Details about Eckhard Platen

E-mail:
Homepage:	http://datasearch.uts.edu.au/business/staff/finance/details.cfm?StaffId=75
Phone:	+61 2 9514 7759
Postal address:	PO Box 123 Broadway NSW 2007 Australia
Workplace:	Finance Discipline Group, Business School, University of Technology Sydney, (more information at EDIRC) Quantitative Finance Research Centre, Finance Discipline Group, Business School, University of Technology Sydney, (more information at EDIRC)

Access statistics for papers by Eckhard Platen.

Last updated 2022-07-29. Update your information in the RePEc Author Service.

Short-id: ppl10

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Working Papers

2022

1. Exploiting arbitrage requires short selling
   Papers, arXiv.org
2. No arbitrage and multiplicative special semimartingales
   Papers, arXiv.org View citations (1)

2021

3. Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach
   Working Papers, University of Verona, Department of Economics View citations (2)
   See also Journal Article Calibration to FX triangles of the 4/2 model under the benchmark approach, Decisions in Economics and Finance, Springer (2022) View citations (1) (2022)
4. No-arbitrage concepts in topological vector lattices
   Papers, arXiv.org
   Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2020) View citations (4)

2020

5. Existence of Equivalent Local Martingale Deflators in Semimartingale Market Models
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
   Also in Papers, arXiv.org (2020)
6. On Using Equities to Produce Pension Payouts
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
7. On the Use of Equities in Target Date Funds
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
8. Robust Product Markovian Quantization
   Papers, arXiv.org
9. Stochastic Modelling of the COVID-19 Epidemic
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
10. The Fundamental Theorem of Asset Pricing for Self-Financing Portfolios
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)

2019

11. Benchmarked Risk Minimizing Hedging Strategies for Life Insurance Policies
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
12. Dynamics of a Well-Diversified Equity Index
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
13. Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach
    Papers, arXiv.org
14. On the existence of sure profits via flash strategies
    Papers, arXiv.org View citations (5)
15. Real-world forward rate dynamics with affine realizations
    Papers, arXiv.org
    Also in Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney (2015) View citations (7)

2018

16. A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds
    Papers, arXiv.org View citations (3)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2016) View citations (4)
17. Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts
    Papers, arXiv.org View citations (1)

2017

18. Fast Quantization of Stochastic Volatility Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (6)
    Also in Papers, arXiv.org (2017) View citations (6)
19. Investing for the Long Run
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
    Also in Papers, arXiv.org (2017)
20. Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity
    Papers, arXiv.org View citations (4)
21. Market Efficiency and Growth Optimal Portfolio
    Papers, arXiv.org View citations (1)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2017) View citations (2)
22. Recursive Marginal Quantization of Higher-Order Schemes
    Papers, arXiv.org View citations (7)
    See also Journal Article Recursive marginal quantization of higher-order schemes, Quantitative Finance, Taylor & Francis Journals (2018) View citations (15) (2018)
23. Sure Profits via Flash Strategies and the Impossibility of Predictable Jumps
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
24. The numéraire property and long-term growth optimality for drawdown-constrained investments
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (3)
    Also in Papers, arXiv.org (2012) View citations (1)
    See also Journal Article THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS, Mathematical Finance, Wiley Blackwell (2017) View citations (4) (2017)

2016

25. Detecting Money Market Bubbles
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
    See also Journal Article Detecting money market bubbles, Journal of Banking & Finance, Elsevier (2018) View citations (5) (2018)
26. Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts
    Papers, arXiv.org View citations (1)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2016) View citations (1)
27. Pricing of long dated equity-linked life insurance contracts
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney

2015

28. Application of Maximum Likelihood Estimation to Stochastic Short Rate Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (15)
    See also Journal Article APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS, Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2015) View citations (17) (2015)
29. Less Expensive Pricing and Hedging of Long-Dated Equity Index Options When Interest Rates are Stochastic
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (3)
30. Pricing Volatility Derivatives Under the Modified Constant Elasticity of Variance Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
31. Pricing and hedging of long dated variance swaps under a 3/2 volatility model
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (6)
32. Recovering the Real-World Density and Liquidity Premia From Option Data
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
    See also Journal Article Recovering the real-world density and liquidity premia from option data, Quantitative Finance, Taylor & Francis Journals (2016) View citations (1) (2016)

2014

33. A Hybrid Model for Pricing and Hedging of Long Dated Bonds
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
    See also Journal Article A Hybrid Model for Pricing and Hedging of Long-dated Bonds, Applied Mathematical Finance, Taylor & Francis Journals (2015) View citations (6) (2015)
34. A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
35. Hedging long-dated interest rate derivatives for Australian pension funds and life insurers
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (5)
36. Natural Disasters, Insurance Stocks and the Numeraire Portfolio
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney
37. Stylised Properties of the Interest Rate Term Structure Under The Benchmark Approach
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (3)

