Browsing General by Author "Platen, Eckhard"

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Browsing General by Author "Platen, Eckhard"

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  • Bruti Liberati, Nicola; Nikitopoulos Sklibosios, Christina; Platen, Eckhard; Schlogl, Erik (Springer, 2009)
    The objective of this paper is to consider defaultable term structure models in a general setting beyond standard risk-neutral models. Using as numeraire the growth optimal portfolio, defaultable interest rate derivatives ...
  • 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 ...
  • 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 ...
  • 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. ...
  • 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 ...
  • Craddock, Mark; Platen, Eckhard (Elsevier, 2004)