Browsing Closed by Author "Platen, Eckhard"

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Browsing Closed by Author "Platen, Eckhard"

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  • Bruti Liberati, Nicola; Platen, Eckhard (Springer, 2007)
    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. ...
  • 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 ...
  • 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 ...
  • 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 ...
  • Platen, Eckhard (Blackwell Publishing, 2005)
    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 ...