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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 2021-03-19. Update your information in the RePEc Author Service.

Short-id: ppl10


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Working Papers

2021

  1. Exploiting arbitrage requires short selling
    Papers, arXiv.org Downloads
  2. No arbitrage and multiplicative special semimartingales
    Papers, arXiv.org Downloads View citations (1)
  3. No-arbitrage concepts in topological vector lattices
    Papers, arXiv.org Downloads
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2020) Downloads View citations (1)

2020

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

2019

  1. Benchmarked Risk Minimizing Hedging Strategies for Life Insurance Policies
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  2. Dynamics of a Well-Diversified Equity Index
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  3. Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach
    Papers, arXiv.org Downloads
  4. On the existence of sure profits via flash strategies
    Papers, arXiv.org Downloads View citations (3)
  5. Real-world forward rate dynamics with affine realizations
    Papers, arXiv.org Downloads
    Also in Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney (2015) Downloads View citations (4)

2018

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

2017

  1. Fast Quantization of Stochastic Volatility Models
    Papers, arXiv.org Downloads View citations (4)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2017) Downloads View citations (4)
  2. Investing for the Long Run
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
    Also in Papers, arXiv.org (2017) Downloads
  3. Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity
    Papers, arXiv.org Downloads View citations (4)
  4. Market Efficiency and Growth Optimal Portfolio
    Papers, arXiv.org Downloads
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2017) Downloads View citations (2)
  5. Recursive Marginal Quantization of Higher-Order Schemes
    Papers, arXiv.org Downloads View citations (7)
    See also Journal Article in Quantitative Finance (2018)
  6. Sure Profits via Flash Strategies and the Impossibility of Predictable Jumps
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
  7. 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 Downloads View citations (2)
    Also in Papers, arXiv.org (2012) Downloads View citations (1)

    See also Journal Article in Mathematical Finance (2017)

2016

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

2015

  1. Application of Maximum Likelihood Estimation to Stochastic Short Rate Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (11)
    See also Journal Article in Annals of Financial Economics (AFE) (2015)
  2. 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 Downloads View citations (3)
  3. Pricing Volatility Derivatives Under the Modified Constant Elasticity of Variance Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
  4. 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 Downloads View citations (5)
  5. Recovering the Real-World Density and Liquidity Premia From Option Data
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
    See also Journal Article in Quantitative Finance (2016)

2014

  1. A Hybrid Model for Pricing and Hedging of Long Dated Bonds
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
    See also Journal Article in Applied Mathematical Finance (2015)
  2. A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
  3. 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 Downloads View citations (2)
  4. Natural Disasters, Insurance Stocks and the Numeraire Portfolio
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney
  5. Stylised Properties of the Interest Rate Term Structure Under The Benchmark Approach
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)

2013

  1. Credit Derivative Evaluation and CVA under the Benchmark Approach
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
    See also Journal Article in Asia-Pacific Financial Markets (2015)
  2. Liability Driven Investments under a Benchmark Based Approach
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (2)
  3. 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 Downloads View citations (1)

2012

  1. A Tractable Model for Indices Approximating the Growth Optimal Portfolio
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (6)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2014)
  2. Alternative Term Structure Models for Reviewing Expectations Puzzles
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  3. Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods
    Papers, arXiv.org Downloads
  4. Local Risk-Minimization under the Benchmark Approach
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (17)
    Also in Papers, arXiv.org (2012) Downloads View citations (5)
  5. Modeling of Oil Prices
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (4)
  6. Processes of Class Sigma, Last Passage Times, and Drawdowns
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (7)
  7. The Affine Nature of Aggregate Wealth Dynamics
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (6)

2011

  1. 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 Downloads
  2. Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model
    Papers, arXiv.org Downloads View citations (7)
  3. The Small and Large Time Implied Volatilities in the Minimal Market Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
    Also in Papers, arXiv.org (2011) Downloads

