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Financial Engineering and the Japanese Markets

Articles from the last few issues of Financial Engineering and the Japanese Markets © Springer
  • Non-linear long horizon returns predictability: evidence from six south-east Asian markets
    Financial Engineering and the Japanese Markets, Vol. 13, No. 2. (June 2006), pp. 95-111.
    by Mcmillan, David, Speight, Alan
  • Portfolio optimization with a defaultable security
    Financial Engineering and the Japanese Markets, Vol. 13, No. 2. (June 2006), pp. 113-127.
    by Bielecki, Tomasz, Jang, Inwon
  • Risk measures for derivatives with Markov-modulated pure jump processes
    Financial Engineering and the Japanese Markets, Vol. 13, No. 2. (June 2006), pp. 129-149.
    by Elliott, Robert, Chan, Leunglung, Siu, Tak
  • Generalizations of HoLees binomial interest rate model I: from one- to multi-factor
    Financial Engineering and the Japanese Markets, Vol. 13, No. 2. (June 2006), pp. 151-179.
    by Akahori, Jiro, Aoki, Hiroki, Nagata, Yoshihiko
  • Component structures of agricultural commodity futures traded on the Tokyo Grain Exchange
    Financial Engineering and the Japanese Markets, Vol. 13, No. 1. (March 2006), pp. 1-9.
    by Bhar, Ramaprasad, Hamori, Shigeyuki
  • Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model
    Financial Engineering and the Japanese Markets, Vol. 13, No. 1. (March 2006), pp. 11-39.
    by Le Courtois, Olivier, Quittard-Pinon, Francois
  • Mean and volatility dynamics of Indian rupee/US dollar exchange rate series: an empirical investigation
    Financial Engineering and the Japanese Markets, Vol. 13, No. 1. (March 2006), pp. 41-69.
    by Kar, Rituparna, Sarkar, Nityananda
  • Evidence on the arbitrage efficiency of SPI index futures and options markets
    Financial Engineering and the Japanese Markets, Vol. 13, No. 1. (March 2006), pp. 71-93.
    by Li, Steven, Alfay, Elia
  • On the asymptotic behavior of the prices of Asian options
    Financial Engineering and the Japanese Markets, Vol. 12, No. 4. (December 2005), pp. 289-306.
    by Hishida, Yuji, Yasutomi, Kenji
  • Dynamical analysis of corporate bonds based on the yield spread term-quality surface
    Financial Engineering and the Japanese Markets, Vol. 12, No. 4. (December 2005), pp. 307-332.
    by Shouda, Tomoaki
  • Levy processes driven by stochastic volatility
    Financial Engineering and the Japanese Markets, Vol. 12, No. 4. (December 2005), pp. 333-352.
    by Chourdakis, Kyriakos
  • Optimal policies of call with notice period requirement
    Financial Engineering and the Japanese Markets, Vol. 12, No. 4. (December 2005), pp. 353-373.
    by Dai, Min, Kwok, Yue
  • Optimal risk transfer and investment policies based upon stochastic differential utilities
    Financial Engineering and the Japanese Markets, Vol. 12, No. 4. (December 2005), pp. 375-403.
    by Nakamura, Nobuhiro
  • Inference Methods for Discretely Observed Continuous-Time Stochastic Volatility Models: A Commented Overview
    Financial Engineering and the Japanese Markets, Vol. 12, No. 2. (June 2005), pp. 109-141.
    by Jimenez, , Biscay, , Ozaki,
    posted by 1 person felixmiguelc
  • Testing for Volatility Jumps in the Stochastic Volatility Process
    Financial Engineering and the Japanese Markets, Vol. 12, No. 2. (June 2005), pp. 143-157.
    by Kobayashi, Masahito
  • Dynamic Efficiency in the East European Emerging Markets
    Financial Engineering and the Japanese Markets, Vol. 12, No. 2. (June 2005), pp. 159-179.
    by Tsukuda, Yoshihiko, Miyakoshi, Tatsuyoshi, Shimada, Junji
  • Option Approach to Search for Threshold Rice Price Toward Sustainable Paddy Field Management
    Financial Engineering and the Japanese Markets, Vol. 12, No. 2. (June 2005), pp. 181-198.
    by Yoshimoto, Atsushi
  • Diversified Portfolios with Jumps in a Benchmark Framework
    Financial Engineering and the Japanese Markets, Vol. 11, No. 1. (August 2005), pp. 1-22.
    by Platen, Eckhard
  • A Fair Pricing Approach to Weather Derivatives
    Financial Engineering and the Japanese Markets, Vol. 11, No. 1. (August 2005), pp. 23-53.