2013

38. Credit Derivative Evaluation and CVA under the Benchmark Approach
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
    See also Journal Article Credit Derivative Evaluation and CVA Under the Benchmark Approach, Asia-Pacific Financial Markets, Springer (2015) (2015)
39. Liability Driven Investments under a Benchmark Based Approach
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
40. Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (3)

2012

41. A Tractable Model for Indices Approximating the Growth Optimal Portfolio
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (6)
    See also Journal Article A tractable model for indices approximating the growth optimal portfolio, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2014) View citations (2) (2014)
42. Alternative Term Structure Models for Reviewing Expectations Puzzles
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
43. Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods
    Papers, arXiv.org
44. Local Risk-Minimization under the Benchmark Approach
    Papers, arXiv.org View citations (6)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2012) View citations (17)
45. Modeling of Oil Prices
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (4)
46. Processes of Class Sigma, Last Passage Times, and Drawdowns
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (10)
47. The Affine Nature of Aggregate Wealth Dynamics
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (6)

2011

48. Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
49. Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model
    Papers, arXiv.org View citations (7)
50. The Small and Large Time Implied Volatilities in the Minimal Market Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
    Also in Papers, arXiv.org (2011) View citations (1)
    See also Journal Article THE SMALL AND LARGE TIME IMPLIED VOLATILITIES IN THE MINIMAL MARKET MODEL, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2012) (2012)
51. Three-Benchmarked Risk Minimization for Jump Diffusion Markets
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (5)

2010

52. Approximating the Numeraire Portfolio by Naive Diversification
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (22)
    See also Journal Article Approximating the numéraire portfolio by naive diversification, Journal of Asset Management, Palgrave Macmillan (2012) View citations (2) (2012)
53. Multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading
    Papers, arXiv.org View citations (2)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2008) View citations (7)
54. On the Dybvig-Ingersoll-Ross Theorem
    Papers, arXiv.org View citations (9)
55. Simulation of Diversified Portfolios in a Continuous Financial Market
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (6)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2009) View citations (5)
56. Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (4)

2009

57. A Benchmark Approach to Investing and Pricing
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (6)
    See also Chapter A Benchmark Approach to Investing and Pricing, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2011) View citations (14) (2011)
58. A Visual Criterion for Identifying Ito Diffusions as Martingales or Strict Local Martingales
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (8)
59. Alternative Defaultable Term Structure Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
    See also Journal Article Alternative Defaultable Term Structure Models, Asia-Pacific Financial Markets, Springer (2009) (2009)
60. Asset Markets and Monetary Policy
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (6)
61. 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 View citations (2)
    See also Journal Article Empirical behavior of a world stock index from intra-day to monthly time scales, The European Physical Journal B: Condensed Matter and Complex Systems, Springer (2009) View citations (2) (2009)
62. Exact Scenario Simulation for Selected Multi-dimensional Stochastic Processes
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (12)
63. Financial market meltdown and a need for new financial regulations
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney
64. Memorandum on a new financial architecture and new regulations
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney
65. Minimizing the expected market time to reach a certain wealth level
    Papers, arXiv.org
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2008) View citations (8)
66. Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
    See also Journal Article Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae, Asia-Pacific Financial Markets, Springer (2010) View citations (14) (2010)
67. On Explicit Probability Laws for Classes of Scalar Diffusions
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
68. On the semimartingale property of discounted asset-price processes
    Papers, arXiv.org View citations (8)
    See also Journal Article On the semimartingale property of discounted asset-price processes, Stochastic Processes and their Applications, Elsevier (2011) View citations (25) (2011)
69. Quasi-exact Approximation of Hidden Markov Chain Filters
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (3)
70. Real World Pricing of Long Term Contracts
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (6)

2008

71. A Unifying Approach to Asset Pricing
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
72. A Visual Classification of Local Martingales
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (6)
73. Analytic Pricing of Contingent Claims Under the Real-World Measure
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (3)
    See also Journal Article ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2008) View citations (3) (2008)
74. Distributional Deviations in Random Number Generation in Finance
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
75. Hedging for the Long Run
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (21)
76. On Financial Markets where only Buy-And-Hold Trading is Possible
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (8)
77. On Honest Times in Financial Modeling
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
    Also in Papers, arXiv.org (2008) View citations (2)
78. On the Numerical Stability of Simulation Methods for SDES
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (4)
79. Real World Pricing for a Modified Constant Elasticity of Variance Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
    See also Journal Article Real-World Pricing for a Modified Constant Elasticity of Variance Model, Applied Mathematical Finance, Taylor & Francis Journals (2010) View citations (4) (2010)
80. Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (6)
81. The Law of Minimal Price
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
82. Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities Under a Benchmark Approach
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)

