
2004
Option pricing under stochastic interest rates: an empirical investigation. Zbl 1059.91044
Kim, Yong-Jin
7
2002
Edokko options: a new framework of barrier options. Zbl 1056.91030
Fujita, Takahiko; Miura, Ryozo
7
2002
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
The credit risk and pricing of OTC options. Zbl 1151.91525
Liang, 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 1195.91163
Meng, Li; Wang, Mei
7
2010
Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs. Zbl 1195.91157
Ishimura, Naoyuki
7
2010
Perturbative expansion technique for non-linear FBSDEs with interacting particle method. Zbl 1368.65009
Fujii, Masaaki; Takahashi, Akihiko
7
2015
Exotic passport options. Zbl 1153.91553
Penaud, Antony; Wilmott, Paul; Ahn, Hyungsok
7
1999
Pricing mortgage-backed securities (MBS). Zbl 1153.91425
Kariya, Takeaki; Kobayashi, Masaaki
7
2000
A complete Markovian stochastic volatility model in the HJM framework. Zbl 1153.91474
Chiarella, Carl; Kwon, Oh Kang
7
2000
A two-factor model for low interest rate regimes. Zbl 1075.91021
Miller, Shane; Platen, Eckhard
6
2004
Valuation of portfolio credit derivatives with default intensities using the Vasicek model. Zbl 1208.91147
Liang, Jin; Ma, Jun Mei; Wang, Tao; Ji, Qin
6
2011
Modelling co-movements and tail dependency in the international stock market via copulae. Zbl 1195.91182
Ignatieva, Katja; Platen, Eckhard
6
2010
Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market. Zbl 1368.91167
Yu, Jun
6
2014
Properties of multinomial lattices with cumulants for option pricing and hedging. Zbl 1154.91488
Yamada, Yuji; Primbs, James A.
6
2004
Risk measures for derivatives with Markov-modulated pure jump processes. Zbl 1283.91173
Elliott, 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 1177.91133
Yamamoto, Kyo; Takahashi, Akihiko
5
2009
Speculative futures trading under mean reversion. Zbl 1418.91521
Leung, Tim; Li, Jiao; Li, Xin; Wang, Zheng
5
2016
Failure discrimination and rating of enterprises by semi-definite programming. Zbl 1157.91364
Konno, Hiroshi; Kobayashi, Hisanori
5
2000
Understanding the implied volatility surface for options on a diversified index. Zbl 1075.91019
Heath, 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 1054.91543
Nowman, K. Ben
4
2001
Valuation of mortgage-backed securities based upon a structural approach. Zbl 1089.91038
Nakamura, Nobuhiro
4
2001
A prepayment model for the Japanese mortgage loan market: Prepayment-type-specific parametric model approach. Zbl 1059.91031
Sugimura, Toru
4
2002
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
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
“Down-side risk” probability minimization problem with Cox-Ingersoll-Ross’s interest rates. Zbl 1208.91134
Hata, Hiroaki
4
2011
Lévy processes driven by stochastic volatility. Zbl 1283.91188
Chourdakis, Kyriakos
4
2005
Optimal policies of call with notice period requirement. Zbl 1283.91172
Dai, Min; Kwok, Yue Kuen
4
2005
Asset pricing using trading volumes in a hidden regime-switching environment. Zbl 1368.91170
Elliott, Robert J.; Siu, Tak Kuen
4
2015
Asymptotic expansion formula of option price under multifactor Heston model. Zbl 1368.91174
Nagashima, Kazuki; Chung, Tsz-Kin; Tanaka, Keiichi
4
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
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
Optimal investment and consumption with default risk: HARA utility. Zbl 1273.91417
Bo, Lijun; Li, Xindan; Wang, Yongjin; Yang, Xuewei
4
2013
Optimal hedging of prediction errors using prediction errors. Zbl 1151.91582
Yamada, Yuji
3
2008
A stochastic receding horizon control approach to constrained index tracking. Zbl 1151.91534
Primbs, James A.; Sung, Chang Hwan
3
2008
Dynamic hedging effectiveness in South Korean index futures and the impact of the Asian financial crisis. Zbl 1054.91546
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
On the verification theorem of dynamic portfolio-consumption problems with stochastic market price of risk. Zbl 1278.91140
Honda, Toshiki; Kamimura, Shoji
3
2011
The regime switching portfolios. Zbl 1278.91144
Ishijima, Hiroshi; Uchida, Masaki
3
2011
Environmental economics and modeling marketable permits. Zbl 1200.91247
Taschini, Takaki Luca
3
2010
A stochastic correlation model with mean reversion for pricing multi-asset options. Zbl 1170.91390
Ma, Jun
3
2009
An FBSDE approach to American option pricing with an interacting particle method. Zbl 1368.91181
Fujii, Masaaki; Sato, Seisho; Takahashi, Akihiko
3
2015
Volatility persistence and switching ARCH in Japanese stock returns. Zbl 1153.91757
Fong, Wai Mun
3
1997
Modeling of contagious credit events and risk analysis of credit portfolios. Zbl 1243.91102
Yamanaka, Suguru; Sugihara, Masaaki; Nakagawa, Hidetoshi
3
2012
The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model. Zbl 1245.91092
Momeya, Romuald Hervé; Salah, Zied Ben
3
2012
Semi-static hedging based on a generalized reflection principle on a multi dimensional Brownian motion. Zbl 1282.91331
Imamura, Yuri; Takagi, Katsuya
3
2013
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
On valuing participating life insurance contracts with conditional heteroscedasticity. Zbl 1136.91488
Siu, Tak Kuen; Lau, John W.; Yang, Hailiang
2
2007
A benchmark approach to filtering in finance. Zbl 1075.91023
Platen, Eckhard; Runggaldier, Wolfgang J.
