Browsing 15 Commerce, Management, Tourism and Services by Author "Platen, Eckhard"

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Browsing 15 Commerce, Management, Tourism and Services by Author "Platen, Eckhard"

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  • Platen, Eckhard (World Scientific Publishing Co., 2005)
    This paper proposes and alternative approach to the modeling of the interest rate twem structure. It suggests that the total market price for risk is an important factor that has to be modeled carefully. The growth optimal ...
  • Miller, Shane; Platen, Eckhard (World Scientific, 2008)
    This article derives a series of analytic formulae for various contingent claims under the real-world probability measure using the stylised minimal market model (SMMM). This model provides realistic dynamics for the growth ...
  • Le, Truc; Platen, Eckhard (Emerald Group Publishing Ltd., 2006)
    Purpose ? This paper aims to construct and compare various total-return world stock indices based on daily data. Design/methodology/approach ? Because of diversification, these indices are noticeably similar. A ...
  • Platen, Eckhard; Rendek, Renata (Palgrave Macmillan Ltd, 2012)
    Estimation theory has shown, owing to the limited estimation window available for real asset data, that the sample-based Markowitz mean-variance approach produces unreliable weights that fluctuate substantially over time. ...
  • Platen, Eckhard; Runggaldier, Wolfgang (Springer, 2005)
    The paper propsoed the use of the growth optimal portfolio for pricing and hedging in imcomplete markets when there are unobserved factors that have to be filtered. The proposed filtering framework is applicable also in ...
  • Platen, Eckhard; Runggaldier, Wolfgang (Springer, 2007)
    This paper proposes a filtering methodology for portfolio optimization when some factors of the underlying model are only partially observed. The level of information is given by the observed quantities that are here ...
  • Platen, Eckhard; Heath, David (Springer, 2006)
    The benchmark approach provides a general framework for financial market modeling, which extends beyond the standard risk-neutral pricing theory. It permits a unified treatment of portfolio optimisation, derivative pricing, ...
  • Platen, Eckhard (World Scientific, 2004)
  • Platen, Eckhard (Springer, 2006)
    DP0343913 This paper proposes a unified framework for portfolio optimization, derivative pricing, modeling and risk measurement in financial markets with security price processes that exhibit intensity based jumps. It is ...
  • Filipovic, Damic; Platen, Eckhard (Blackwell Publishing Ltd, 2009)
    The existence of the growth optimal portfolio (GOP), also known as the Kelly portfolio, is vital for a financial market to be meaningful. The GOP, if it exists, is uniquely determined by the market parameters of the primary ...
  • Heath, David; Platen, Eckhard (World Scientific Publishing Company, 2005)
    This paper uses an alternative, parsimonious volatility model to describe the dunamics of a currency market for the pricing and hedging of derivatives. Time transformed squared Bessel processes are the basic driving factors ...
  • Buhlmann, Hans; Platen, Eckhard (Peeters Publishing, 2003)
  • Platen, Eckhard (Springer, 2005)
    This paper considers diversified portfolios in a sequence of jump diffusion market models. Conditions for the approximation of the growth optimal portfolio (GOP) by diversified portfolios are provided. Under realistic ...
  • Platen, Eckhard; Rendek, Renata (Serial Publications, 2009)
    Accurate scenario simulation methods for solutions of multi - dimensional stochastic differential equations find application in stochastic analysis, the statistics of stochastic processes and many other areas, for instance, ...
  • Platen, Eckhard; West, Jason (Springer, 2005)
    This paper proposes a consistent approach to the pricing of weather derivatives. Since weather derivatives are traded in an incomplete market setting, standard hedging based pricing methods cannot be applied. The growth ...
  • Mittnik, Stefan; Nell, Edward; Platen, Eckhard; Semmler, Willi; Chappe, Raphaele (Middle East Technical University, 2009)
    The financial crisis, triggered by the subprime and real estate crisis in the US, has become global It is deeply rooted in a decade-long misuse of the financial market for rent-seeking. The financial industry has largely ...
  • Baldeaux, Jan; Platen, Eckhard (Springer, 2013)
    This research monograph provides an introduction to tractable multidimensional diffusion models, where transition densities, Laplace transforms, Fourier transforms, fundamental solutions or functionals can be obtained in ...
  • Breymann, Wolfgang; Kelly, Leah; Platen, Eckhard (Springer New York LLC, 2006)
    This paper proposes an approach to the intraday analysis of diversified world stock accumulation indices. The growth optimal portfolio (GOP) is used as reference unit or benchmark in a continuous financial market model. ...
  • Ghilarducci, T; Nell, E; Mittnik, Stefan; Platen, Eckhard; Semmler, Willi; Chappe, Raphaele (Univ Nacional Autonoma Mexico, 2009)
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  • Kardaras, Constantinos; Platen, Eckhard (Society for Industrial and Applied Mathematics, 2010)
    In a financial market model, we consider variations of the problem of minimizing the expected time to upcross a certain wealth level. For exponential L'evy markets, we show the asymptotic optimality of the growth-optimal ...