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Citations of
Eckhard Platen

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

| Working papers | Articles | Access and download statistics

Working papers

  1. T. Marquardt & Eckhard Platen & S. Jaschke, 2008. "Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities Under a Benchmark Approach," Research Paper Series 221, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. Eckhard Platen, 2009. "Real World Pricing of Long Term Contracts," Research Paper Series 262, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  2. Constantinos Kardaras & Eckhard Platen, 2008. "Multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading," Quantitative Finance Papers 0812.0033, arXiv.org. [Downloadable!]

    Cited by:

    1. Paul Gassiat & Huyen Pham & Mihai Sirbu, 2009. "Optimal investment on finite horizon with random discrete order flow in illiquid markets," Quantitative Finance Papers 0907.2203, arXiv.org. [Downloadable!]
    2. Eckhard Platen, 2009. "Real World Pricing of Long Term Contracts," Research Paper Series 262, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  3. Constantinos Kardaras & Eckhard Platen, 2008. "On the semimartingale property of discounted asset-price processes," Quantitative Finance Papers 0803.1890, arXiv.org, revised Nov 2009. [Downloadable!]

    Cited by:

    1. Constantinos Kardaras & Eckhard Platen, 2008. "Multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading," Quantitative Finance Papers 0812.0033, arXiv.org. [Downloadable!]
    2. Constantinos Kardaras & Eckhard Platen, 2009. "Minimizing the expected market time to reach a certain wealth level," Quantitative Finance Papers 0904.1903, arXiv.org. [Downloadable!]
      Other versions:

  4. Constantinos Kardaras & Eckhard Platen, 2008. "On Financial Markets where only Buy-And-Hold Trading is Possible," Research Paper Series 213, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. Constantinos Kardaras, 2008. "The continuous behavior of the numeraire portfolio under small changes in information structure, probabilistic views and investment constraints," Quantitative Finance Papers 0804.2912, arXiv.org, revised Nov 2009. [Downloadable!]
    2. Constantinos Kardaras & Eckhard Platen, 2008. "Minimizing the Expected Market Time to Reach a Certain Wealth Level," Research Paper Series 230, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:

  5. Shane Miller & Eckhard Platen, 2008. "Analytic Pricing of Contingent Claims Under the Real-World Measure," Research Paper Series 216, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Published as:

    Cited by:

    1. Hardy Hulley & Shane Miller & Eckhard Platen, 2005. "Benchmarking and Fair Pricing Applied to Two Market Models," Research Paper Series 155, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  6. Nicola Bruti-Liberati & Eckhard Platen, 2008. "Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations," Research Paper Series 222, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. Eckhard Platen & Lei Shi, 2008. "On the Numerical Stability of Simulation Methods for SDES," Research Paper Series 234, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    2. Eckhard Platen & Renata Rendek, 2009. "Quasi-exact Approximation of Hidden Markov Chain Filters," Research Paper Series 258, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  7. Eckhard Platen & Lei Shi, 2008. "On the Numerical Stability of Simulation Methods for SDES," Research Paper Series 234, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. Eckhard Platen & Renata Rendek, 2009. "Exact Scenario Simulation for Selected Multi-dimensional Stochastic Processes," Research Paper Series 259, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    2. Eckhard Platen & Renata Rendek, 2009. "Quasi-exact Approximation of Hidden Markov Chain Filters," Research Paper Series 258, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  8. Eckhard Platen & Hardy Hulley, 2008. "Hedging for the Long Run," Research Paper Series 214, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. Eckhard Platen, 2008. "The Law of Minimum Price," Research Paper Series 215, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    2. Eckhard Platen, 2009. "Real World Pricing of Long Term Contracts," Research Paper Series 262, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  9. Damir Filipovic & Eckhard Platen, 2007. "Consistent Market Extensions under the Benchmark Approach," Research Paper Series 189, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Published as:

    Cited by:

    1. Eckhard Platen & Renata Rendek, 2007. "Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices," Research Paper Series 194, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  10. Nicola Bruti-Liberati & Eckhard Platen, 2006. "Approximation of Jump Diffusions in Finance and Economics," Research Paper Series 176, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Published as:

    Cited by:

    1. Dennis Kristensen & Yongseok Shin, 2008. "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers 2008-58, School of Economics and Management, University of Aarhus. [Downloadable!]

  11. Truc Le & Eckhard Platen, 2006. "Approximating the Growth Optimal Portfolio with a Diversified World Stock Index," Research Paper Series 180, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Eckhard Platen & Renata Rendek, 2007. "Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices," Research Paper Series 194, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    2. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2007. "Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models," Research Paper Series 198, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    3. Eckhard Platen, 2008. "A Unifying Approach to Asset Pricing," Research Paper Series 227, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    4. Eckhard Platen, 2009. "Real World Pricing of Long Term Contracts," Research Paper Series 262, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  12. Kevin Fergusson & Eckhard Platen, 2005. "On the Distributional Characterization of Log-returns of a World Stock Index," Research Paper Series 153, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. Eckhard Platen & Renata Rendek, 2007. "Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices," Research Paper Series 194, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    2. Truc Le & Eckhard Platen, 2006. "Approximating the Growth Optimal Portfolio with a Diversified World Stock Index," Research Paper Series 184, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    3. Eckhard Platen, 2005. "Investments for the Short and Long Run," Research Paper Series 163, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    4. Eckhard Platen, 2006. "On the Pricing and Hedging of Long Dated Zero Coupon Bonds," Research Paper Series 185, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    5. David Heath & Eckhard Platen, 2006. "Local volatility function models under a benchmark approach," Quantitative Finance, Taylor and Francis Journals, vol. 6(3), pages 197-206, June. [Downloadable!] (restricted)
      Other versions:

  13. Nicola Bruti-Liberati & Eckhard Platen, 2005. "On the Strong Approximation of Jump-Diffusion Processes," Research Paper Series 157, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. Nicola Bruti-Liberati & Eckhard Platen, 2005. "On the Strong Approximation of Pure Jump Processes," Research Paper Series 164, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    2. Nicola Bruti-Liberati & Eckhard Platen, 2007. "Approximation of jump diffusions in finance and economics," Computational Economics, Springer, vol. 29(3), pages 283-312, May. [Downloadable!] (restricted)
      Other versions:
    3. Nicola Bruti-Liberati & Eckhard Platen, 2006. "On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance," Research Paper Series 179, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  14. Nicola Bruti-Liberati & Filippo Martini & Massimo Piccardi & Eckhard Platen, 2005. "A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation," Research Paper Series 156, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. Sergio Chavez & Eckhard Platen, 2008. "Distributional Deviations in Random Number Generation in Finance," Research Paper Series 228, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  15. Eckhard Platen, 2005. "On the Role of the Growth Optimal Portfolio in Finance," Research Paper Series 144, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Published as:

    Cited by:

    1. Truc Le & Eckhard Platen, 2006. "Approximating the Growth Optimal Portfolio with a Diversified World Stock Index," Research Paper Series 184, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    2. David Heath & Eckhard Platen, 2005. "Currency Derivatives under a Minimal Market Model with Random Scaling," Research Paper Series 154, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    3. Eckhard Platen, 2005. "Investments for the Short and Long Run," Research Paper Series 163, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  16. Hardy Hulley & Shane Miller & Eckhard Platen, 2005. "Benchmarking and Fair Pricing Applied to Two Market Models," Research Paper Series 155, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. Shane Miller & Eckhard Platen, 2008. "Analytic Pricing of Contingent Claims Under the Real-World Measure," Research Paper Series 216, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    2. David Heath & Eckhard Platen, 2006. "Local volatility function models under a benchmark approach," Quantitative Finance, Taylor and Francis Journals, vol. 6(3), pages 197-206, June. [Downloadable!] (restricted)
      Other versions:

  17. David Heath & Eckhard Platen, 2004. "Understanding the Implied Volatility Surface for Options on a Diversified Index," Research Paper Series 128, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Published as:

    Cited by:

    1. Eckhard Platen, 2004. "A Benchmark Approach to Finance," Research Paper Series 138, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    2. Shane Miller & Eckhard Platen, 2004. "Two-Factor Model for Low Interest Rate Regimes," Research Paper Series 130, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    3. David Heath & Eckhard Platen, 2005. "Currency Derivatives under a Minimal Market Model with Random Scaling," Research Paper Series 154, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:

  18. Eckhard Platen, 2004. "A Benchmark Approach to Finance," Research Paper Series 138, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Published as:

    Cited by:

    1. Hardy Hulley & Shane Miller & Eckhard Platen, 2005. "Benchmarking and Fair Pricing Applied to Two Market Models," Research Paper Series 155, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    2. Constantinos Kardaras, 2008. "The continuous behavior of the numeraire portfolio under small changes in information structure, probabilistic views and investment constraints," Quantitative Finance Papers 0804.2912, arXiv.org, revised Nov 2009. [Downloadable!]
    3. Eckhard Platen, 2005. "On the Role of the Growth Optimal Portfolio in Finance," Research Paper Series 144, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    4. Jan Palczewski & Lukasz Stettner, 2007. "Growth-optimal portfolios under transaction costs," Quantitative Finance Papers 0707.3198, arXiv.org. [Downloadable!]
    5. Damir Filipovic & Eckhard Platen, 2007. "Consistent Market Extensions under the Benchmark Approach," Research Paper Series 189, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    6. Truc Le & Eckhard Platen, 2006. "Approximating the Growth Optimal Portfolio with a Diversified World Stock Index," Research Paper Series 184, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    7. Eckhard Platen, 2008. "The Law of Minimum Price," Research Paper Series 215, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    8. David Heath & Eckhard Platen, 2005. "Currency Derivatives under a Minimal Market Model with Random Scaling," Research Paper Series 154, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    9. Ioannis Karatzas & Constantinos Kardaras, 2007. "The numéraire portfolio in semimartingale financial models," Finance and Stochastics, Springer, vol. 11(4), pages 447-493, October. [Downloadable!] (restricted)
    10. Eckhard Platen & Wolfgang Runggaldier, 2007. "A Benchmark Approach to Portfolio Optimization under Partial Information," Research Paper Series 191, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    11. Constantinos Kardaras & Eckhard Platen, 2009. "Minimizing the expected market time to reach a certain wealth level," Quantitative Finance Papers 0904.1903, arXiv.org. [Downloadable!]
      Other versions:
    12. Eckhard Platen, 2006. "On the Pricing and Hedging of Long Dated Zero Coupon Bonds," Research Paper Series 185, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    13. Wolfgang Breymann & Leah Kelly & Eckhard Platen, 2005. "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices," Asia-Pacific Financial Markets, Springer, vol. 12(1), pages 1-28, March. [Downloadable!] (restricted)
      Other versions:
    14. Kevin Fergusson & Eckhard Platen, 2006. "On the Distributional Characterization of Daily Log-Returns of a World Stock Index," Applied Mathematical Finance, Taylor and Francis Journals, vol. 13(1), pages 19-38, March. [Downloadable!] (restricted)
    15. Eckhard Platen, 2008. "A Unifying Approach to Asset Pricing," Research Paper Series 227, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  19. Eckhard Platen, 2004. "Capital Asset Pricing for Markets with Intensity Based Jumps," Research Paper Series 143, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. Truc Le & Eckhard Platen, 2006. "Approximating the Growth Optimal Portfolio with a Diversified World Stock Index," Research Paper Series 184, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    2. Morten Christensen & Eckhard Platen, 2005. "Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps," Research Paper Series 170, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    3. Eckhard Platen, 2005. "Investments for the Short and Long Run," Research Paper Series 163, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  20. Eckhard Platen, 2004. "Diversified Portfolios with Jumps in a Benchmark Framework," Research Paper Series 129, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Published as:

    Cited by:

    1. Eckhard Platen & Renata Rendek, 2007. "Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices," Research Paper Series 194, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    2. Eckhard Platen, 2005. "On the Role of the Growth Optimal Portfolio in Finance," Research Paper Series 144, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    3. Truc Le & Eckhard Platen, 2006. "Approximating the Growth Optimal Portfolio with a Diversified World Stock Index," Research Paper Series 184, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    4. Eckhard Platen, 2004. "Capital Asset Pricing for Markets with Intensity Based Jumps," Research Paper Series 143, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    5. Eckhard Platen & Wolfgang Runggaldier, 2007. "A Benchmark Approach to Portfolio Optimization under Partial Information," Asia-Pacific Financial Markets, Springer, vol. 14(1), pages 25-43, March. [Downloadable!] (restricted)
      Other versions:
    6. Eckhard Platen, 2006. "On the Pricing and Hedging of Long Dated Zero Coupon Bonds," Research Paper Series 185, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    7. Kevin Fergusson & Eckhard Platen, 2006. "On the Distributional Characterization of Daily Log-Returns of a World Stock Index," Applied Mathematical Finance, Taylor and Francis Journals, vol. 13(1), pages 19-38, March. [Downloadable!] (restricted)
    8. Eckhard Platen & Jason West & Wolfgang Breymann, 2004. "An Intraday Empirical Analysis of Electricity Price Behaviour," Research Paper Series 140, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    9. Kevin Fergusson & Eckhard Platen, 2005. "On the Distributional Characterization of Log-returns of a World Stock Index," Research Paper Series 153, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    10. Eckhard Platen & Wolfgang Runggaldier, 2004. "A Benchmark Approach to Filtering in Finance," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 79-105, March. [Downloadable!] (restricted)
      Other versions:

  21. Nicola Bruti Liberati & Eckhard Platen, 2004. "On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance," Research Paper Series 114, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. Nicola Bruti-Liberati & Filippo Martini & Massimo Piccardi & Eckhard Platen, 2005. "A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation," Research Paper Series 156, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    2. Nicola Bruti-Liberati & Eckhard Platen, 2007. "Approximation of jump diffusions in finance and economics," Computational Economics, Springer, vol. 29(3), pages 283-312, May. [Downloadable!] (restricted)
      Other versions:
    3. Nicola Bruti-Liberati & Eckhard Platen, 2006. "On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance," Research Paper Series 179, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  22. David Heath & Eckhard Platen, 2004. "Local Volatility Function Models under a Benchmark Approach," Research Paper Series 124, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Published as:

    Cited by:

    1. David Heath & Eckhard Platen, 2004. "Understanding the Implied Volatility Surface for Options on a Diversified Index," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 55-77, March. [Downloadable!] (restricted)
      Other versions:
    2. Shane Miller & Eckhard Platen, 2008. "Analytic Pricing of Contingent Claims Under the Real-World Measure," Research Paper Series 216, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:

  23. Morten Christensen & Eckhard Platen, 2004. "A General Benchmark Model for Stochastic Jump Sizes," Research Paper Series 139, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. Eckhard Platen, 2004. "Capital Asset Pricing for Markets with Intensity Based Jumps," Research Paper Series 143, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    2. Morten Christensen & Eckhard Platen, 2005. "Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps," Research Paper Series 170, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    3. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2007. "Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models," Research Paper Series 198, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  24. Shane Miller & Eckhard Platen, 2004. "Two-Factor Model for Low Interest Rate Regimes," Research Paper Series 130, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Published as:

    Cited by:

    1. Shane Miller & Eckhard Platen, 2008. "Analytic Pricing of Contingent Claims Under the Real-World Measure," Research Paper Series 216, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    2. Hardy Hulley & Shane Miller & Eckhard Platen, 2005. "Benchmarking and Fair Pricing Applied to Two Market Models," Research Paper Series 155, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    3. Ashkan Nikeghbali & Eckhard Platen, 2008. "On honest times in financial modeling," Quantitative Finance Papers 0808.2892, arXiv.org. [Downloadable!]
      Other versions:
    4. Eckhard Platen, 2004. "Capital Asset Pricing for Markets with Intensity Based Jumps," Research Paper Series 143, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    5. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2007. "Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models," Research Paper Series 198, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  25. Wolfgang Breymann & Leah Kelly & Eckhard Platen, 2004. "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices," Research Paper Series 125, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Published as:

    Cited by:

    1. David Heath & Eckhard Platen, 2004. "Understanding the Implied Volatility Surface for Options on a Diversified Index," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 55-77, March. [Downloadable!] (restricted)
      Other versions:
    2. Eckhard Platen, 2004. "Diversified Portfolios with Jumps in a Benchmark Framework," Research Paper Series 129, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    3. Eckhard Platen, 2003. "A Benchmark Framework for Risk Management," Research Paper Series 113, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    4. Eckhard Platen & Jason West & Wolfgang Breymann, 2004. "An Intraday Empirical Analysis of Electricity Price Behaviour," Research Paper Series 140, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    5. Eckhard Platen & Wolfgang Runggaldier, 2004. "A Benchmark Approach to Filtering in Finance," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 79-105, March. [Downloadable!] (restricted)
      Other versions:

  26. Eckhard Platen, 2003. "An Alternative Interest Rate Term Structure Model," Research Paper Series 97, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Published as:

    Cited by:

    1. Shane Miller & Eckhard Platen, 2008. "Analytic Pricing of Contingent Claims Under the Real-World Measure," Research Paper Series 216, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    2. Hardy Hulley & Shane Miller & Eckhard Platen, 2005. "Benchmarking and Fair Pricing Applied to Two Market Models," Research Paper Series 155, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    3. Shane Miller & Eckhard Platen, 2004. "Two-Factor Model for Low Interest Rate Regimes," Research Paper Series 130, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    4. El Qalli Yassine, 2009. "Term Structure Equations Under Benchmark Framework," EERI Research Paper Series EERI_RP_2009_13, Economics and Econometrics Research Institute (EERI). [Downloadable!]

  27. Eckhard Platen, 2003. "A Benchmark Framework for Risk Management," Research Paper Series 113, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. Hardy Hulley & Shane Miller & Eckhard Platen, 2005. "Benchmarking and Fair Pricing Applied to Two Market Models," Research Paper Series 155, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    2. Eckhard Platen & Jason West, 2004. "A Fair Pricing Approach to Weather Derivatives," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 23-53, March. [Downloadable!] (restricted)
    3. Morten Christensen & Eckhard Platen, 2004. "A General Benchmark Model for Stochastic Jump Sizes," Research Paper Series 139, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    4. Eckhard Platen, 2004. "A Benchmark Approach to Finance," Research Paper Series 138, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    5. Eckhard Platen, 2008. "The Law of Minimum Price," Research Paper Series 215, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    6. Eckhard Platen, 2005. "Investments for the Short and Long Run," Research Paper Series 163, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    7. Eckhard Platen, 2006. "On the Pricing and Hedging of Long Dated Zero Coupon Bonds," Research Paper Series 185, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    8. Eckhard Platen, 2004. "Diversified Portfolios with Jumps in a Benchmark Framework," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 1-22, March. [Downloadable!] (restricted)
      Other versions:
    9. Kevin Fergusson & Eckhard Platen, 2005. "On the Distributional Characterization of Log-returns of a World Stock Index," Research Paper Series 153, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    10. Eckhard Platen & Wolfgang Runggaldier, 2004. "A Benchmark Approach to Filtering in Finance," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 79-105, March. [Downloadable!] (restricted)
      Other versions:
    11. Eckhard Platen, 2008. "A Unifying Approach to Asset Pricing," Research Paper Series 227, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  28. Eckhard Platen, 2003. "Diversified Portfolios in a Benchmark Framework," Research Paper Series 87, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Eckhard Platen & Jason West, 2003. "Fair Pricing of Weather Derivatives," Research Paper Series 106, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    2. Eckhard Platen, 2003. "Modeling the Volatility and Expected Value of a Diversified World Index," Research Paper Series 103, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  29. Eckhard Platen, 2003. "Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models," Research Paper Series 110, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. Eckhard Platen & Jason West, 2004. "A Fair Pricing Approach to Weather Derivatives," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 23-53, March. [Downloadable!] (restricted)
    2. Eckhard Platen, 2004. "A Benchmark Approach to Finance," Research Paper Series 138, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    3. Eckhard Platen, 2004. "Capital Asset Pricing for Markets with Intensity Based Jumps," Research Paper Series 143, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  30. Eckhard Platen & Jason West, 2003. "Fair Pricing of Weather Derivatives," Research Paper Series 106, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. Eckhard Platen, 2003. "A Benchmark Framework for Risk Management," Research Paper Series 113, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    2. Adam Clements & A S Hurn & K A Lindsay, 2008. "Estimating the Payoffs of Temperature-based Weather Derivatives," NCER Working Paper Series 33, National Centre for Econometric Research. [Downloadable!]
    3. Adam Clements & A S Hurn & K A Lindsay, 2008. "Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives," NCER Working Paper Series 34, National Centre for Econometric Research. [Downloadable!]
    4. Yuji Yamada, 2008. "Optimal Hedging of Prediction Errors Using Prediction Errors," Asia-Pacific Financial Markets, Springer, vol. 15(1), pages 67-95, March. [Downloadable!] (restricted)

  31. David Heath & Eckhard Platen, 2003. "Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling," Research Paper Series 101, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. David Heath & Eckhard Platen, 2004. "Local Volatility Function Models under a Benchmark Approach," Research Paper Series 124, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    2. Eckhard Platen, 2004. "Diversified Portfolios with Jumps in a Benchmark Framework," Research Paper Series 129, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    3. Eckhard Platen, 2003. "A Benchmark Framework for Risk Management," Research Paper Series 113, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    4. Eckhard Platen, 2003. "Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models," Research Paper Series 110, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  32. Leah Kelly & Eckhard Platen, 2003. "Estimating for Discretely Observed Diffusions Using Transform Functions," Research Paper Series 96, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. Eckhard Platen & Renata Rendek, 2007. "Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices," Research Paper Series 194, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    2. Michael Sørensen, 2008. "Efficient estimation for ergodic diffusions sampled at high frequency," CREATES Research Papers 2007-46, School of Economics and Management, University of Aarhus. [Downloadable!]
    3. Wolfgang Breymann & Leah Kelly & Eckhard Platen, 2005. "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices," Asia-Pacific Financial Markets, Springer, vol. 12(1), pages 1-28, March. [Downloadable!] (restricted)
      Other versions:

  33. Eckhard Platen, 2003. "Modeling the Volatility and Expected Value of a Diversified World Index," Research Paper Series 103, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. David Heath & Eckhard Platen, 2004. "Understanding the Implied Volatility Surface for Options on a Diversified Index," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 55-77, March. [Downloadable!] (restricted)
      Other versions:
    2. Eckhard Platen & Renata Rendek, 2007. "Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices," Research Paper Series 194, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    3. David Heath & Eckhard Platen, 2004. "Local Volatility Function Models under a Benchmark Approach," Research Paper Series 124, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    4. Eckhard Platen & Jason West, 2004. "A Fair Pricing Approach to Weather Derivatives," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 23-53, March. [Downloadable!] (restricted)
    5. Eckhard Platen, 2005. "On the Role of the Growth Optimal Portfolio in Finance," Research Paper Series 144, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    6. Morten Christensen & Eckhard Platen, 2004. "A General Benchmark Model for Stochastic Jump Sizes," Research Paper Series 139, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    7. Eckhard Platen, 2004. "A Benchmark Approach to Finance," Research Paper Series 138, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    8. Shane Miller & Eckhard Platen, 2004. "Two-Factor Model for Low Interest Rate Regimes," Research Paper Series 130, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    9. Truc Le & Eckhard Platen, 2006. "Approximating the Growth Optimal Portfolio with a Diversified World Stock Index," Research Paper Series 184, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    10. Eckhard Platen, 2004. "Capital Asset Pricing for Markets with Intensity Based Jumps," Research Paper Series 143, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    11. Wolfgang Breymann & Leah Kelly & Eckhard Platen, 2004. "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices," Research Paper Series 125, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    12. David Heath & Eckhard Platen, 2005. "Currency Derivatives under a Minimal Market Model with Random Scaling," Research Paper Series 154, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    13. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2007. "Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models," Research Paper Series 198, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    14. Eckhard Platen, 2004. "Diversified Portfolios with Jumps in a Benchmark Framework," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 1-22, March. [Downloadable!] (restricted)
      Other versions:
    15. Kevin Fergusson & Eckhard Platen, 2005. "On the Distributional Characterization of Log-returns of a World Stock Index," Research Paper Series 153, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    16. Eckhard Platen & Wolfgang Runggaldier, 2004. "A Benchmark Approach to Filtering in Finance," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 79-105, March. [Downloadable!] (restricted)
      Other versions:

  34. Eckhard Platen & Gerhard Stahl, 2003. "A Structure for General and Specific Market Risk," Research Paper Series 91, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. Eckhard Platen & Renata Rendek, 2007. "Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices," Research Paper Series 194, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    2. Eckhard Platen, 2005. "On the Role of the Growth Optimal Portfolio in Finance," Research Paper Series 144, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    3. Eckhard Platen, 2004. "Diversified Portfolios with Jumps in a Benchmark Framework," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 1-22, March. [Downloadable!] (restricted)
      Other versions:
    4. Kevin Fergusson & Eckhard Platen, 2006. "On the Distributional Characterization of Daily Log-Returns of a World Stock Index," Applied Mathematical Finance, Taylor and Francis Journals, vol. 13(1), pages 19-38, March. [Downloadable!] (restricted)
    5. Kevin Fergusson & Eckhard Platen, 2005. "On the Distributional Characterization of Log-returns of a World Stock Index," Research Paper Series 153, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    6. Eckhard Platen & Wolfgang Runggaldier, 2004. "A Benchmark Approach to Filtering in Finance," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 79-105, March. [Downloadable!] (restricted)
      Other versions:

  35. David Heath & Eckhard Platen, 2002. "A Variance Reduction Technique Based on Integral Representations," Research Paper Series 75, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. David Heath & Eckhard Platen, 2004. "Local Volatility Function Models under a Benchmark Approach," Research Paper Series 124, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    2. Gao, Jiti, 2002. "Modeling long-range dependent Gaussian processes with application in continuous-time financial models," MPRA Paper 11973, University Library of Munich, Germany, revised 18 Sep 2003. [Downloadable!]

  36. Eckhard Platen, 2002. "Benchmark Model with Intensity Based Jumps," Research Paper Series 81, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. Ashkan Nikeghbali & Eckhard Platen, 2008. "On honest times in financial modeling," Quantitative Finance Papers 0808.2892, arXiv.org. [Downloadable!]
      Other versions:
    2. Eckhard Platen & Wolfgang Runggaldier, 2002. "A Benchmark Approach to Filtering in Finance," Research Paper Series 77, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    3. Eckhard Platen, 2003. "A Benchmark Framework for Risk Management," Research Paper Series 113, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    4. Eckhard Platen, 2003. "Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models," Research Paper Series 110, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    5. David Heath & Eckhard Platen, 2006. "Local volatility function models under a benchmark approach," Quantitative Finance, Taylor and Francis Journals, vol. 6(3), pages 197-206, June. [Downloadable!] (restricted)
      Other versions:
    6. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2007. "Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models," Research Paper Series 198, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    7. Eckhard Platen, 2004. "Diversified Portfolios with Jumps in a Benchmark Framework," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 1-22, March. [Downloadable!] (restricted)
      Other versions:

  37. Hans Buhlmann & Eckhard Platen, 2002. "A Discrete Time Benchmark Approach for Finance and Insurance," Research Paper Series 74, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. Eckhard Platen & Jason West, 2003. "Fair Pricing of Weather Derivatives," Research Paper Series 106, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    2. Eckhard Platen & Jason West, 2004. "A Fair Pricing Approach to Weather Derivatives," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 23-53, March. [Downloadable!] (restricted)
    3. Morten Christensen & Eckhard Platen, 2004. "A General Benchmark Model for Stochastic Jump Sizes," Research Paper Series 139, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    4. T. Marquardt & Eckhard Platen & S. Jaschke, 2008. "Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities Under a Benchmark Approach," Research Paper Series 221, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    5. Eckhard Platen, 2003. "A Benchmark Framework for Risk Management," Research Paper Series 113, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    6. Eckhard Platen & Jason West & Wolfgang Breymann, 2004. "An Intraday Empirical Analysis of Electricity Price Behaviour," Research Paper Series 140, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  38. David Heath & Eckhard Platen, 2002. "Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model," Research Paper Series 78, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Published as:

    Cited by:

    1. David Heath & Eckhard Platen, 2004. "Local Volatility Function Models under a Benchmark Approach," Research Paper Series 124, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    2. Hardy Hulley & Eckhard Platen, 2007. "Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options," Research Paper Series 203, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    3. T. Marquardt & Eckhard Platen & S. Jaschke, 2008. "Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities Under a Benchmark Approach," Research Paper Series 221, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    4. Eckhard Platen, 2004. "Diversified Portfolios with Jumps in a Benchmark Framework," Research Paper Series 129, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    5. Eckhard Platen, 2003. "A Benchmark Framework for Risk Management," Research Paper Series 113, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    6. Eckhard Platen, 2004. "Capital Asset Pricing for Markets with Intensity Based Jumps," Research Paper Series 143, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    7. Eckhard Platen, 2003. "Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models," Research Paper Series 110, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    8. Eckhard Platen & Wolfgang Runggaldier, 2004. "A Benchmark Approach to Filtering in Finance," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 79-105, March. [Downloadable!] (restricted)
      Other versions:

  39. Eckhard Platen & Wolfgang Runggaldier, 2002. "A Benchmark Approach to Filtering in Finance," Research Paper Series 77, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Published as:

    Cited by:

    1. Eckhard Platen & Wolfgang Runggaldier, 2007. "A Benchmark Approach to Portfolio Optimization under Partial Information," Research Paper Series 191, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:

  40. Eckhard Platen, 2001. "Arbitrage in Continuous Complete Markets," Research Paper Series 72, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. David Heath & Eckhard Platen, 2004. "Understanding the Implied Volatility Surface for Options on a Diversified Index," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 55-77, March. [Downloadable!] (restricted)
      Other versions:
    2. Eckhard Platen & Jason West, 2003. "Fair Pricing of Weather Derivatives," Research Paper Series 106, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    3. David Heath & Eckhard Platen, 2004. "Local Volatility Function Models under a Benchmark Approach," Research Paper Series 124, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    4. Hardy Hulley & Shane Miller & Eckhard Platen, 2005. "Benchmarking and Fair Pricing Applied to Two Market Models," Research Paper Series 155, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    5. Eckhard Platen & Jason West, 2004. "A Fair Pricing Approach to Weather Derivatives," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 23-53, March. [Downloadable!] (restricted)
    6. Eckhard Platen, 2005. "On the Role of the Growth Optimal Portfolio in Finance," Research Paper Series 144, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    7. David Heath & Eckhard Platen, 2002. "Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model," Research Paper Series 78, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    8. Morten Christensen & Eckhard Platen, 2004. "A General Benchmark Model for Stochastic Jump Sizes," Research Paper Series 139, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    9. Ashkan Nikeghbali & Eckhard Platen, 2008. "On honest times in financial modeling," Quantitative Finance Papers 0808.2892, arXiv.org. [Downloadable!]
      Other versions:
    10. Eckhard Platen, 2004. "A Benchmark Approach to Finance," Research Paper Series 138, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    11. Shane Miller & Eckhard Platen, 2004. "Two-Factor Model for Low Interest Rate Regimes," Research Paper Series 130, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    12. Constantinos Kardaras & Eckhard Platen, 2008. "On the semimartingale property of discounted asset-price processes," Quantitative Finance Papers 0803.1890, arXiv.org, revised Nov 2009. [Downloadable!]
    13. Truc Le & Eckhard Platen, 2006. "Approximating the Growth Optimal Portfolio with a Diversified World Stock Index," Research Paper Series 184, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    14. Eckhard Platen & Hardy Hulley, 2008. "Hedging for the Long Run," Research Paper Series 214, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    15. El Qalli Yassine, 2009. "Term Structure Equations Under Benchmark Framework," EERI Research Paper Series EERI_RP_2009_13, Economics and Econometrics Research Institute (EERI). [Downloadable!]
    16. Eckhard Platen, 2004. "Diversified Portfolios with Jumps in a Benchmark Framework," Research Paper Series 129, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    17. Eckhard Platen, 2003. "A Benchmark Framework for Risk Management," Research Paper Series 113, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    18. Eckhard Platen, 2004. "Capital Asset Pricing for Markets with Intensity Based Jumps," Research Paper Series 143, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    19. Wolfgang Breymann & Leah Kelly & Eckhard Platen, 2004. "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices," Research Paper Series 125, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    20. Eckhard Platen, 2008. "The Law of Minimum Price," Research Paper Series 215, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    21. David Heath & Eckhard Platen, 2005. "Currency Derivatives under a Minimal Market Model with Random Scaling," Research Paper Series 154, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    22. Eckhard Platen, 2003. "Modeling the Volatility and Expected Value of a Diversified World Index," Research Paper Series 103, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    23. Eckhard Platen, 2003. "Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models," Research Paper Series 110, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    24. Eckhard Platen, 2005. "Investments for the Short and Long Run," Research Paper Series 163, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    25. El Qalli, Yassine, 2009. "Term Structure Equations Under Benchmark Framework," MPRA Paper 15667, University Library of Munich, Germany. [Downloadable!]
    26. Eckhard Platen, 2006. "On the Pricing and Hedging of Long Dated Zero Coupon Bonds," Research Paper Series 185, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    27. Kevin Fergusson & Eckhard Platen, 2006. "On the Distributional Characterization of Daily Log-Returns of a World Stock Index," Applied Mathematical Finance, Taylor and Francis Journals, vol. 13(1), pages 19-38, March. [Downloadable!] (restricted)
    28. Eckhard Platen & Jason West & Wolfgang Breymann, 2004. "An Intraday Empirical Analysis of Electricity Price Behaviour," Research Paper Series 140, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    29. Kevin Fergusson & Eckhard Platen, 2005. "On the Distributional Characterization of Log-returns of a World Stock Index," Research Paper Series 153, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    30. Eckhard Platen & Wolfgang Runggaldier, 2004. "A Benchmark Approach to Filtering in Finance," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 79-105, March. [Downloadable!] (restricted)
      Other versions:
    31. Eckhard Platen, 2008. "A Unifying Approach to Asset Pricing," Research Paper Series 227, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  41. Kestutis Kubilius & Eckhard Platen, 2001. "Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps," Research Paper Series 54, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. Nicola Bruti-Liberati & Eckhard Platen, 2005. "On the Strong Approximation of Pure Jump Processes," Research Paper Series 164, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    2. Nicola Bruti-Liberati & Eckhard Platen, 2007. "Approximation of jump diffusions in finance and economics," Computational Economics, Springer, vol. 29(3), pages 283-312, May. [Downloadable!] (restricted)
      Other versions:
    3. Nicola Bruti-Liberati & Eckhard Platen, 2006. "On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance," Research Paper Series 179, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  42. P. Fischer & Eckhard Platen, 1999. "Applications of the Balanced Method to Stochastic Differential Equations in Filtering," Research Paper Series 16, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Eckhard Platen & Wolfgang Runggaldier, 2002. "A Benchmark Approach to Filtering in Finance," Research Paper Series 77, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:

  43. Eckhard Platen, 1999. "An Introduction to Numerical Methods for Stochastic Differential Equations," Research Paper Series 6, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Uwe Kuchler & Eckhard Platen, 2001. "Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay," Research Paper Series 50, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    2. H. Gilsing & U. Küchler & E. Platen, . "Über die Stabilität des Euler-Schemas für eine Affine Stochastische Differentialgleichung mit Gedächtnis," Sonderforschungsbereich 373 2001-20, Humboldt Universitaet Berlin.
    3. Kestutis Kubilius & Eckhard Platen, 2001. "Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps," Research Paper Series 54, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    4. Uwe Kuchler & Eckhard Platen, 2000. "Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay," Research Paper Series 44, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    5. Gao, Jiti, 2002. "Modeling long-range dependent Gaussian processes with application in continuous-time financial models," MPRA Paper 11973, University Library of Munich, Germany, revised 18 Sep 2003. [Downloadable!]

  44. R. Elliott & Eckhard Platen, 1999. "Hidden Markov Chain Filtering for Generalised Bessel Processes," Research Paper Series 23, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Eckhard Platen & Wolfgang Runggaldier, 2002. "A Benchmark Approach to Filtering in Finance," Research Paper Series 77, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:

  45. David Heath & S. Hurst & Eckhard Platen, 1999. "Modelling the Stochastic Dynamics of Volatility for Equity Indices," Research Paper Series 7, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. David Heath & Eckhard Platen, 2004. "Understanding the Implied Volatility Surface for Options on a Diversified Index," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 55-77, March. [Downloadable!] (restricted)
      Other versions:

  46. R. Elliott & P. Fischer & Eckhard Platen, 1999. "Filtering and Parameter Estimation for a Mean Reverting Interest Rate Model," Research Paper Series 17, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Christina Erlwein & Rogemar Mamon, 2009. "An online estimation scheme for a Hull–White model with HMM-driven parameters," Statistical Methods and Applications, Springer, vol. 18(1), pages 87-107, March. [Downloadable!] (restricted)

  47. Mark Craddock & David Heath & Eckhard Platen, 1999. "Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing," Research Paper Series 27, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Xiaolin Luo & Pavel V. Shevchenko, 2009. "Computing Tails of Compound Distributions Using Direct Numerical Integration," Quantitative Finance Papers 0904.0830, arXiv.org, revised Apr 2009. [Downloadable!]
    2. Hardy Hulley & Eckhard Platen, 2007. "Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options," Research Paper Series 203, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    3. Mark Craddock & Eckhard Platen, 2003. "Symmetry Group Methods for Fundamental Solutions and Characteristic Functions," Research Paper Series 90, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    4. Xiaolin Luo & Pavel V. Shevchenko & John B. Donnelly, 2009. "Addressing the Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimates," Quantitative Finance Papers 0904.2910, arXiv.org. [Downloadable!]