2
2004
The relations between minimal martingale measure and minimal entropy martingale measure. Zbl 1062.91028
Arai, Takuji
2
2001
Valuation model of defaultable bond values in emerging markets. Zbl 1061.91027
Hui, 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 1074.91522
Tian, Gary Gang; Wan, Guang Hua; Guo, Mingyuan
2
2002
Analysing yield spread and output dynamics in an endogenous Markov switching regression framework. Zbl 1151.91482
Bhar, Ramaprasad; Hamori, Shigeyuki
2
2007
Testing for volatility jumps in the stochastic volatility process. Zbl 1134.91435
Kobayashi, Masahito
2
2005
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
Generalizations of Ho-Lee’s binomial interest rate model. I: From one- to multi-factor. Zbl 1283.91186
Akahori, 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 1177.91135
Futami, Hidenori
2
2009
Coefficients of asymptotic expansions of SDE with jumps. Zbl 1201.91196
Hayashi, Masafumi
2
2010
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
Large deviations for the extended Heston model: the large-time case. Zbl 1418.91395
Jacquier, Antoine; Mijatović, Aleksandar
2
2014
An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach. Zbl 1418.91542
Takahashi, Akihiko; Yamada, Toshihiro
2
2016
Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps. Zbl 1418.91474
Hata, Hiroaki; Sekine, Jun
2
2017
Hyperbolic symmetrization of Heston type diffusion. Zbl 1422.91702
Ida, Yuuki; Kinoshita, Tsuyoshi
2
2019
Methods of partial hedging. Zbl 1157.91357
Cvitanić, Jakša
2
1999
The minimal entropy martingale measures for exponential additive processes. Zbl 1181.60068
Fujiwara, Tsukasa
2
2009
Evaluation of the MEMM, parameter estimation and option pricing for geometric Lévy processes. Zbl 1180.60061
Fujisaki, Masatoshi; Zhang, Dewei
2
2009
Randomised mixture models for pricing kernels. Zbl 1368.91176
Macrina, Andrea; Parbhoo, Priyanka A.
2
2014
Econometric analysis of a continuous time multi-factor generalized Vasicek term structure model: International evidence. Zbl 1153.91698
Babbs, Simon H.; Ben Nowman, K.
2
1998
The profitability in the FTSE 100 index: a new Markov chain approach. Zbl 1437.91420
Riedlinger, Flavio Ivo; Nicolau, João
1
2020
Market efficiency, liquidity, and multifractality of Bitcoin: a dynamic study. Zbl 1437.91421
Takaishi, Tetsuya; Adachi, Takanori
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
15
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
Term structure models during the global financial crisis: a parsimonious text mining approach. Zbl 1422.91738
Nishimura, Kiyohiko G.; Sato, Seisho; Takahashi, Akihiko
1
2019
Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints. Zbl 1418.91493
Yamada, Yuji; Primbs, James A.