2007

83. A Benchmark Approach to Portfolio Optimization under Partial Information
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (7)
    See also Journal Article A Benchmark Approach to Portfolio Optimization under Partial Information, Asia-Pacific Financial Markets, Springer (2007) View citations (7) (2007)
84. Consistent Market Extensions under the Benchmark Approach
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
    See also Journal Article CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH, Mathematical Finance, Wiley Blackwell (2009) View citations (20) (2009)
85. Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (42)
86. Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (6)
87. Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (4)
88. Strong approximations of stochastic differential equations with jumps
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (11)
89. The History of the Quantitative Methods in Finance Conference Series. 1992-2007
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
90. Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (5)

2006

91. A benchmark approach to asset management
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (5)
    See also Journal Article A benchmark approach to asset management, Journal of Asset Management, Palgrave Macmillan (2006) View citations (4) (2006)
92. Approximating the Growth Optimal Portfolio with a Diversified World Stock Index
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (16)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2006) View citations (16)
93. Approximation of Jump Diffusions in Finance and Economics
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (3)
    See also Journal Article Approximation of jump diffusions in finance and economics, Computational Economics, Springer (2007) View citations (6) (2007)
94. On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (3)
95. On the Pricing and Hedging of Long Dated Zero Coupon Bonds
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)

2005

96. 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 (2)
    See also Journal Article A hardware generator of multi-point distributed random numbers for Monte Carlo simulation, Mathematics and Computers in Simulation (MATCOM), Elsevier (2008) View citations (3) (2008)
97. Benchmarking and Fair Pricing Applied to Two Market Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (12)
98. Currency Derivatives under a Minimal Market Model with Random Scaling
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (3)
    See also Journal Article CURRENCY DERIVATIVES UNDER A MINIMAL MARKET MODEL WITH RANDOM SCALING, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2005) View citations (7) (2005)
99. Investments for the Short and Long Run
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
100. 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 (5)
     See also Journal Article On the Distributional Characterization of Daily Log-Returns of a World Stock Index, Applied Mathematical Finance, Taylor & Francis Journals (2006) View citations (32) (2006)
101. On the Role of the Growth Optimal Portfolio in Finance
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (12)
     See also Journal Article ON THE ROLE OF THE GROWTH OPTIMAL PORTFOLIO IN FINANCE, Australian Economic Papers, Wiley Blackwell (2005) View citations (17) (2005)
102. On the Strong Approximation of Jump-Diffusion Processes
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (7)
103. On the Strong Approximation of Pure Jump Processes
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
104. 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 SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2007) View citations (3) (2007)

2004

105. A Benchmark Approach to Finance
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (107)
     See also Journal Article A BENCHMARK APPROACH TO FINANCE, Mathematical Finance, Wiley Blackwell (2006) View citations (230) (2006)
106. A General Benchmark Model for Stochastic Jump Sizes
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (12)
107. A class of complete benchmark models with intensity-based jumps
     Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (8)
108. An Intraday Empirical Analysis of Electricity Price Behaviour
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
109. Capital Asset Pricing for Markets with Intensity Based Jumps
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (5)
110. Diversified Portfolios with Jumps in a Benchmark Framework
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (12)
     See also Journal Article Diversified Portfolios with Jumps in a Benchmark Framework, Asia-Pacific Financial Markets, Springer (2004) View citations (29) (2004)
111. Intraday Empirical Analysis and Modeling of Diversified World Stock Indices
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (10)
     See also Journal Article Intraday Empirical Analysis and Modeling of Diversified World Stock Indices, Asia-Pacific Financial Markets, Springer (2005) View citations (2) (2005)
112. Local Volatility Function Models under a Benchmark Approach
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (3)
     See also Journal Article Local volatility function models under a benchmark approach, Quantitative Finance, Taylor & Francis Journals (2006) View citations (6) (2006)
113. 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 (7)
114. Symmetry group methods for fundamental solutions
     Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (12)
     Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2003) View citations (3)
115. Two-Factor Model for Low Interest Rate Regimes
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (6)
     See also Journal Article A Two-Factor Model for Low Interest Rate Regimes, Asia-Pacific Financial Markets, Springer (2004) View citations (8) (2004)
116. Understanding the Implied Volatility Surface for Options on a Diversified Index
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (5)
     See also Journal Article Understanding the Implied Volatility Surface for Options on a Diversified Index, Asia-Pacific Financial Markets, Springer (2004) View citations (8) (2004)

