JAFEE BEST PAPER AWARD

This association (JAFEE) encourages theoretical, applied, and empirical research in finance in a broad sense, and in research fields related to actual financial decision making. To promote improvement in the level of research in the field, the JAFEE BEST PAPER AWARD is presented for each section -- there are three sections of theoretical study, application study, and empirical study -- every year to excellent papers from among articles that have been published in recent years in journals published by the association. The winning candidate must be members of this association (regular members, student members, and corporate members). However, if the paper is co-authored and the representative is a regular member of this association, then that situation does not interfere with the inclusion of the co-author who is a non-regular member. Furthermore, authors contributing to the English-language journal APFM shall have the eligibility to receive the award even if they are not regular members. Upon evaluation, the author of an original and excellent paper will be presented with an honorary certificate. Furthermore, in case the paper is co-authored, an honorary certificate will be presented to each author.

The JAFEE BEST PAPER AWARD winners in YEAR 2020

[Theoretical study]

Masaaki Fujii, Akihiko Takahashi, and Masayuki Takahashi, "Asymptotic Expansion as Prior Knowledge in Deep Learning Method for High dimensional BSDEs" Asia-Pacific Financial Markets volume 26, pages391–408 (2019)

[Application study]&[Empirical study]

Takayuki Morimoto and Yoshinori Kawasaki, "Forecasting Financial Market Volatility Using a Dynamic Topic Model" Asia-Pacific Financial Markets volume 24, pages149–167 (2017)


The past best paper award winners since YEAR 2013

YEAR 2020

[Theoretical study]

Daniel Ševčovič & Magdaléna Žitňanská, "Analysis of the nonlinear option pricing model under variable transaction costs" Asia-Pacific Financial Markets volume 23, pages153–174 (2016).

[Application study]&[Empirical study]

Rudra P. Pradhan, Mak B. Arvin, Sara E. Bennett, Mahendhiran Nair & John H. Hall, "Bond Market Development, Economic Growth and Other Macroeconomic Determinants: Panel VAR Evidence" Asia-Pacific Financial Markets volume 23, pages175–201 (2016)

YEAR 2019

[Theoretical study]

T. Leung, J. Li, X. Li, and Z. Wang, "Speculative futures trading under mean reversion"Asia-Pacific Financial Markets, 23, 281–304(2016)

[Application study]&[Empirical study]

M. K. P. So and R. Xu, "Forecasting intraday volatility and value-at-risk with high-frequency data"Asia-Pacific Financial Markets, 20, 83–111(2013)

YEAR 2018

[Theoretical study]

Kazufumi Fujimoto Hideo Nagai and Wolfgang J. Runggaldier, “Expected Log-Utility Maximization Under Incomplete Information and with Cox-Process Observations.” Asia-Pacific Financial Markets, March 2014, Volume 21, Issue 1, pp 35–66.

[Application study]

Nobody

[Empirical study]

Nobody

YEAR 2017

[Theoretical study]

Masaaki Fujii and Akihiko Takahashi, “erturbative expansion technique for non-linear FBSDEs with interacting particle method.” Asia-Pacific Financial Markets, September 2015 Vol. 22, Issue 3, pp 283–304.

[Application study]

Nobody

[Empirical study]

Yang Hou and Steven Li, “Price Discovery in Chinese Stock Index Futures Market: New Evidence Based on Intraday Data.” Asia-Pacific Financial Markets, March 2013, Vol. 20, Issue 1, pp 49–70.

YEAR 2016

[Theoretical study]

Toshiki Honda, Shoji Kamimura "On the Verification Theorem of Dynamic Portfolio-Consumption Problems with Stochastic Market Price of Risk." Asia-Pacific Financial Markets, May 2011, Volume 18, Issue 2, pp 151-166.

[Application study]

Hiroshi Ishijima, Masaki Uchida "The Regime Switching Portfolios." Asia-Pacific Financial Markets, May 2011, Volume 18, Issue 2, pp 167-189.

[Empirical study]

Nobody

YEAR 2015

[Theoretical study]

Kenichiro Shiraya, Akihiko Takahashi, and Toshihiro Yamada, "Pricing Discrete Barrier Options Under Stochastic Volatility." Asia-Pacific Financial Markets, September 2012, Volume 19, Issue 3, pp 205-232.

[Application study]

Naoto Kunitomo, Hiroumi Misaki, and Seisho Sato, "The SIML Estimation of Integrated Covariance and Hedging Coefficient Under Round-off Errors, Micro-market Price Adjustments and Random Sampling." Asia-Pacific Financial Markets, September 2015, Volume 22, Issue 3, pp 333-368.

[Empirical study]

Takeaki Kariya , Yoshiro Yamamura, Yoko Tanokura, and Zhu Wang,"Credit Risk Analysis on Euro Government Bonds-Term Structures of Default Probabilities." Asia-Pacific Financial Markets, November 2015, Volume 22, Issue 4, pp 397-427

YEAR 2014

[Theoretical study]

Suguru Yamanaka, Masaaki Sugihara, Hidetoshi Nakagawa, " Modeling of Contagious Credit Events and Risk Analysis of Credit Portfolios." Asia-Pacific Financial Markets, 19(1), pp 43-62, 2012

[Application study]

Nobody

[Empirical study]

Nobody

YEAR 2013

[Theoretical study]

Hiroaki Hata,"`Down-Side Risk' Probability Minimization Problem with Cox-Ingersoll-Ross’s Interest Rates." Asia-Pacific Financial Markets, 18, No. 1, pp. 69-87, 2011

[Application study]

Nobody

[Empirical study]

Nobody