  48. Eckhard Platen, 1999. "A Financial Market Model," Research Paper Series 9, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. C. Hafner & H. Herwartz, . "Option Pricing under Linear Autoregressive Dynamics, Heteroskedasticity, and Conditional Leptokurtosis," Sonderforschungsbereich 373 1999-58, Humboldt Universitaet Berlin.
      Other versions:
    2. Eckhard Platen, 2005. "Investments for the Short and Long Run," Research Paper Series 163, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  49. Eckhard Platen, 1999. "A Minimal Share Market Model with Stochastic Volatility," Research Paper Series 21, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Eckhard Platen, 2000. "Risk Premia and Financial Modelling Without Measure Transformation," Research Paper Series 45, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:

  50. Eckhard Platen, 1999. "On the Log-Return Distribution of Index Benchmarked Share Prices," Research Paper Series 22, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. E. Platen, . "A Minimal Financial Market Model," Sonderforschungsbereich 373 2000-91, Humboldt Universitaet Berlin.
      Other versions:

  51. Platen, Eckhard & Martin Schweizer, 1994. "On Smile and Skewness," Discussion Paper Serie B 302, University of Bonn, Germany.

    Cited by:

    1. Marsh, Terry A. & Takao Kobayashi, 1998. ""The Work of Fischer Black, Robert Merton, and Myron Scholes, and its Continuing Legacy"," CIRJE F-Series 98-F-4, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    2. Frey, Rüdiger, 1996. "The Pricing and Hedging of Options in Finitely Elastic Markets," Discussion Paper Serie B 372, University of Bonn, Germany. [Downloadable!]
    3. Frey, Rüdiger & Alexander Stremme, 1995. "Market Volatility and Feedback Effects from Dynamic Hedging," Discussion Paper Serie B 310, University of Bonn, Germany. [Downloadable!]
    4. Terry Marsh & Takao Kobayashi, 2001. "The Contributions of Professors Fischer Black, Robert Merton, and Myron Scholes to the Financial Services Industry," CIRJE F-Series CIRJE-F-120, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    5. E. Agliardi & R. Andergassen, 2002. "Feedback effects of dynamic hedging strategies in the presence of transaction costs," Working Papers 445, Dipartimento Scienze Economiche, Universita' di Bologna. [Downloadable!]
    6. Mattias Jonsson & Jussi Keppo, 2002. "Option pricing for large agents," Applied Mathematical Finance, Taylor and Francis Journals, vol. 9(4), pages 261-272, December. [Downloadable!] (restricted)

  52. N. Hofmann & E. Platen & M. Schweizer, 1992. "Option Pricing under Incompleteness and Stochastic Volatility," Discussion Paper Serie B 209, University of Bonn, Germany.

    Cited by:

    1. Gatfaoui Hayette, 2004. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation," Finance 0404004, EconWPA. [Downloadable!]
    2. Eckhard Platen & Jason West, 2004. "A Fair Pricing Approach to Weather Derivatives," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 23-53, March. [Downloadable!] (restricted)
    3. Eckhard Platen, 2000. "Risk Premia and Financial Modelling Without Measure Transformation," Research Paper Series 45, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    4. C. Hafner & H. Herwartz, . "Option Pricing under Linear Autoregressive Dynamics, Heteroskedasticity, and Conditional Leptokurtosis," Sonderforschungsbereich 373 1999-58, Humboldt Universitaet Berlin.
      Other versions:
    5. Ashkan Nikeghbali & Eckhard Platen, 2008. "On honest times in financial modeling," Quantitative Finance Papers 0808.2892, arXiv.org. [Downloadable!]
      Other versions:
    6. Hans Buhlmann & Eckhard Platen, 2002. "A Discrete Time Benchmark Approach for Finance and Insurance," Research Paper Series 74, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    7. Thierry Chauveau & Hayette Gatfaoui, 2004. "Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility," Research Paper Series 122, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    8. Leisen, Dietmar P.J., . "Stock Evolution under Stochastic Volatility: A Discrete Approach," Discussion Paper Serie B 407, University of Bonn, Germany, revised May 1999. [Downloadable!]
    9. Nigel Clarke, Kevin Parrott, 1999. "Multigrid for American option pricing with stochastic volatility," Applied Mathematical Finance, Taylor and Francis Journals, vol. 6(3), pages 177-195, September. [Downloadable!] (restricted)
    10. Frey, Rüdiger, 1997. "Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility," Discussion Paper Serie B 401, University of Bonn, Germany. [Downloadable!]
    11. Antonio Mele & Fabio Fornari, 1999. "ARCH Models and Option Pricing: the Continuous-Time Connection," Computing in Economics and Finance 1999 113, Society for Computational Economics. [Downloadable!]
      Other versions:
    12. Eckhard Platen, 2009. "A Benchmark Approach to Investing and Pricing," Research Paper Series 253, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    13. Umberto Cherubini, 1997. "Fuzzy measures and asset prices: accounting for information ambiguity," Applied Mathematical Finance, Taylor and Francis Journals, vol. 4(3), pages 135-149, September. [Downloadable!] (restricted)
    14. M. E. Mancino & S. Ogawa & S. Sanfelici, 2004. "A numerical study of the smile effect in implied volatilities induced by a nonlinear feedback model," Economics Department Working Papers 2004-ME01, Department of Economics, Parma University (Italy). [Downloadable!]
    15. Martin Schweizer, 1994. "On the Minimal Martingale Measure and the Foellmer- Schweizer Decomposition," Discussion Paper Serie B 284, University of Bonn, Germany. [Downloadable!]
    16. T. Kleinow, . "Testing the Diffusion Coefficient," Sonderforschungsbereich 373 2002-38, Humboldt Universitaet Berlin.
    17. Eckhard Platen, 2003. "Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models," Research Paper Series 110, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    18. Vicky Henderson & David Hobson, 2001. "Passport options with stochastic volatility," Applied Mathematical Finance, Taylor and Francis Journals, vol. 8(2), pages 97-118, May. [Downloadable!] (restricted)
    19. K. Ronnie Sircar, George C. Papanicolaou, 1999. "Stochastic volatility, smile & asymptotics," Applied Mathematical Finance, Taylor and Francis Journals, vol. 6(2), pages 107-145, June. [Downloadable!] (restricted)
    20. Hayette Gatfaoui, 2004. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation," Research Paper Series 123, Quantitative Finance Research Centre, University of Technology, Sydney.
    21. David Heath & Eckhard Platen, 2002. "A Variance Reduction Technique Based on Integral Representations," Research Paper Series 75, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    22. Jan Bergenthum & Ludger Rüschendorf, 2006. "Comparison of Option Prices in Semimartingale Models," Finance and Stochastics, Springer, vol. 10(2), pages 222-249, April. [Downloadable!] (restricted)
    23. Eckhard Platen & Wolfgang Runggaldier, 2004. "A Benchmark Approach to Filtering in Finance," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 79-105, March. [Downloadable!] (restricted)
      Other versions:
    24. Eckhard Platen, 2009. "Real World Pricing of Long Term Contracts," Research Paper Series 262, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  53. U. Küchler & E. Platen, . "Strong discrete time approximation of Stochastic Differential Equations with Time Delay," Sonderforschungsbereich 373 1999-25, Humboldt Universitaet Berlin.
    Other versions:

    Cited by:

    1. U. Küchler & E. Platen, . "Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay," Sonderforschungsbereich 373 2001-30, Humboldt Universitaet Berlin.
      Other versions:
    2. Uwe Küchler & Eckhard Platen, 2007. "Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities," Research Paper Series 195, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    3. H. Gilsing & U. Küchler & E. Platen, . "Über die Stabilität des Euler-Schemas für eine Affine Stochastische Differentialgleichung mit Gedächtnis," Sonderforschungsbereich 373 2001-20, Humboldt Universitaet Berlin.
    4. C. Baker & E. Buckwar, . "Exponential Stability in P-th Mean of Solutions, and of Convergent Euler-type Solutions, of Stochastic Delay Differential Equations," Sonderforschungsbereich 373 2001-94, Humboldt Universitaet Berlin.