2003

117. A Benchmark Framework for Risk Management
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (14)
     See also Chapter A Benchmark Framework for Risk Management, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2004) View citations (15) (2004)
118. A Structure for General and Specific Market Risk
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (11)
     See also Journal Article A Structure for General and Specific Market Risk, Computational Statistics, Springer (2003) View citations (12) (2003)
119. An Alternative Interest Rate Term Structure Model
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (5)
     See also Journal Article AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2005) View citations (7) (2005)
120. Diversified Portfolios in a Benchmark Framework
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (7)
121. Estimating for Discretely Observed Diffusions Using Transform Functions
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (7)
122. Fair Pricing of Weather Derivatives
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (5)
     See also Journal Article A Fair Pricing Approach to Weather Derivatives, Asia-Pacific Financial Markets, Springer (2004) View citations (26) (2004)
123. Modeling the Volatility and Expected Value of a Diversified World Index
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (24)
     See also Journal Article MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2004) View citations (20) (2004)
124. Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (4)
125. 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 (11)
     See also Journal Article Pricing of index options under a minimal market model with log-normal scaling, Quantitative Finance, Taylor & Francis Journals (2003) View citations (5) (2003)

2002

126. A Benchmark Approach to Filtering in Finance
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (4)
     See also Journal Article A Benchmark Approach to Filtering in Finance, Asia-Pacific Financial Markets, Springer (2004) View citations (7) (2004)
127. A Benchmark Framework for Integrated Risk Management
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (3)
128. A Discrete Time Benchmark Approach for Finance and Insurance
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (10)
129. A Variance Reduction Technique Based on Integral Representations
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (14)
     See also Journal Article A variance reduction technique based on integral representations, Quantitative Finance, Taylor & Francis Journals (2002) View citations (15) (2002)
130. Benchmark Model with Intensity Based Jumps
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (10)
131. 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 (20)
     See also Journal Article Consistent pricing and hedging for a modified constant elasticity of variance model, Quantitative Finance, Taylor & Francis Journals (2002) View citations (23) (2002)

2001

132. A Benchmark Model for Financial Markets
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
     Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2001) View citations (1)
133. A Minimal Financial Market Model
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (64)
     Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000) View citations (15)
134. Arbitrage in Continuous Complete Markets
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (85)
135. Benchmark Pricing of Credit Derivatives Under a Standard Market Model
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
136. Numerical Comparison of Local Risk-Minimisation & Mean-Variance Hedging
     Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (12)
137. Perfect Hedging of Index Derivatives Under a Locally Arbitrage Free Minimal Market Model
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
138. 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 (7)
     See also Journal Article Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps, Monte Carlo Methods and Applications, De Gruyter (2002) View citations (9) (2002)
139. Semiparametric Diffusion Estimation and Application to a Stock Market Index
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
     Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2001) View citations (2)
     See also Journal Article Semiparametric diffusion estimation and application to a stock market index, Quantitative Finance, Taylor & Francis Journals (2008) View citations (2) (2008)
140. Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
     Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2001)
     See also Journal Article Weak discrete time approximation of stochastic differential equations with time delay, Mathematics and Computers in Simulation (MATCOM), Elsevier (2002) View citations (3) (2002)
141. Über die stabilität des Euler-Schemas für eine Affine Stochastische Differentialgleichung mit Gedächtnis
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

2000

142. Risk Premia and Financial Modelling Without Measure Transformation
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (3)
     Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000) View citations (2)
143. Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (16)
     Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1999)
     See also Journal Article Strong discrete time approximation of stochastic differential equations with time delay, Mathematics and Computers in Simulation (MATCOM), Elsevier (2000) View citations (16) (2000)

1999

144. A Financial Market Model
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
145. A Financial Market Model with Trading Volume and Stochastic Volatility
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
146. A Minimal Share Market Model with Stochastic Volatility
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
147. An Introduction to Numerical Methods for Stochastic Differential Equations
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (33)
148. Applications of the Balanced Method to Stochastic Differential Equations in Filtering
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (5)
     See also Journal Article Applications of the balanced method to stochastic differential equations in filtering, Monte Carlo Methods and Applications, De Gruyter (1999) View citations (6) (1999)
149. Axiomatic principles for a market model
     Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (1)
150. Filtering and Parameter Estimation for a Mean Reverting Interest Rate Model
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (4)
151. Hidden Markov Chain Filtering for Generalised Bessel Processes
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
152. Modelling the Stochastic Dynamics of Volatility for Equity Indices
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
153. 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 (18)
154. On the Log-Return Distribution of Index Benchmarked Share Prices
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
155. On the Marginal Distribution of Trade Weighted Currency Indices
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
156. Option pricing for a logstable asset price model
     Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (35)
157. 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