    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2012)
  4. Three-Benchmarked Risk Minimization for Jump Diffusion Markets
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (5)

2010

  1. 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 in Journal of Asset Management (2012)
  2. Multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading
    Papers, arXiv.org Downloads View citations (2)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2008) Downloads View citations (5)
  3. On the Dybvig-Ingersoll-Ross Theorem
    Papers, arXiv.org Downloads View citations (9)
  4. Simulation of Diversified Portfolios in a Continuous Financial Market
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (6)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2009) Downloads View citations (4)
  5. 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 Downloads View citations (4)

2009

  1. A Benchmark Approach to Investing and Pricing
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (6)
    See also Chapter (2011)
  2. A Visual Criterion for Identifying Ito Diffusions as Martingales or Strict Local Martingales
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (6)
  3. Alternative Defaultable Term Structure Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
    See also Journal Article in Asia-Pacific Financial Markets (2009)
  4. Asset Markets and Monetary Policy
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (6)
  5. 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 Downloads View citations (2)
    See also Journal Article in The European Physical Journal B: Condensed Matter and Complex Systems (2009)
  6. Exact Scenario Simulation for Selected Multi-dimensional Stochastic Processes
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (11)
  7. Financial market meltdown and a need for new financial regulations
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads
  8. Memorandum on a new financial architecture and new regulations
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads
  9. Minimizing the expected market time to reach a certain wealth level
    Papers, arXiv.org Downloads
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2008) Downloads View citations (8)
  10. Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (2)
    See also Journal Article in Asia-Pacific Financial Markets (2010)
  11. On Explicit Probability Laws for Classes of Scalar Diffusions
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
  12. On the semimartingale property of discounted asset-price processes
    Papers, arXiv.org Downloads View citations (8)
    See also Journal Article in Stochastic Processes and their Applications (2011)
  13. Quasi-exact Approximation of Hidden Markov Chain Filters
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)
  14. Real World Pricing of Long Term Contracts
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (5)

2008

  1. A Unifying Approach to Asset Pricing
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (2)
  2. A Visual Classification of Local Martingales
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (5)
  3. Analytic Pricing of Contingent Claims Under the Real-World Measure
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2008)
  4. Distributional Deviations in Random Number Generation in Finance
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  5. Hedging for the Long Run
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (19)
  6. On Financial Markets where only Buy-And-Hold Trading is Possible
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (8)
  7. On Honest Times in Financial Modeling
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (2)
    Also in Papers, arXiv.org (2008) Downloads View citations (2)
  8. On the Numerical Stability of Simulation Methods for SDES
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (4)
  9. Real World Pricing for a Modified Constant Elasticity of Variance Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
    See also Journal Article in Applied Mathematical Finance (2010)
  10. Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (6)
  11. The Law of Minimal Price
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
  12. Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities Under a Benchmark Approach
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)

2007

  1. A Benchmark Approach to Portfolio Optimization under Partial Information
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)
    See also Journal Article in Asia-Pacific Financial Markets (2007)
  2. Consistent Market Extensions under the Benchmark Approach
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
    See also Journal Article in Mathematical Finance (2009)
  3. Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (41)
  4. Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (5)
  5. Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (4)
  6. Strong approximations of stochastic differential equations with jumps
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (8)
  7. The History of the Quantitative Methods in Finance Conference Series. 1992-2007
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  8. Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)

2006

  1. A benchmark approach to asset management
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (4)
    See also Journal Article in Journal of Asset Management (2006)
  2. Approximating the Growth Optimal Portfolio with a Diversified World Stock Index
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (16)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2006) Downloads View citations (12)
  3. Approximation of Jump Diffusions in Finance and Economics
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)
    See also Journal Article in Computational Economics (2007)
  4. On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)
  5. On the Pricing and Hedging of Long Dated Zero Coupon Bonds
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (2)