  54. E. Platen, . "A Minimal Financial Market Model," Sonderforschungsbereich 373 2000-91, Humboldt Universitaet Berlin.
    Other versions:

    Cited by:

    1. David Heath & Eckhard Platen, 2004. "Understanding the Implied Volatility Surface for Options on a Diversified Index," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 55-77, March. [Downloadable!] (restricted)
      Other versions:
    2. Eckhard Platen & Renata Rendek, 2007. "Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices," Research Paper Series 194, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    3. David Heath & Eckhard Platen, 2004. "Local Volatility Function Models under a Benchmark Approach," Research Paper Series 124, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    4. Hardy Hulley & Shane Miller & Eckhard Platen, 2005. "Benchmarking and Fair Pricing Applied to Two Market Models," Research Paper Series 155, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    5. David Heath & Eckhard Platen, 2002. "Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model," Research Paper Series 78, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    6. Mark Craddock & Eckhard Platen, 2003. "Symmetry Group Methods for Fundamental Solutions and Characteristic Functions," Research Paper Series 90, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    7. Eckhard Platen, 2001. "A Benchmark Model for Financial Markets," Research Paper Series 59, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    8. Ashkan Nikeghbali & Eckhard Platen, 2008. "On honest times in financial modeling," Quantitative Finance Papers 0808.2892, arXiv.org. [Downloadable!]
      Other versions:
    9. Hans Buhlmann & Eckhard Platen, 2002. "A Discrete Time Benchmark Approach for Finance and Insurance," Research Paper Series 74, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    10. Eckhard Platen, 2004. "A Benchmark Approach to Finance," Research Paper Series 138, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    11. Eckhard Platen, 2004. "Diversified Portfolios with Jumps in a Benchmark Framework," Research Paper Series 129, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    12. Eckhard Platen, 2003. "A Benchmark Framework for Risk Management," Research Paper Series 113, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    13. Eckhard Platen, 2004. "Capital Asset Pricing for Markets with Intensity Based Jumps," Research Paper Series 143, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    14. E. Platen, . "Risk Premia and Financial Modelling Without Measure Transformation," Sonderforschungsbereich 373 2000-92, Humboldt Universitaet Berlin.
      Other versions:
    15. David Heath & Eckhard Platen, 2005. "Currency Derivatives under a Minimal Market Model with Random Scaling," Research Paper Series 154, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    16. Eckhard Platen & Wolfgang Runggaldier, 2007. "A Benchmark Approach to Portfolio Optimization under Partial Information," Research Paper Series 191, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    17. Eckhard Platen, 2003. "Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models," Research Paper Series 110, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    18. Eckhard Platen, 2005. "Investments for the Short and Long Run," Research Paper Series 163, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    19. Eckhard Platen, 2006. "On the Pricing and Hedging of Long Dated Zero Coupon Bonds," Research Paper Series 185, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    20. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2007. "Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models," Research Paper Series 198, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    21. Kevin Fergusson & Eckhard Platen, 2006. "On the Distributional Characterization of Daily Log-Returns of a World Stock Index," Applied Mathematical Finance, Taylor and Francis Journals, vol. 13(1), pages 19-38, March. [Downloadable!] (restricted)
    22. Kevin Fergusson & Eckhard Platen, 2005. "On the Distributional Characterization of Log-returns of a World Stock Index," Research Paper Series 153, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    23. Eckhard Platen, 2009. "Real World Pricing of Long Term Contracts," Research Paper Series 262, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  55. E. Platen, . "A Benchmark Model for Financial Markets," Sonderforschungsbereich 373 2001-52, Humboldt Universitaet Berlin.
    Other versions:

    Cited by:

    1. David Heath & Eckhard Platen, 2001. "Perfect Hedging of Index Derivatives Under a Locally Arbitrage Free Minimal Market Model," Research Paper Series 61, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  56. E. Platen, . "Risk Premia and Financial Modelling Without Measure Transformation," Sonderforschungsbereich 373 2000-92, Humboldt Universitaet Berlin.
    Other versions:

    Cited by:

    1. S. Chen & W. Härdle & T. Kleinow, . "An Empirical Likelihood Goodness-of-Fit Test for Time Series," Sonderforschungsbereich 373 2001-1, Humboldt Universitaet Berlin.
      Other versions:
    2. E. Platen, . "A Minimal Financial Market Model," Sonderforschungsbereich 373 2000-91, Humboldt Universitaet Berlin.
      Other versions:
    3. W. Härdle & T. Kleinow & A. Korostelev & C. Logeay, . "Semiparametric Diffusion Estimation and Application to a Stock Market Index," Sonderforschungsbereich 373 2001-24, Humboldt Universitaet Berlin.
    4. Wolfgang Hardle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen, 2001. "Semiparametric Diffusion Estimation and Application to a Stock Market Model," Research Paper Series 51, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  57. U. Küchler & E. Platen, . "Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay," Sonderforschungsbereich 373 2001-30, Humboldt Universitaet Berlin.
    Other versions:

    Cited by:

    1. Uwe Küchler & Eckhard Platen, 2007. "Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities," Research Paper Series 195, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  58. E. Platen & M. Schweizer, . "On Feedback Effects from Hedging Derivatives," Sonderforschungsbereich 373 1997-83, Humboldt Universitaet Berlin.

    Cited by:

    1. Vathana Ly Vath & Mohamed Mnif & Huyên Pham, 2007. "A model of optimal portfolio selection under liquidity risk and price impact," Finance and Stochastics, Springer, vol. 11(1), pages 51-90, January. [Downloadable!] (restricted)
    2. Bertram Düring & Michel Fournié & Ansgar Jüngel, 2001. "High order compact finite difference schemes for a nonlinear Black-Scholes equation," CoFE Discussion Paper 01-07, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    3. Alessandro Beber, 2001. "Determinants of the implied volatility function on the Italian Stock Market," Alea Tech Reports 010, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
    4. P. Bank & D. Baum, . "Hedging and Portfolio Optimization in Illiquid Financial Markets," Sonderforschungsbereich 373 2002-53, Humboldt Universitaet Berlin.
    5. Alessandro Beber, 2001. "Determinants of the implied volatility function on the Italian Stock Market," LEM Papers Series 2001/05, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    6. René Garcia & Richard Luger & Éric Renault, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," CIRANO Working Papers 2001s-01, CIRANO. [Downloadable!]
      Other versions:
    7. Frey, Rüdiger, 1997. "Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility," Discussion Paper Serie B 401, University of Bonn, Germany. [Downloadable!]
    8. Marc Jeannin & Giulia Iori & David Samuel, 2006. "Modeling Stock Pinning," City University Economics Discussion Papers 06/04, Department of Economics, City University, London. [Downloadable!]
      Other versions:
    9. Bertram Düring & Michel Fournié & Ansgar Jüngel, 2004. "Convergence of a high-order compact finite difference scheme for a nonlinear Black-Scholes equation," CoFE Discussion Paper 04-02, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    10. Mariangela Franch, 1998. "La comunicazione on-line. Aspetti metodologici e risultati di alcune sperimentazioni," Quaderni DISA 010, Department of Computer and Management Sciences, University of Trento, Italy.