158. Balanced Implicit Methods for Stiff Stochastic Systems
     Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (39)
159. Comparison of Some Key Approaches to Hedging in Incomplete Markets
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)

1997

160. On Feedback Effects from Hedging Derivatives
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
     See also Journal Article On Feedback Effects from Hedging Derivatives, Mathematical Finance, Wiley Blackwell (1998) View citations (77) (1998)

1996

161. On effects of discretization on estimators of drift parameters for diffusion processes
     Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (21)
162. Principles for modelling financial markets
     Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (20)
163. Valuation of FX barrier options under stochastic volatility
     Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (1)

1995

164. Extrapolation Methods For The Weak Approximation Of Ito Diffusions
     Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (1)

1994

165. Pricing via anticipative stochastic calculus
     Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (1)
166. Stability of weak numerical schemes for stochastic differential equations
     Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (10)

1992

167. Higher-order implicit strong numerical schemes for stochastic differential equations
     Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (18)
168. The approximation of multiple stochastic integrals
     Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (6)

1991

169. Rate of Convergence of the Euler Approximation for Diffusion Processes
     Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (12)
170. Relations between multiple ito and stratonovich integrals
     Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (2)
171. Stratonovich and Ito Stochastic Taylor Expansions
     Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (4)

1989

172. A survey of numerical methods for stochastic differential equations
     Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (8)

1988

173. Time Discrete Taylor Approximations for Ito Processes with Jump Component
     Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (15)

Journal Articles

2022

1. Calibration to FX triangles of the 4/2 model under the benchmark approach
   Decisions in Economics and Finance, 2022, 45, (1), 1-34 View citations (1)
   See also Working Paper Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach, Working Papers (2021) View citations (2) (2021)

2021

2. DYNAMIC ASSET ALLOCATION FOR TARGET DATE FUNDS UNDER THE BENCHMARK APPROACH
   ASTIN Bulletin, 2021, 51, (2), 449-474

2020

3. APPROXIMATING THE GROWTH OPTIMAL PORTFOLIO AND STOCK PRICE BUBBLES
   International Journal of Theoretical and Applied Finance (IJTAF), 2020, 23, (07), 1-33 View citations (1)

2018

4. Detecting money market bubbles
   Journal of Banking & Finance, 2018, 87, (C), 369-379 View citations (5)
   See also Working Paper Detecting Money Market Bubbles, Research Paper Series (2016) View citations (1) (2016)
5. Recursive marginal quantization of higher-order schemes
   Quantitative Finance, 2018, 18, (4), 693-706 View citations (15)
   See also Working Paper Recursive Marginal Quantization of Higher-Order Schemes, Papers (2017) View citations (7) (2017)

2017

6. THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS
   Mathematical Finance, 2017, 27, (1), 68-95 View citations (4)
   See also Working Paper The numéraire property and long-term growth optimality for drawdown-constrained investments, LSE Research Online Documents on Economics (2017) View citations (3) (2017)

2016

7. BENCHMARKED RISK MINIMIZATION
   Mathematical Finance, 2016, 26, (3), 617-637 View citations (21)
8. Recovering the real-world density and liquidity premia from option data
   Quantitative Finance, 2016, 16, (7), 1147-1164 View citations (1)
   See also Working Paper Recovering the Real-World Density and Liquidity Premia From Option Data, Research Paper Series (2015) (2015)

2015

9. A Hybrid Model for Pricing and Hedging of Long-dated Bonds
   Applied Mathematical Finance, 2015, 22, (4), 366-398 View citations (6)
   See also Working Paper A Hybrid Model for Pricing and Hedging of Long Dated Bonds, Research Paper Series (2014) (2014)
10. APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS
    Annals of Financial Economics (AFE), 2015, 10, (02), 1-26 View citations (17)
    See also Working Paper Application of Maximum Likelihood Estimation to Stochastic Short Rate Models, Research Paper Series (2015) View citations (15) (2015)
11. Credit Derivative Evaluation and CVA Under the Benchmark Approach
    Asia-Pacific Financial Markets, 2015, 22, (3), 305-331
    See also Working Paper Credit Derivative Evaluation and CVA under the Benchmark Approach, Research Paper Series (2013) (2013)
12. Pricing currency derivatives under the benchmark approach
    Journal of Banking & Finance, 2015, 53, (C), 34-48 View citations (19)