2005

  1. A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (2)
    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2008)
  2. Benchmarking and Fair Pricing Applied to Two Market Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (11)
  3. Currency Derivatives under a Minimal Market Model with Random Scaling
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2005)
  4. Investments for the Short and Long Run
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  5. On the Distributional Characterization of Log-returns of a World Stock Index
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (5)
    See also Journal Article in Applied Mathematical Finance (2006)
  6. On the Role of the Growth Optimal Portfolio in Finance
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (4)
    See also Journal Article in Australian Economic Papers (2005)
  7. On the Strong Approximation of Jump-Diffusion Processes
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (7)
  8. On the Strong Approximation of Pure Jump Processes
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  9. Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2007)

2004

  1. A Benchmark Approach to Finance
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (104)
    See also Journal Article in Mathematical Finance (2006)
  2. A General Benchmark Model for Stochastic Jump Sizes
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (12)
  3. A class of complete benchmark models with intensity-based jumps
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (3)
  4. An Intraday Empirical Analysis of Electricity Price Behaviour
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  5. Capital Asset Pricing for Markets with Intensity Based Jumps
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (4)
  6. Diversified Portfolios with Jumps in a Benchmark Framework
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (12)
    See also Journal Article in Asia-Pacific Financial Markets (2004)
  7. Intraday Empirical Analysis and Modeling of Diversified World Stock Indices
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (8)
    See also Journal Article in Asia-Pacific Financial Markets (2005)
  8. Local Volatility Function Models under a Benchmark Approach
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)
    See also Journal Article in Quantitative Finance (2006)
  9. 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 Downloads View citations (7)
  10. Symmetry group methods for fundamental solutions
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (5)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2003) Downloads View citations (3)
  11. Two-Factor Model for Low Interest Rate Regimes
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (6)
    See also Journal Article in Asia-Pacific Financial Markets (2004)
  12. Understanding the Implied Volatility Surface for Options on a Diversified Index
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (5)
    See also Journal Article in Asia-Pacific Financial Markets (2004)

2003

  1. A Benchmark Framework for Risk Management
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (14)
    See also Chapter (2004)
  2. A Structure for General and Specific Market Risk
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (10)
    See also Journal Article in Computational Statistics (2003)
  3. An Alternative Interest Rate Term Structure Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (5)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2005)
  4. Diversified Portfolios in a Benchmark Framework
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (7)
  5. Estimating for Discretely Observed Diffusions Using Transform Functions
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (7)
  6. Fair Pricing of Weather Derivatives
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (5)
    See also Journal Article in Asia-Pacific Financial Markets (2004)
  7. Modeling the Volatility and Expected Value of a Diversified World Index
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (24)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2004)
  8. Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (4)
  9. Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (11)
    See also Journal Article in Quantitative Finance (2003)

2002

  1. A Benchmark Approach to Filtering in Finance
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (4)
    See also Journal Article in Asia-Pacific Financial Markets (2004)
  2. A Benchmark Framework for Integrated Risk Management
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)
  3. A Discrete Time Benchmark Approach for Finance and Insurance
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (10)
  4. A Variance Reduction Technique Based on Integral Representations
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (12)
    See also Journal Article in Quantitative Finance (2002)
  5. Benchmark Model with Intensity Based Jumps
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (10)
  6. Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (18)
    See also Journal Article in Quantitative Finance (2002)

2001

  1. A Benchmark Model for Financial Markets
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (2)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2001) Downloads View citations (1)
  2. A Minimal Financial Market Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (51)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000) Downloads View citations (13)
  3. Arbitrage in Continuous Complete Markets
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (85)
  4. Benchmark Pricing of Credit Derivatives Under a Standard Market Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  5. 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)
  6. Perfect Hedging of Index Derivatives Under a Locally Arbitrage Free Minimal Market Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  7. Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (7)
    See also Journal Article in Monte Carlo Methods and Applications (2002)
  8. Semiparametric Diffusion Estimation and Application to a Stock Market Index
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2001) Downloads View citations (2)

