Browsing Journal Articles by Author "Platen Eckhard"

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Browsing Journal Articles by Author "Platen Eckhard"

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  • 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 ...
  • Symmetry group methods for fundamental solutions 
    Craddock Mark; Platen Eckhard (Elsevier, 2003)
  • Weak discrete time approximation of stochastic differential equations with time delay 
    Platen Eckhard; Kuechler Uwe (Elsevier Science, 2001)
    This paper considers the derivation of weak discrete time approximations for solutions of stochastic differential equations with time delay. These are suitable for Monte Carlo simulation and allow the computation of ...