Browsing Closed by Author "Platen Eckhard"

UTSePress Research/Manakin Repository

Search UTSePress Research


Advanced Search

Browse

My Account

Browsing Closed by Author "Platen Eckhard"

Sort by: Order: Results:

  • Approximation of Jump Diffusions in Finance and Economics 
    Platen Eckhard; Bruti Liberati Nicola (Springer, 2006)
    In finance and economics the key dynamics are often specified via stochastic differential equations (SDEs) of jump-diffusion type. The class of jump-diffusion SDEs that admits explicit solutions is rather limited. ...
  • Benchmarking and fair pricing applied to two marker models 
    Hulley Hardy; Miller Shane; Platen Eckhard (Graduate School of Economics, Kyoto University, 2005)
    This paper considers a market containing both continuous and discrete noise. Modest assumptions ensure the existence of a growth optimal portfolio. Non-negative self financing trading strategies, when benchmarked by this ...
  • Empirical behavior of a world stock index from intra-day to monthly time scales 
    Breymann Wolfgang; Luthi D; Platen Eckhard (Springer-Verlag, 2009)
    Most of the papers that study the distributional and fractal properties of financial instruments focus on stock prices or foreign exchange rates. This typically leads to mixed results concerning the distributions of ...
  • Estimating the diffusion coefficient function for a diversified world stock index 
    Ignatieva Katja; Platen Eckhard (Elsevier, 2012)
    This paper deals with the estimation of continuous-time diffusion processes which model the dynamics of a well diversified world stock index (WSI). We use the nonparametric kernel-based estimation to empirically identify ...
  • On the role of the growth optimal portfolio in finance 
    Platen Eckhard (Blackwell Publishing, 2003)
    The paper discusses various roles that the growth optimal portfolio (GOP) plays in finance. For the case of a continuous market we show how the GOP can be interpreted as a fundamental building block in financial market ...