    See also Journal Article in Quantitative Finance (2008)
  9. Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2001) Downloads

    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2002)
  10. 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 Downloads

2000

  1. Risk Premia and Financial Modelling Without Measure Transformation
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000) Downloads View citations (2)
  2. Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (15)
    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 in Mathematics and Computers in Simulation (MATCOM) (2000)

1999

  1. A Financial Market Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
  2. A Financial Market Model with Trading Volume and Stochastic Volatility
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
  3. A Minimal Share Market Model with Stochastic Volatility
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
  4. An Introduction to Numerical Methods for Stochastic Differential Equations
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (27)
  5. Applications of the Balanced Method to Stochastic Differential Equations in Filtering
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (4)
    See also Journal Article in Monte Carlo Methods and Applications (1999)
  6. Axiomatic principles for a market model
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (1)
  7. Filtering and Parameter Estimation for a Mean Reverting Interest Rate Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (3)
  8. Hidden Markov Chain Filtering for Generalised Bessel Processes
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
  9. Modelling the Stochastic Dynamics of Volatility for Equity Indices
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
  10. 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)
  11. On the Log-Return Distribution of Index Benchmarked Share Prices
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
  12. On the Marginal Distribution of Trade Weighted Currency Indices
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
  13. Option pricing for a logstable asset price model
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (25)
  14. 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

  1. Balanced Implicit Methods for Stiff Stochastic Systems
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (31)
  2. 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

  1. 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 in Mathematical Finance (1998)

1996

  1. 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 Downloads View citations (21)
  2. Principles for modelling financial markets
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (17)
  3. Valuation of FX barrier options under stochastic volatility
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (1)

1995

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

1994

  1. Pricing via anticipative stochastic calculus
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (1)
  2. Stability of weak numerical schemes for stochastic differential equations
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (9)

1992

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

1991

  1. Rate of Convergence of the Euler Approximation for Diffusion Processes
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (7)
  2. Relations between multiple ito and stratonovich integrals
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (2)
  3. Stratonovich and Ito Stochastic Taylor Expansions
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (3)

1989

  1. A survey of numerical methods for stochastic differential equations
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (7)

1988

  1. Time Discrete Taylor Approximations for Ito Processes with Jump Component
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (13)

Journal Articles

2020

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

2018

  1. Detecting money market bubbles
    Journal of Banking & Finance, 2018, 87, (C), 369-379 Downloads View citations (3)
    See also Working Paper (2016)
  2. Recursive marginal quantization of higher-order schemes
    Quantitative Finance, 2018, 18, (4), 693-706 Downloads View citations (9)
    See also Working Paper (2017)

2017

  1. THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS
    Mathematical Finance, 2017, 27, (1), 68-95 Downloads View citations (2)
    See also Working Paper (2017)

2016

  1. BENCHMARKED RISK MINIMIZATION
    Mathematical Finance, 2016, 26, (3), 617-637 Downloads View citations (16)
  2. Recovering the real-world density and liquidity premia from option data
    Quantitative Finance, 2016, 16, (7), 1147-1164 Downloads View citations (1)
    See also Working Paper (2015)

2015

  1. A Hybrid Model for Pricing and Hedging of Long-dated Bonds
    Applied Mathematical Finance, 2015, 22, (4), 366-398 Downloads View citations (6)
    See also Working Paper (2014)
  2. APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS
    Annals of Financial Economics (AFE), 2015, 10, (02), 1-26 Downloads View citations (12)
    See also Working Paper (2015)
  3. Credit Derivative Evaluation and CVA Under the Benchmark Approach
    Asia-Pacific Financial Markets, 2015, 22, (3), 305-331 Downloads
    See also Working Paper (2013)
  4. Pricing currency derivatives under the benchmark approach
    Journal of Banking & Finance, 2015, 53, (C), 34-48 Downloads View citations (16)