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
2
2017
Pricing CIR yield options by conditional moment matching. Zbl 1418.91534
Prayoga, Adrian; Privault, Nicolas
1
2017
An algorithmic approach to optimal asset liquidation problems. Zbl 1418.91476
Hinz, Juri; Yee, Jeremy
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
11
2016
Speculative futures trading under mean reversion. Zbl 1418.91521
Leung, Tim; Li, Jiao; Li, Xin; Wang, Zheng
5
2016
An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach. Zbl 1418.91542
Takahashi, Akihiko; Yamada, Toshihiro
2
2016
On the price of risk under a regime switching CGMY process. Zbl 1418.91499
Asiimwe, Pious; Mahera, Charles Wilson; Menoukeu-Pamen, Olivier
1
2016
Perturbative expansion technique for non-linear FBSDEs with interacting particle method. Zbl 1368.65009
Fujii, Masaaki; Takahashi, Akihiko
7
2015
Asset pricing using trading volumes in a hidden regime-switching environment. Zbl 1368.91170
Elliott, Robert J.; Siu, Tak Kuen
4
2015
An FBSDE approach to American option pricing with an interacting particle method. Zbl 1368.91181
Fujii, Masaaki; Sato, Seisho; Takahashi, Akihiko
3
2015
Dynamic investment strategy with factor models under regime switches. Zbl 1368.91166
Komatsu, Takahiro; Makimoto, Naoki
1
2015
Option pricing for symmetric Lévy returns with applications. Zbl 1368.91171
Hamza, 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 1368.91167
Yu, Jun
6
2014
Asymptotic expansion formula of option price under multifactor Heston model. Zbl 1368.91174
Nagashima, Kazuki; Chung, Tsz-Kin; Tanaka, Keiichi
4
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
Large deviations for the extended Heston model: the large-time case. Zbl 1418.91395
Jacquier, Antoine; Mijatović, Aleksandar
2
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
A discrete-time Clark-Ocone formula for Poisson functionals. Zbl 1321.60120
Amaba, Takafumi
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
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
10
2012
Modeling of contagious credit events and risk analysis of credit portfolios. Zbl 1243.91102
Yamanaka, Suguru; Sugihara, Masaaki; Nakagawa, Hidetoshi
3
2012
The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model. Zbl 1245.91092
Momeya, 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 1282.91387
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
Performance regularity: a new class of executive compensation packages. Zbl 1282.91319
Bernard, Carole; Le Courtois, Olivier
2
2012
Properties of optimal smooth functions in additive models for hedging multivariate derivatives. Zbl 1242.91199
Yamada, Yuji
1
2012
Approximation of asymmetric multivariate return distributions. Zbl 1283.62023
Chu, Ba
1
2012
Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model. Zbl 1282.91358
Dong, Yinghui; Liang, Xue; Wang, Guojing
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
6
2011
“Down-side risk” probability minimization problem with Cox-Ingersoll-Ross’s interest rates. Zbl 1208.91134
Hata, Hiroaki
4
2011
On the verification theorem of dynamic portfolio-consumption problems with stochastic market price of risk. Zbl 1278.91140
Honda, Toshiki; Kamimura, Shoji
3
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
1
2011
A note on utility maximization with unbounded random endowment. Zbl 1211.91227
Owari, Keita
1
2011
Log mean-variance portfolio selection under regime switching. Zbl 1278.91145
Ishijima, Hiroshi; Uchida, Masaki
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
7
2010
Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs. Zbl 1195.91157
Ishimura, Naoyuki
7
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
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
The instantaneous volatility and the implied volatility surface for a generalized Black-Scholes model. Zbl 1201.91239
Takaoka, Takaki Koichiro; Futami, Hidenori
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
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
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
The minimal entropy martingale measures for exponential additive processes. Zbl 1181.60068
Fujiwara, Tsukasa
2
2009
Evaluation of the MEMM, parameter estimation and option pricing for geometric Lévy processes. Zbl 1180.60061
Fujisaki, Masatoshi; Zhang, Dewei
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
8
2008
Optimal hedging of prediction errors using prediction errors. Zbl 1151.91582
Yamada, Yuji
3
2008
A stochastic receding horizon control approach to constrained index tracking. Zbl 1151.91534
Primbs, James A.; Sung, Chang Hwan
3
2008
A method of calculating the downside risk by multivariate nonnormal distributions. Zbl 1170.91415
Nagahara, Yuichi
1
2008
An explicit finite difference approach to the pricing problems of perpetual Bermudan options. Zbl 1170.91344
Muroi, Yoshifumi; Yamada, Takashi
1
2008
Term structure of interest rates under recursive preferences in continuous time. Zbl 1170.91494
Nakamura, Hisashi; Nakayama, Keita; Takahashi, Akihiko
1
2008
Recovery process model. Zbl 1170.91484
Itoh, 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 1151.91545
Takahashi, Akihiko; Takehara, Kohta
15
2007
The credit risk and pricing of OTC options. Zbl 1151.91525
Liang, Gechun; Ren, Xuemin
7
2007
On valuing participating life insurance contracts with conditional heteroscedasticity. Zbl 1136.91488
Siu, Tak Kuen; Lau, John W.; Yang, Hailiang
2
2007
Analysing yield spread and output dynamics in an endogenous Markov switching regression framework. Zbl 1151.91482
Bhar, Ramaprasad; Hamori, Shigeyuki
2
2007
Reduced-form models with regime switching: An empirical analysis for corporate bonds. Zbl 1136.91493
Wong, Hoi Ying; Wong, Tsz Lim
1
2007
Estimation and prediction of a non-constant volatility. Zbl 1151.91469
Abramov, Vyacheslav M.; Klebaner, Fima C.