2014

13. A tractable model for indices approximating the growth optimal portfolio
    Studies in Nonlinear Dynamics & Econometrics, 2014, 18, (1), 1-21 View citations (2)
    See also Working Paper A Tractable Model for Indices Approximating the Growth Optimal Portfolio, Research Paper Series (2012) View citations (6) (2012)

2013

14. A reading guide for last passage times with financial applications in view
    Finance and Stochastics, 2013, 17, (3), 615-640 View citations (5)
15. On the numerical stability of simulation methods for SDEs under multiplicative noise in finance
    Quantitative Finance, 2013, 13, (2), 183-194 View citations (1)

2012

16. Approximating the numéraire portfolio by naive diversification
    Journal of Asset Management, 2012, 13, (1), 34-50 View citations (2)
    See also Working Paper Approximating the Numeraire Portfolio by Naive Diversification, Research Paper Series (2010) View citations (22) (2010)
17. Estimating the diffusion coefficient function for a diversified world stock index
    Computational Statistics & Data Analysis, 2012, 56, (6), 1333-1349 View citations (4)
18. THE SMALL AND LARGE TIME IMPLIED VOLATILITIES IN THE MINIMAL MARKET MODEL
    International Journal of Theoretical and Applied Finance (IJTAF), 2012, 15, (08), 1-23
    See also Working Paper The Small and Large Time Implied Volatilities in the Minimal Market Model, Research Paper Series (2011) View citations (1) (2011)

2011

19. On the semimartingale property of discounted asset-price processes
    Stochastic Processes and their Applications, 2011, 121, (11), 2678-2691 View citations (25)
    See also Working Paper On the semimartingale property of discounted asset-price processes, Papers (2009) View citations (8) (2009)

2010

20. Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae
    Asia-Pacific Financial Markets, 2010, 17, (3), 261-302 View citations (14)
    See also Working Paper Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae, Research Paper Series (2009) View citations (2) (2009)
21. Real-World Pricing for a Modified Constant Elasticity of Variance Model
    Applied Mathematical Finance, 2010, 17, (2), 147-175 View citations (4)
    See also Working Paper Real World Pricing for a Modified Constant Elasticity of Variance Model, Research Paper Series (2008) (2008)
22. Real-world jump-diffusion term structure models
    Quantitative Finance, 2010, 10, (1), 23-37 View citations (17)

2009

23. Alternative Defaultable Term Structure Models
    Asia-Pacific Financial Markets, 2009, 16, (1), 1-31
    See also Working Paper Alternative Defaultable Term Structure Models, Research Paper Series (2009) (2009)
24. CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH
    Mathematical Finance, 2009, 19, (1), 41-52 View citations (20)
    See also Working Paper Consistent Market Extensions under the Benchmark Approach, Research Paper Series (2007) View citations (1) (2007)
25. Empirical behavior of a world stock index from intra-day to monthly time scales
    The European Physical Journal B: Condensed Matter and Complex Systems, 2009, 71, (4), 511-522 View citations (2)
    See also Working Paper Empirical Behavior of a World Stock Index from Intra-Day to Monthly Time Scales, Research Paper Series (2009) View citations (2) (2009)

2008

26. A hardware generator of multi-point distributed random numbers for Monte Carlo simulation
    Mathematics and Computers in Simulation (MATCOM), 2008, 77, (1), 45-56 View citations (3)
    See also Working Paper A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation, Research Paper Series (2005) View citations (2) (2005)
27. ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE
    International Journal of Theoretical and Applied Finance (IJTAF), 2008, 11, (08), 841-867 View citations (3)
    See also Working Paper Analytic Pricing of Contingent Claims Under the Real-World Measure, Research Paper Series (2008) View citations (3) (2008)
28. Semiparametric diffusion estimation and application to a stock market index
    Quantitative Finance, 2008, 8, (1), 81-92 View citations (2)
    See also Working Paper Semiparametric Diffusion Estimation and Application to a Stock Market Index, Research Paper Series (2001) View citations (2) (2001)

2007

29. A Benchmark Approach to Portfolio Optimization under Partial Information
    Asia-Pacific Financial Markets, 2007, 14, (1), 25-43 View citations (7)
    See also Working Paper A Benchmark Approach to Portfolio Optimization under Partial Information, Research Paper Series (2007) View citations (7) (2007)
30. Approximation of jump diffusions in finance and economics
    Computational Economics, 2007, 29, (3), 283-312 View citations (6)
    See also Working Paper Approximation of Jump Diffusions in Finance and Economics, Research Paper Series (2006) View citations (3) (2006)
31. SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS
    International Journal of Theoretical and Applied Finance (IJTAF), 2007, 10, (08), 1339-1364 View citations (3)
    See also Working Paper Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps, Research Paper Series (2005) (2005)