2014

  1. A tractable model for indices approximating the growth optimal portfolio
    Studies in Nonlinear Dynamics & Econometrics, 2014, 18, (1), 1-21 Downloads View citations (2)
    See also Working Paper (2012)

2013

  1. A reading guide for last passage times with financial applications in view
    Finance and Stochastics, 2013, 17, (3), 615-640 Downloads View citations (4)
  2. On the numerical stability of simulation methods for SDEs under multiplicative noise in finance
    Quantitative Finance, 2013, 13, (2), 183-194 Downloads View citations (1)

2012

  1. Approximating the numéraire portfolio by naive diversification
    Journal of Asset Management, 2012, 13, (1), 34-50 Downloads View citations (1)
    See also Working Paper (2010)
  2. Estimating the diffusion coefficient function for a diversified world stock index
    Computational Statistics & Data Analysis, 2012, 56, (6), 1333-1349 Downloads View citations (4)
  3. 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 Downloads
    See also Working Paper (2011)

2011

  1. On the semimartingale property of discounted asset-price processes
    Stochastic Processes and their Applications, 2011, 121, (11), 2678-2691 Downloads View citations (22)
    See also Working Paper (2009)

2010

  1. Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae
    Asia-Pacific Financial Markets, 2010, 17, (3), 261-302 Downloads View citations (12)
    See also Working Paper (2009)
  2. Real-World Pricing for a Modified Constant Elasticity of Variance Model
    Applied Mathematical Finance, 2010, 17, (2), 147-175 Downloads View citations (4)
    See also Working Paper (2008)
  3. Real-world jump-diffusion term structure models
    Quantitative Finance, 2010, 10, (1), 23-37 Downloads View citations (13)

2009

  1. Alternative Defaultable Term Structure Models
    Asia-Pacific Financial Markets, 2009, 16, (1), 1-31 Downloads
    See also Working Paper (2009)
  2. CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH
    Mathematical Finance, 2009, 19, (1), 41-52 Downloads View citations (12)
    See also Working Paper (2007)
  3. 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 Downloads View citations (1)
    See also Working Paper (2009)

2008

  1. A hardware generator of multi-point distributed random numbers for Monte Carlo simulation
    Mathematics and Computers in Simulation (MATCOM), 2008, 77, (1), 45-56 Downloads View citations (3)
    See also Working Paper (2005)
  2. ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE
    International Journal of Theoretical and Applied Finance (IJTAF), 2008, 11, (08), 841-867 Downloads View citations (2)
    See also Working Paper (2008)
  3. Semiparametric diffusion estimation and application to a stock market index
    Quantitative Finance, 2008, 8, (1), 81-92 Downloads View citations (2)
    See also Working Paper (2001)

2007

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

2006

  1. A BENCHMARK APPROACH TO FINANCE
    Mathematical Finance, 2006, 16, (1), 131-151 Downloads View citations (62)
    See also Working Paper (2004)
  2. A benchmark approach to asset management
    Journal of Asset Management, 2006, 6, (6), 390-405 Downloads View citations (1)
    See also Working Paper (2006)
  3. First Order Strong Approximations of Jump Diffusions
    Monte Carlo Methods and Applications, 2006, 12, (3), 191-209 Downloads View citations (3)
  4. Local volatility function models under a benchmark approach
    Quantitative Finance, 2006, 6, (3), 197-206 Downloads View citations (6)
    See also Working Paper (2004)
  5. On the Distributional Characterization of Daily Log-Returns of a World Stock Index
    Applied Mathematical Finance, 2006, 13, (1), 19-38 Downloads View citations (32)
    See also Working Paper (2005)
  6. Portfolio selection and asset pricing under a benchmark approach
    Physica A: Statistical Mechanics and its Applications, 2006, 370, (1), 23-29 Downloads View citations (1)