Articles

  1. Damir Filipović & Eckhard Platen, 2009. "Consistent Market Extensions Under The Benchmark Approach," Mathematical Finance, Blackwell Publishing, vol. 19(1), pages 41-52. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  2. Shane M. Miller & Eckhard Platen, 2008. "Analytic Pricing Of Contingent Claims Under The Real-World Measure," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(08), pages 841-867. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  3. Nicola Bruti-Liberati & Eckhard Platen, 2007. "Approximation of jump diffusions in finance and economics," Computational Economics, Springer, vol. 29(3), pages 283-312, May. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  4. Truc Le & Eckhard Platen, 2006. "Approximating the growth optimal portfolio with a diversified world stock index," Journal of Risk Finance, Emerald Group Publishing, vol. 7(5), pages 559-574, November. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  5. David Heath & Eckhard Platen, 2006. "Local volatility function models under a benchmark approach," Quantitative Finance, Taylor and Francis Journals, vol. 6(3), pages 197-206, June. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  6. Eckhard Platen, 2006. "A Benchmark Approach To Finance," Mathematical Finance, Blackwell Publishing, vol. 16(1), pages 131-151. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  7. Kevin Fergusson & Eckhard Platen, 2006. "On the Distributional Characterization of Daily Log-Returns of a World Stock Index," Applied Mathematical Finance, Taylor and Francis Journals, vol. 13(1), pages 19-38, March. [Downloadable!] (restricted)

    Cited by:

    1. Lux, Thomas, 2008. "Stochastic behavioral asset pricing models and the stylized facts," Economics Working Papers 2008,08, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
    2. Thomas Lux, 2008. "Stochastic Behavioral Asset Pricing Models and the Stylized Facts," Kiel Working Papers 1426, Kiel Institute for the World Economy. [Downloadable!]

  8. Wolfgang Breymann & Leah Kelly & Eckhard Platen, 2005. "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices," Asia-Pacific Financial Markets, Springer, vol. 12(1), pages 1-28, March. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  9. Eckhard Platen, 2005. "An Alternative Interest Rate Term Structure Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(06), pages 717-735. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  10. Eckhard Platen, 2005. "On The Role Of The Growth Optimal Portfolio In Finance," Australian Economic Papers, Blackwell Publishing, vol. 44(4), pages 365-388, December. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  11. Eckhard Platen & Jason West, 2004. "A Fair Pricing Approach to Weather Derivatives," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 23-53, March. [Downloadable!] (restricted)

    Cited by:

    1. Wolfgang Härdle & Brenda López Cabrera, 2009. "Implied Market Price of Weather Risk," SFB 649 Discussion Papers SFB649DP2009-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    2. Hélène Hamisultane, 2008. "Which Method for Pricing Weather Derivatives ?," Working Papers halshs-00355856_v1, HAL. [Downloadable!]

  12. Eckhard Platen, 2004. "Diversified Portfolios with Jumps in a Benchmark Framework," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 1-22, March. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  13. David Heath & Eckhard Platen, 2004. "Understanding the Implied Volatility Surface for Options on a Diversified Index," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 55-77, March. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  14. Eckhard Platen & Wolfgang Runggaldier, 2004. "A Benchmark Approach to Filtering in Finance," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 79-105, March. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  15. Shane Miller & Eckhard Platen, 2004. "A Two-Factor Model for Low Interest Rate Regimes," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 107-133, March. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  16. D. Heath & E. Platen, 2002. "Consistent pricing and hedging for a modified constant elasticity of variance model," Quantitative Finance, Taylor and Francis Journals, vol. 2(6), pages 459-467, June. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  17. David Heath & Eckhard Platen & Martin Schweizer, 2001. "A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets," Mathematical Finance, Blackwell Publishing, vol. 11(4), pages 385-413. [Downloadable!] (restricted)

    Cited by:

    1. Alfredo Ibáñez, 2005. "Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach," Computing in Economics and Finance 2005 216, Society for Computational Economics. [Downloadable!]
    2. Marie-Amélie Morlais, 2009. "Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem," Finance and Stochastics, Springer, vol. 13(1), pages 121-150, January. [Downloadable!] (restricted)
    3. Eckhard Platen & Jason West, 2004. "A Fair Pricing Approach to Weather Derivatives," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 23-53, March. [Downloadable!] (restricted)
    4. Traian A Pirvu & Ulrich G Haussmann, 2007. "On Robust Utility Maximization," Quantitative Finance Papers math/0702727, arXiv.org. [Downloadable!]
    5. Hardy Hulley & T. A. McWalter, 2008. "Quadratic Hedging of Basis Risk," Research Paper Series 225, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    6. Marie-Amelie Morlais, 2006. "Quadratic BSDEs driven by a continuous martingale and application to utility maximization problem," Quantitative Finance Papers math/0610749, arXiv.org, revised Mar 2008. [Downloadable!]
    7. Vicky Henderson, 2002. "Analytical Comparisons of Option prices in Stochastic Volatility Models," OFRC Working Papers Series 2002mf03, Oxford Financial Research Centre. [Downloadable!]
    8. Hélène Hamisultane, 2008. "Which Method for Pricing Weather Derivatives ?," Working Papers halshs-00355856_v1, HAL. [Downloadable!]
    9. Vicky Henderson & David Hobson & Sam Howison & Tino Kluge, 2003. "A Comparison of q-optimal Option Prices in a Stochastic Volatility Model with Correlation," OFRC Working Papers Series 2003mf02, Oxford Financial Research Centre. [Downloadable!]
    10. Eckhard Platen, 2003. "Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models," Research Paper Series 110, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    11. Jan Kallsen & Richard Vierthauer, 2009. "Quadratic hedging in affine stochastic volatility models," Review of Derivatives Research, Springer, vol. 12(1), pages 3-27, April. [Downloadable!] (restricted)

  18. Eckhard Platen, 1999. "A short term interest rate model," Finance and Stochastics, Springer, vol. 3(2), pages 215-225. [Downloadable!] (restricted)

    Cited by:

    1. E. Platen, . "A Minimal Financial Market Model," Sonderforschungsbereich 373 2000-91, Humboldt Universitaet Berlin.
      Other versions:

  19. Simon Hurst & Eckhard Platen & Svetlozar Rachev, 1997. "Subordinated Market Index Models: A Comparison," Asia-Pacific Financial Markets, Springer, vol. 4(2), pages 97-124, May. [Downloadable!] (restricted)

    Cited by:

    1. Mercik, Szymon & Weron, Rafal, 2002. "Origins of scaling in FX markets," MPRA Paper 2294, University Library of Munich, Germany. [Downloadable!]
    2. Yoshio Miyahara & Alexander Novikov, 2001. "Geometric Lévy Process Pricing Model," Research Paper Series 66, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    3. E. Platen, . "A Minimal Financial Market Model," Sonderforschungsbereich 373 2000-91, Humboldt Universitaet Berlin.
      Other versions:
    4. Steven Kou, 2000. "A Jump Diffusion Model for Option Pricing with Three Properties: Leptokurtic Feature, Volatility Smile, and Analytical Tractability," Econometric Society World Congress 2000 Contributed Papers 0062, Econometric Society. [Downloadable!]
    5. Gao, Jiti, 2002. "Modeling long-range dependent Gaussian processes with application in continuous-time financial models," MPRA Paper 11973, University Library of Munich, Germany, revised 18 Sep 2003. [Downloadable!]

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