2006

32. A BENCHMARK APPROACH TO FINANCE
    Mathematical Finance, 2006, 16, (1), 131-151 View citations (230)
    See also Working Paper A Benchmark Approach to Finance, Research Paper Series (2004) View citations (107) (2004)
33. A benchmark approach to asset management
    Journal of Asset Management, 2006, 6, (6), 390-405 View citations (4)
    See also Working Paper A benchmark approach to asset management, Published Paper Series (2006) View citations (5) (2006)
34. First Order Strong Approximations of Jump Diffusions
    Monte Carlo Methods and Applications, 2006, 12, (3), 191-209 View citations (3)
35. Local volatility function models under a benchmark approach
    Quantitative Finance, 2006, 6, (3), 197-206 View citations (6)
    See also Working Paper Local Volatility Function Models under a Benchmark Approach, Research Paper Series (2004) View citations (3) (2004)
36. On the Distributional Characterization of Daily Log-Returns of a World Stock Index
    Applied Mathematical Finance, 2006, 13, (1), 19-38 View citations (32)
    See also Working Paper On the Distributional Characterization of Log-returns of a World Stock Index, Research Paper Series (2005) View citations (5) (2005)
37. Portfolio selection and asset pricing under a benchmark approach
    Physica A: Statistical Mechanics and its Applications, 2006, 370, (1), 23-29 View citations (1)

2005

38. AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL
    International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (06), 717-735 View citations (7)
    See also Working Paper An Alternative Interest Rate Term Structure Model, Research Paper Series (2003) View citations (5) (2003)
39. CURRENCY DERIVATIVES UNDER A MINIMAL MARKET MODEL WITH RANDOM SCALING
    International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (08), 1157-1177 View citations (7)
    See also Working Paper Currency Derivatives under a Minimal Market Model with Random Scaling, Research Paper Series (2005) View citations (3) (2005)
40. Editorials
    Quantitative Finance, 2005, 5, (3), 235-235
41. Intraday Empirical Analysis and Modeling of Diversified World Stock Indices
    Asia-Pacific Financial Markets, 2005, 12, (1), 1-28 View citations (2)
    See also Working Paper Intraday Empirical Analysis and Modeling of Diversified World Stock Indices, Research Paper Series (2004) View citations (10) (2004)
42. ON THE ROLE OF THE GROWTH OPTIMAL PORTFOLIO IN FINANCE
    Australian Economic Papers, 2005, 44, (4), 365-388 View citations (17)
    See also Working Paper On the Role of the Growth Optimal Portfolio in Finance, Research Paper Series (2005) View citations (12) (2005)

2004

43. A Benchmark Approach to Filtering in Finance
    Asia-Pacific Financial Markets, 2004, 11, (1), 79-105 View citations (7)
    See also Working Paper A Benchmark Approach to Filtering in Finance, Research Paper Series (2002) View citations (4) (2002)
44. A Fair Pricing Approach to Weather Derivatives
    Asia-Pacific Financial Markets, 2004, 11, (1), 23-53 View citations (26)
    See also Working Paper Fair Pricing of Weather Derivatives, Research Paper Series (2003) View citations (5) (2003)
45. A Two-Factor Model for Low Interest Rate Regimes
    Asia-Pacific Financial Markets, 2004, 11, (1), 107-133 View citations (8)
    See also Working Paper Two-Factor Model for Low Interest Rate Regimes, Research Paper Series (2004) View citations (6) (2004)
46. Diversified Portfolios with Jumps in a Benchmark Framework
    Asia-Pacific Financial Markets, 2004, 11, (1), 1-22 View citations (29)
    See also Working Paper Diversified Portfolios with Jumps in a Benchmark Framework, Research Paper Series (2004) View citations (12) (2004)
47. MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX
    International Journal of Theoretical and Applied Finance (IJTAF), 2004, 07, (04), 511-529 View citations (20)
    See also Working Paper Modeling the Volatility and Expected Value of a Diversified World Index, Research Paper Series (2003) View citations (24) (2003)
48. Understanding the Implied Volatility Surface for Options on a Diversified Index
    Asia-Pacific Financial Markets, 2004, 11, (1), 55-77 View citations (8)
    See also Working Paper Understanding the Implied Volatility Surface for Options on a Diversified Index, Research Paper Series (2004) View citations (5) (2004)