    by Platen, Eckhard, West, Jason
  • Understanding the Implied Volatility Surface for Options on a Diversified Index
    Financial Engineering and the Japanese Markets, Vol. 11, No. 1. (August 2005), pp. 55-77.
    by Heath, David, Platen, Eckhard
  • A Benchmark Approach to Filtering in Finance
    Financial Engineering and the Japanese Markets, Vol. 11, No. 1. (August 2005), pp. 79-105.
    by Platen, Eckhard, Runggaldier, Wolfgang
  • A Two-Factor Model for Low Interest Rate Regimes
    Financial Engineering and the Japanese Markets, Vol. 11, No. 1. (August 2005), pp. 107-133.
    by Miller, Shane, Platen, Eckhard
  • A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework
    Financial Engineering and the Japanese Markets, Vol. 10, No. 2-3. (September 2003), pp. 87-127.
    by Carl Chiarella, Christina Sklibosios
  • Implied Default Probability and Credit Derivatives
    Financial Engineering and the Japanese Markets, Vol. 10, No. 2-3. (September 2003), pp. 129-149.
    by Koichi Matsumoto
  • On the Pricing of Defaultable Bonds Using the Framework of Barrier Options
    Financial Engineering and the Japanese Markets, Vol. 10, No. 2-3. (September 2003), pp. 151-162.
    by Motokazu Ishizaka, Koichiro Takaoka
  • Is Volatility the Best Predictor of Market Crashes?
    Financial Engineering and the Japanese Markets, Vol. 10, No. 2-3. (September 2003), pp. 163-185.
    by Chikashi Tsuji
  • Effectiveness of Stochastic Neural Network for Prediction of Fall or Rise of TOPIX
    Financial Engineering and the Japanese Markets, Vol. 10, No. 2-3. (September 2003), pp. 187-204.
    by Shigeo Kamitsuji, Ritei Shibata
  • Productivity and Technical Change in Malaysian Banking: 1989-1998
    Financial Engineering and the Japanese Markets, Vol. 10, No. 2-3. (September 2003), pp. 205-237.
    by Ergun Dogan, Dietrich Fausten
  • Long-Run Operating Performance of Initial Public Offerings in Japanese Over-the-Counter Market (1991-2001): Evidence and Implications
    Financial Engineering and the Japanese Markets, Vol. 10, No. 2-3. (September 2003), pp. 239-274.
    by Daying Yan, Jun Cai
  • A Note on Gaussian Estimation of the CKLS and CIR Models with Feedback Effects for Japan
    Financial Engineering and the Japanese Markets, Vol. 10, No. 2-3. (September 2003), pp. 275-279.
    by K Nowman
  • No Arbitrage Condition for Positive Diffusion Price Processes
    Asia-Pacific Financial Markets, Vol. 9, No. 3-4., 159.
    by F Delbaen, H Shirakawa
  • Squared Bessel Processes and Their Applications to the Square Root Interest Rate Model
    Asia-Pacific Financial Markets, Vol. 9, No. 3-4., 169.
    by H Shirakawa
  • An Interest Rate Model with Upper and Lower Bounds
    Asia-Pacific Financial Markets, Vol. 9, No. 3-4., 191.
    by F Delbaen, H Shirakawa
  • Pricing Derivatives in Zone Model
    Asia-Pacific Financial Markets, Vol. 9, No. 3-4., 211.
    by T Fujita
  • Pricing American Put Options on Defaultable Bonds
    Asia-Pacific Financial Markets, Vol. 9, No. 3-4., 217.
    by Y Muroi
  • Market Efficiency and the Returns to Simple Technical Trading Rules: New Evidence from U.S. Equity Market and Chinese Equity Markets
    Asia-Pacific Financial Markets, Vol. 9, No. 3-4., 241.
    by GG Tian, GH Wan, M Guo
  • The Political Economy of Volatility Dynamics in the Hong Kong Stock Market
    Asia-Pacific Financial Markets, Vol. 9, No. 3-4., 259.
    by WM Fong, SK Koh
  • Long-Term Memory and Applying the Multi-Factor ARFIMA Models in Financial Markets
    Asia-Pacific Financial Markets, Vol. 9, No. 3-4., 283.
    by C Tsuji
  • A Prepayment Model for the Japanese Mortgage Loan Market: Prepayment-Type-Specific Parametric Model Approach
    Asia-Pacific Financial Markets, Vol. 9, No. 3-4., 305.
    by T Sugimura
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