Browsing Journal Articles by Author "Platen Eckhard"

UTSePress Research/Manakin Repository

Search UTSePress Research


Advanced Search

Browse

My Account

Browsing Journal Articles by Author "Platen Eckhard"

Sort by: Order: Results:

  • A benchmark approach to finance 
    Platen Eckhard (Blackwell Publishing Asia, 2005)
    This paper derives a unified framework for portfolio optimization, derivative pricing, financial modeling, and risk measurement. It is based on the natural assumption that investors prefer more rather than less, in the ...
  • A class of complete benchmark models with intensity-based jumps 
    Platen Eckhard (Australasian Medical Publishing Company, 2003)
    This paper proposes a class of complete financial market models, the benchmark models, with security price processes that exhibit intensity-based jumps. The benchmark or reference unit is chosen to be the growth-optimal ...
  • Empirical evidence on Student-t log-returns of diversified world stock indices 
    Platen Eckhard; Rendek Renata (Grace Scientific Publishing, 2008)
    The aim of this paper is to document some empirical facts related to log-returns of diversified workld stock indices when these are denominated in different currencies. Motivated by eaarlier results we jave obtained the ...
  • Estimation for discretely observed diffusions using transform functions 
    Platen Eckhard; Sorensen Michael; Kelly Leah (Australasian Medical Publishing Company, 2003)
    This paper introduces a new estimation technique for discretely observed diffusion processes. Transform functions are applied to transform the data to obtain good and easily calculated estimators of both the drift and ...
  • First order strong approximations of jump diffusions 
    Nikitopoulos Sklibosios Christina; Bruti Liberati Nicola; Platen Eckhard (Trans Tech Publications Ltd, 2007)
    This paper presents new results on strong numerical schemes, which are appropriate for scenario analysis, filtering and hedge simulation, for stochastic differential equations (SDEs) of jump-diffusion type. It provides ...
  • A general benchmark model for stochastic jump sizes 
    Platen Eckhard; Christensen Morten (Taylor and Francis, 2007)
    Under few technical assumptions and allowing for the absence of all equivalent martingale measure, we show how to price and hedge in a sequence of incomplete markets driven by Wiener noise and a marked point process. ...
  • A Hardware Generator of Multi-Point Distributed Random Numbers for Monte Carlo Simulation 
    Bruti Liberati Nicola; Martini Fillipo; Piccardi Massimo; Platen Eckhard (Elsevier, 2008)
    Monte Carlo simulation of weak approximation of stochastic differential equations constitutes an intensive computational task. In applications such as finance, for instance, to achieve "real time" execution, as often ...
  • Hedging for the long run 
    Hulley Hardy; Platen Eckhard (Springer, 2012)
    In the years following the publication of Black and Scholes (J Political Econ, 81(3), 637-654, 1973), numerous alternative models have been proposed for pricing and hedging equity derivatives. Prominent examples include ...
  • A Law Of Large Numbers For Wide-range Exclusion Processes In Random-media 
    Platen Eckhard (Elsevier Science Bv, 1989)
    The paper presents a law of large numbers for the asymptotic macroscopic nonequilibrium dynamics of wide range exclusion processes with births and deaths on a random set of sites.
  • Local volatility function models under a benchmark approach 
    Heath David; Platen Eckhard (SAGE Publications, 2006)
    Without requiring the existence of an equivalent risk-neutral probability measure this paper studies a class of one-factor local volatility function models for stock indices under a benchmark approach. It is assumed that ...
  • On the distributional characterization of daily log-returns of a world stock index 
    Platen Eckhard; Fergusson Kevin (Routledge Journals, Taylor and Francis Ltd, 2006)
    In this paper distributions are identified which suitably fit log-returns of the world stock index when these are expressed in units of different currencies. By searching for (I best fit in the class of symmetric generalized ...
  • On the semimartingale property of discounted asset-price processes 
    Kardaras Constantinos; Platen Eckhard (Elsevier, 2011)
    A financial market model where agents trade using realistic combinations of simple (i.e., finite combinations of buy-and-hold) no-short-sales strategies is considered. Minimal assumptions are made on the discounted asset-price ...
  • Portfolio selection and asset pricing under a benchmark approach 
    Platen Eckhard (Elsevier Science, 2003)
    The paper presents classical and new results on portfolio optimization, as well as the fair pricing concept for derivative pricing under the benchmark approach. The growth optimal portfolio is shown to be a central object ...
  • Pricing of index options under a minimal market model with log-normal scaling 
    Platen Eckhard; Heath David (John Wiley and Sons Inc, 2007)
    This paper describes a two-factor model for a diversified market index using the growth optimal portfolio with a stochastic and possibly correlated intrinsic timescale. The index is modelled using a time transformed ...
  • Processes of class Sigma, last passage times, and drawdowns 
    Cheridito Patrick; Nikeghbali Ashkan; Platen Eckhard (Society for Industrial and Applied Mathematics, 2012)
    We propose a general framework for studying last passage times, suprema, and drawdowns of a large class of continuous-time stochastic processes. Our approach is based on processes of class Sigma and the more general concept ...
  • Rate of weak convergence of the Euler approximation for diffusion processes with jumps 
    Kubilius Kestutis; Platen Eckhard (Springer, 2006)
    The paper estimates the speed of convergence of the Euler approximation for diffusion processes with jump component which have Hölder continuous coefficients.
  • Real-world pricing for a modified constant elasticity of variance model 
    Miller Shane; Platen Eckhard (Routledge, 2010)
    This paper considers a modified constant elasticity of variance (MCEV) model. This model uses the familiar constant elasticity of variance form for the volatility of the growth optimal portfolio (GOP) in a continuous market. ...
  • Strong Approximations of Stochastic Differential Equations with Jumps 
    Platen Eckhard; Bruti Liberati Nicola (Elsevier, 2007)
    This paper is a survey of strong discrete time approximations of jump-diffusion processes described by stochastic differential equations (SDEs). It also presents new results on strong discrete time approximations for the ...
  • Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations 
    Bruti Liberati Nicola; Platen Eckhard (World Scientific, 2008)
    This paper introduces a new class of numerical schemes for the pathwise approximation of solutions of stochastic differential equations (SDEs). The proposed family of strong predictor-corrector Euler methods are designed ...
  • A structure for general and specific market risk 
    Platen Eckhard; Stahl Gerhard (National Strength and Conditioning Association, 2007)
    The paper presents a consistent approach to the modeling of general and specific market risk as defined in regulatory documents. It compares the statistically based beta-factor model with a class of benchmark models that ...