2003

49. A Discrete Time Benchmark Approach for Insurance and Finance
    ASTIN Bulletin, 2003, 33, (2), 153-172 View citations (19)
50. A Structure for General and Specific Market Risk
    Computational Statistics, 2003, 18, (3), 355-373 View citations (12)
    See also Working Paper A Structure for General and Specific Market Risk, Research Paper Series (2003) View citations (11) (2003)
51. Pricing of index options under a minimal market model with log-normal scaling
    Quantitative Finance, 2003, 3, (6), 442-450 View citations (5)
    See also Working Paper Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling, Research Paper Series (2003) View citations (11) (2003)

2002

52. A variance reduction technique based on integral representations
    Quantitative Finance, 2002, 2, (5), 362-369 View citations (15)
    See also Working Paper A Variance Reduction Technique Based on Integral Representations, Research Paper Series (2002) View citations (14) (2002)
53. Consistent pricing and hedging for a modified constant elasticity of variance model
    Quantitative Finance, 2002, 2, (6), 459-467 View citations (23)
    See also Working Paper Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model, Research Paper Series (2002) View citations (20) (2002)
54. PERFECT HEDGING OF INDEX DERIVATIVES UNDER A MINIMAL MARKET MODEL
    International Journal of Theoretical and Applied Finance (IJTAF), 2002, 05, (07), 757-774 View citations (16)
55. Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps
    Monte Carlo Methods and Applications, 2002, 8, (1), 83-96 View citations (9)
    See also Working Paper Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps, Research Paper Series (2001) View citations (7) (2001)
56. Weak discrete time approximation of stochastic differential equations with time delay
    Mathematics and Computers in Simulation (MATCOM), 2002, 59, (6), 497-507 View citations (3)
    See also Working Paper Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay, Research Paper Series (2001) View citations (1) (2001)

2001

57. A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets
    Mathematical Finance, 2001, 11, (4), 385-413 View citations (70)

2000

58. Approximating Large Diversified Portfolios
    Mathematical Finance, 2000, 10, (1), 77-88 View citations (9)
59. Strong discrete time approximation of stochastic differential equations with time delay
    Mathematics and Computers in Simulation (MATCOM), 2000, 54, (1), 189-205 View citations (16)
    See also Working Paper Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay, Research Paper Series (2000) View citations (16) (2000)

1999

60. A short term interest rate model
    Finance and Stochastics, 1999, 3, (2), 215-225 View citations (10)
61. Applications of the balanced method to stochastic differential equations in filtering
    Monte Carlo Methods and Applications, 1999, 5, (1), 19-38 View citations (6)
    See also Working Paper Applications of the Balanced Method to Stochastic Differential Equations in Filtering, Research Paper Series (1999) View citations (5) (1999)

1998

62. On Feedback Effects from Hedging Derivatives
    Mathematical Finance, 1998, 8, (1), 67-84 View citations (77)
    See also Working Paper On Feedback Effects from Hedging Derivatives, SFB 373 Discussion Papers (1997) (1997)

1997

63. Subordinated Market Index Models: A Comparison
    Asia-Pacific Financial Markets, 1997, 4, (2), 97-124 View citations (29)

1995

64. On weak implicit and predictor-corrector methods
    Mathematics and Computers in Simulation (MATCOM), 1995, 38, (1), 69-76 View citations (7)

1992

65. Option Pricing Under Incompleteness and Stochastic Volatility
    Mathematical Finance, 1992, 2, (3), 153-187 View citations (63)

1989

66. A law of large numbers for wide range exclusion processes in random media
    Stochastic Processes and their Applications, 1989, 31, (1), 33-49

1987

67. Simulation studies on time discrete diffusion approximations
    Mathematics and Computers in Simulation (MATCOM), 1987, 29, (3), 253-260 View citations (3)

1985

68. Weak convergence of semimartingales and discretisation methods
    Stochastic Processes and their Applications, 1985, 20, (1), 41-58 View citations (10)

Chapters

2011

1. A Benchmark Approach to Investing and Pricing
   Chapter 28 in THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, 2011, pp 409-426 View citations (14)
   See also Working Paper A Benchmark Approach to Investing and Pricing, Quantitative Finance Research Centre, University of Technology, Sydney (2009) View citations (6) (2009)

2008

2. Simulation Methods for Stochastic Differential Equations
   Springer

2004

3. A Benchmark Framework for Risk Management
   Chapter 15 in Stochastic Processes And Applications To Mathematical Finance, 2004, pp 305-335 View citations (15)
   See also Working Paper A Benchmark Framework for Risk Management, Quantitative Finance Research Centre, University of Technology, Sydney (2003) View citations (14) (2003)

2001

4. Pricing and Hedging of Index Derivatives under an Alternative Asset Price Model with Endogenous Stochastic Volatility
   Chapter 10 in Recent Developments In Mathematical Finance, 2001, pp 117-126 View citations (11)