Details about Eckhard Platen

Access statistics for papers by Eckhard Platen.

Last updated 2009-10-29. Update your information in the RePEc Author Service.

Short-id: ppl10

Working Papers

2009

1. Alternative Defaultable Term Structure Models
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
2. Asset Markets and Monetary Policy
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
3. Empirical Behavior of a World Stock Index from Intra-Day to Monthly Time Scales
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
4. Minimizing the expected market time to reach a certain wealth level
   Quantitative Finance Papers, arXiv.org
   Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2008)
5. On Explicit Probability Laws for Classes of Scalar Diffusions
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
6. On the Dybvig-Ingersoll-Ross Theorem
   Quantitative Finance Papers, arXiv.org
7. On the semimartingale property of discounted asset-price processes
   Quantitative Finance Papers, arXiv.org

2008

8. A Unifying Approach to Asset Pricing
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
9. A Visual Classification of Local Martingales
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
10. Analytic Pricing of Contingent Claims Under the Real-World Measure
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2008)
11. Distributional Deviations in Random Number Generation in Finance
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
12. Hedging for the Long Run
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
13. Multiplicative Approximation of Wealth Processes Involving No-Short-Sale Strategies
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
14. Multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading
    Quantitative Finance Papers, arXiv.org
15. On Financial Markets where only Buy-And-Hold Trading is Possible
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
16. On Honest Times in Financial Modeling
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
    Also in Quantitative Finance Papers, arXiv.org (2008)
17. On the Numerical Stability of Simulation Methods for SDES
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
18. Real World Pricing for a Modified Constant Elasticity of Variance Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
19. Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
20. The Law of Minimum Price
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
21. Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities Under a Benchmark Approach
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney

2007

22. A Benchmark Approach to Portfolio Optimization under Partial Information
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
    See also Journal Article in Asia-Pacific Financial Markets (2007)
23. Consistent Market Extensions under the Benchmark Approach
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
    See also Journal Article in Mathematical Finance (2009)
24. Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
25. Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
26. Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
27. The History of the Quantitative Methods in Finance Conference Series. 1992-2007
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
28. Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney

2006

29. Approximating the Growth Optimal Portfolio with a Diversified World Stock Index
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2006) View citations
    See also Journal Article in Journal of Risk Finance (2006)
30. Approximation of Jump Diffusions in Finance and Economics
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
    See also Journal Article in Computational Economics (2007)
31. On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
32. On the Pricing and Hedging of Long Dated Zero Coupon Bonds
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney

2005

33. A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
34. Benchmarking and Fair Pricing Applied to Two Market Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
35. Currency Derivatives under a Minimal Market Model with Random Scaling
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2005)
36. Investments for the Short and Long Run
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
37. On the Distributional Characterization of Log-returns of a World Stock Index
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
38. On the Role of the Growth Optimal Portfolio in Finance
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
    See also Journal Article in Australian Economic Papers (2005)
39. On the Strong Approximation of Jump-Diffusion Processes
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
40. On the Strong Approximation of Pure Jump Processes
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
41. Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2007)

2004

42. A Benchmark Approach to Finance
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
    See also Journal Article in Mathematical Finance (2006)
43. A General Benchmark Model for Stochastic Jump Sizes
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
44. An Intraday Empirical Analysis of Electricity Price Behaviour
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
45. Capital Asset Pricing for Markets with Intensity Based Jumps
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
46. Diversified Portfolios with Jumps in a Benchmark Framework
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
    See also Journal Article in Asia-Pacific Financial Markets (2004)
47. Intraday Empirical Analysis and Modeling of Diversified World Stock Indices
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
    See also Journal Article in Asia-Pacific Financial Markets (2005)
48. Local Volatility Function Models under a Benchmark Approach
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
    See also Journal Article in Quantitative Finance (2006)
49. On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
50. Two-Factor Model for Low Interest Rate Regimes
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
    See also Journal Article in Asia-Pacific Financial Markets (2004)
51. Understanding the Implied Volatility Surface for Options on a Diversified Index
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
    See also Journal Article in Asia-Pacific Financial Markets (2004)

2003

52. A Benchmark Framework for Risk Management
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
53. A Structure for General and Specific Market Risk
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
54. An Alternative Interest Rate Term Structure Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2005)
55. Diversified Portfolios in a Benchmark Framework
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
56. Estimating for Discretely Observed Diffusions Using Transform Functions
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
57. Fair Pricing of Weather Derivatives
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
58. Modeling the Volatility and Expected Value of a Diversified World Index
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
59. Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
60. Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
61. Symmetry Group Methods for Fundamental Solutions and Characteristic Functions
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney

2002

62. A Benchmark Approach to Filtering in Finance
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
    See also Journal Article in Asia-Pacific Financial Markets (2004)
63. A Benchmark Framework for Integrated Risk Management
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
64. A Discrete Time Benchmark Approach for Finance and Insurance
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
65. A Variance Reduction Technique Based on Integral Representations
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
66. Benchmark Model with Intensity Based Jumps
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
67. Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
    See also Journal Article in Quantitative Finance (2002)

2001

68. A Benchmark Model for Financial Markets
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
    Also in Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
69. A Minimal Financial Market Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
    Also in Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
70. Arbitrage in Continuous Complete Markets
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
71. Benchmark Pricing of Credit Derivatives Under a Standard Market Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
72. Perfect Hedging of Index Derivatives Under a Locally Arbitrage Free Minimal Market Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
73. Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
74. Semiparametric Diffusion Estimation and Application to a Stock Market Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
75. Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
    Also in Working Papers, Humboldt University, Sonderforschungsbereich 373