2005

  1. AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL
    International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (06), 717-735 Downloads View citations (6)
    See also Working Paper (2003)
  2. CURRENCY DERIVATIVES UNDER A MINIMAL MARKET MODEL WITH RANDOM SCALING
    International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (08), 1157-1177 Downloads View citations (4)
    See also Working Paper (2005)
  3. Editorials
    Quantitative Finance, 2005, 5, (3), 235-235 Downloads
  4. Intraday Empirical Analysis and Modeling of Diversified World Stock Indices
    Asia-Pacific Financial Markets, 2005, 12, (1), 1-28 Downloads View citations (2)
    See also Working Paper (2004)
  5. ON THE ROLE OF THE GROWTH OPTIMAL PORTFOLIO IN FINANCE
    Australian Economic Papers, 2005, 44, (4), 365-388 Downloads View citations (16)
    See also Working Paper (2005)

2004

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

2003

  1. A Discrete Time Benchmark Approach for Insurance and Finance
    ASTIN Bulletin, 2003, 33, (2), 153-172 Downloads View citations (15)
  2. A Structure for General and Specific Market Risk
    Computational Statistics, 2003, 18, (3), 355-373 Downloads View citations (3)
    See also Working Paper (2003)
  3. Pricing of index options under a minimal market model with log-normal scaling
    Quantitative Finance, 2003, 3, (6), 442-450 Downloads View citations (5)
    See also Working Paper (2003)

2002

  1. A variance reduction technique based on integral representations
    Quantitative Finance, 2002, 2, (5), 362-369 Downloads View citations (13)
    See also Working Paper (2002)
  2. Consistent pricing and hedging for a modified constant elasticity of variance model
    Quantitative Finance, 2002, 2, (6), 459-467 Downloads View citations (22)
    See also Working Paper (2002)
  3. PERFECT HEDGING OF INDEX DERIVATIVES UNDER A MINIMAL MARKET MODEL
    International Journal of Theoretical and Applied Finance (IJTAF), 2002, 05, (07), 757-774 Downloads View citations (13)
  4. Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps
    Monte Carlo Methods and Applications, 2002, 8, (1), 83-96 Downloads View citations (9)
    See also Working Paper (2001)
  5. Weak discrete time approximation of stochastic differential equations with time delay
    Mathematics and Computers in Simulation (MATCOM), 2002, 59, (6), 497-507 Downloads View citations (3)
    See also Working Paper (2001)

2001

  1. A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets
    Mathematical Finance, 2001, 11, (4), 385-413 Downloads View citations (69)

2000

  1. Approximating Large Diversified Portfolios
    Mathematical Finance, 2000, 10, (1), 77-88 Downloads View citations (7)
  2. Strong discrete time approximation of stochastic differential equations with time delay
    Mathematics and Computers in Simulation (MATCOM), 2000, 54, (1), 189-205 Downloads View citations (16)
    See also Working Paper (2000)

1999

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

1998

  1. On Feedback Effects from Hedging Derivatives
    Mathematical Finance, 1998, 8, (1), 67-84 Downloads View citations (72)
    See also Working Paper (1997)

1997

  1. Subordinated Market Index Models: A Comparison
    Asia-Pacific Financial Markets, 1997, 4, (2), 97-124 Downloads View citations (28)

1995

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

1992

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

1989

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

1987

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

1985

  1. Weak convergence of semimartingales and discretisation methods
    Stochastic Processes and their Applications, 1985, 20, (1), 41-58 Downloads View citations (9)

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 Downloads View citations (7)
    See also Working Paper (2009)

2008

  1. Simulation Methods for Stochastic Differential Equations
    Springer

2004

  1. A Benchmark Framework for Risk Management
    Chapter 15 in Stochastic Processes And Applications To Mathematical Finance, 2004, pp 305-335 Downloads View citations (5)
    See also Working Paper (2003)

2001

  1. 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 Downloads View citations (11)
 
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