1
2007
A benchmark approach to portfolio optimization under partial information. Zbl 1151.91451
Platen, Eckhard; Runggaldier, Wolfgang J.
1
2007
Pricing commodity spread options with stochastic term structure of convenience yields and interest rates. Zbl 1151.91528
Nakajima, 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 1170.91360
Pisedtasalasai, Anirut; Gunasekarage, Abeyratna
1
2007
Portfolio optimization with a defaultable security. Zbl 1283.91163
Bielecki, Tomasz R.; Jang, Inwon
35
2006
Monte Carlo option pricing for tempered stable (CGMY) processes. Zbl 1283.91196
Poirot, Jérémy; Tankov, Peter
19
2006
Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model. Zbl 1131.91354
Le Courtois, Olivier; Quittard-Pinon, François
14
2006
Portfolio optimization in discontinuous markets under incomplete information. Zbl 1124.93068
Callegaro, 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 1283.91176
Imai, Hitoshi; Ishimura, Naoyuki; Mottate, Ikumi; Nakamura, Masaaki
7
2006
Risk measures for derivatives with Markov-modulated pure jump processes. Zbl 1283.91173
Elliott, 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 1283.91183
Stojanovic, Srdjan D.
4
2006
Generalizations of Ho-Lee’s binomial interest rate model. I: From one- to multi-factor. Zbl 1283.91186
Akahori, Jirô; Aoki, Hiroki; Nagata, Yoshihiko
2
2006
The Asian financial crisis and investors’ risk aversion. Zbl 1185.91167
Nishiyama, Yasuo
1
2006
What is the natural scale for a Lévy process in modelling term structure of interest rates? Zbl 1283.91187
Akahori, Jirô; Tsuchiya, Takahiro
1
2006
Component structures of agricultural commodity futures traded on the Tokyo grain exchange. Zbl 1131.91380
Bhar, Ramaprasad; Hamori, Shigeyuki
1
2006
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
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23 Platen, Eckhard
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10 Jentzen, Arnulf
9 Bo, Lijun
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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.
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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
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3 Teichmann, Josef
3 Urusov, Mikhail A.
3 Vulkov, Lubin G.
3 Wan, Xiangwei
3 Wang, Suxin
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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. Theory and Methods
10 Annals of Finance
9 Journal of Economic Dynamics & Control
9 Annals of Operations Research
9 Decisions in Economics and Finance
8 Stochastic Analysis and Applications
8 The Annals of Applied Probability
7 Journal of Applied Probability
7 Japan Journal of Industrial and Applied Mathematics
7 Methodology and Computing in Applied Probability
7 Mathematics and Financial Economics
7 SIAM Journal on Financial Mathematics
6 Journal of Mathematical Analysis and Applications
6 Journal of Econometrics
6 Acta Mathematicae Applicatae Sinica. English Series
6 International Journal of Computer Mathematics
6 Computational Statistics and Data Analysis
6 Review of Derivatives Research
5 Applied Mathematics and Computation
5 Mathematics of Operations Research
5 SIAM Journal on Control and Optimization
5 Mathematical and Computer Modelling
5 Journal of Industrial and Management Optimization
4 Advances in Applied Probability
4 Mathematics and Computers in Simulation
4 Econometric Reviews
4 Mathematical Problems in Engineering
4 Abstract and Applied Analysis
4 Mathematical Methods of Operations Research
4 Discrete Dynamics in Nature and Society
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4 North American Actuarial Journal
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3 International Journal of Control
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3 ASTIN Bulletin
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3 Journal of Statistical Theory and Practice
3 International Journal of Stochastic Analysis
3 JSIAM Letters
2 Computers & Mathematics with Applications
2 Journal of Multivariate Analysis
2 Journal of Statistical Planning and Inference
2 Operations Research Letters
2 Optimization
2 Asia-Pacific Journal of Operational Research
2 Journal of Applied Mathematics and Stochastic Analysis
2 Economics Letters
2 Automation and Remote Control
2 Journal of Statistical Computation and Simulation
2 Communications in Nonlinear Science and Numerical Simulation
2 Probability in the Engineering and Informational Sciences
2 Applied Stochastic Models in Business and Industry
2 Discrete and Continuous Dynamical Systems. 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
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1 Lithuanian Mathematical Journal
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1 Metrika
1 Moscow University Mathematics Bulletin
1 Nonlinearity
1 Mathematics of Computation
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