2000

76. Risk Premia and Financial Modelling Without Measure Transformation
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
    Also in Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
77. Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
    Also in Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations

1999

78. A Financial Market Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
79. A Financial Market Model with Trading Volume and Stochastic Volatility
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
80. A Minimal Share Market Model with Stochastic Volatility
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
81. An Introduction to Numerical Methods for Stochastic Differential Equations
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
82. Applications of the Balanced Method to Stochastic Differential Equations in Filtering
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
83. Filtering and Parameter Estimation for a Mean Reverting Interest Rate Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
84. Hidden Markov Chain Filtering for Generalised Bessel Processes
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
85. Modelling the Stochastic Dynamics of Volatility for Equity Indices
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
86. Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
87. On the Log-Return Distribution of Index Benchmarked Share Prices
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
88. On the Marginal Distribution of Trade Weighted Currency Indices
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
89. Pricing and Hedging in the Presence of Transaction Costs Under Local Risk Minimisation
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney

1998

90. Comparison of Some Key Approches to Hedging in Incomplete Markets
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney

1994

91. On Smile and Skewness
    Discussion Paper Serie B, University of Bonn, Germany View citations

1992

92. Option Pricing under Incompleteness and Stochastic Volatility
    Discussion Paper Serie B, University of Bonn, Germany View citations

Undated

93. On Feedback Effects from Hedging Derivatives
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
94. Über die Stabilität des Euler-Schemas für eine Affine Stochastische Differentialgleichung mit Gedächtnis
    Working Papers, Humboldt University, Sonderforschungsbereich 373

Journal Articles

2009

1. CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH
   Mathematical Finance, 2009, 19, (1), 41-52
   See also Working Paper (2007)

2008

2. ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE
   International Journal of Theoretical and Applied Finance (IJTAF), 2008, 11, (08), 841-867
   See also Working Paper (2008)
3. Semiparametric diffusion estimation and application to a stock market index
   Quantitative Finance, 2008, 8, (1), 81-92

2007

4. A Benchmark Approach to Portfolio Optimization under Partial Information
   Asia-Pacific Financial Markets, 2007, 14, (1), 25-43
   See also Working Paper (2007)
5. Approximation of jump diffusions in finance and economics
   Computational Economics, 2007, 29, (3), 283-312
   See also Working Paper (2006)
6. SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS
   International Journal of Theoretical and Applied Finance (IJTAF), 2007, 10, (08), 1339-1364
   See also Working Paper (2005)

2006

7. A BENCHMARK APPROACH TO FINANCE
   Mathematical Finance, 2006, 16, (1), 131-151 View citations
   See also Working Paper (2004)
8. Approximating the growth optimal portfolio with a diversified world stock index
   Journal of Risk Finance, 2006, 7, (5), 559-574 View citations
   See also Working Paper (2006)
9. Local volatility function models under a benchmark approach
   Quantitative Finance, 2006, 6, (3), 197-206 View citations
   See also Working Paper (2004)
10. On the Distributional Characterization of Daily Log-Returns of a World Stock Index
    Applied Mathematical Finance, 2006, 13, (1), 19-38 View citations

2005

11. AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL
    International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (06), 717-735
    See also Working Paper (2003)
12. CURRENCY DERIVATIVES UNDER A MINIMAL MARKET MODEL WITH RANDOM SCALING
    International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (08), 1157-1177
    See also Working Paper (2005)
13. Intraday Empirical Analysis and Modeling of Diversified World Stock Indices
    Asia-Pacific Financial Markets, 2005, 12, (1), 1-28
    See also Working Paper (2004)
14. ON THE ROLE OF THE GROWTH OPTIMAL PORTFOLIO IN FINANCE
    Australian Economic Papers, 2005, 44, (4), 365-388 View citations
    See also Working Paper (2005)

2004

15. A Benchmark Approach to Filtering in Finance
    Asia-Pacific Financial Markets, 2004, 11, (1), 79-105
    See also Working Paper (2002)
16. A Fair Pricing Approach to Weather Derivatives
    Asia-Pacific Financial Markets, 2004, 11, (1), 23-53 View citations
17. A Two-Factor Model for Low Interest Rate Regimes
    Asia-Pacific Financial Markets, 2004, 11, (1), 107-133
    See also Working Paper (2004)
18. Diversified Portfolios with Jumps in a Benchmark Framework
    Asia-Pacific Financial Markets, 2004, 11, (1), 1-22 View citations
    See also Working Paper (2004)
19. Understanding the Implied Volatility Surface for Options on a Diversified Index
    Asia-Pacific Financial Markets, 2004, 11, (1), 55-77 View citations
    See also Working Paper (2004)

2002

20. Consistent pricing and hedging for a modified constant elasticity of variance model
    Quantitative Finance, 2002, 2, (6), 459-467 View citations
    See also Working Paper (2002)

2001

21. A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets
    Mathematical Finance, 2001, 11, (4), 385-413 View citations

1999

22. A short term interest rate model
    Finance and Stochastics, 1999, 3, (2), 215-225 View citations

1997

23. Subordinated Market Index Models: A Comparison
    Asia-Pacific Financial Markets, 1997, 4, (2), 97-124 View citations