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Publications

by members of

Quantitative Finance Research Centre
Finance Discipline Group
Business School
University of Technology Sydney
Sydney, Australia

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Books | Chapters |

Working papers

Undated material is listed at the end

2021

  1. Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2021. "Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach," Working Papers 06/2021, University of Verona, Department of Economics.

2020

  1. Christina Sklibosios Nikitopoulos & Alice Thomas & Jianxin Wang, 2020. "The Economic Impact of Volatility Persistence on Energy Markets," Research Paper Series 417, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Muthe Mathias Mwampashi & Christina Sklibosios Nikitopoulos & Otto Konstandatos & Alan Rai, 2020. "Wind Generation and the Dynamics of Electricity Prices in Australia," Research Paper Series 416, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Mesias Alfeus & Christina Sklibosios Nikitopoulos, 2020. "Forecasting Commodity Markets Volatility: HAR or Rough?," Research Paper Series 415, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Giovanni Barone-Adesi & Eckhard Platen & Carlo Sala, 2020. "On the Use of Equities in Target Date Funds," Swiss Finance Institute Research Paper Series 20-24, Swiss Finance Institute.
  5. Eckhard Platen & Stefan Tappe, 2020. "No arbitrage and multiplicative special semimartingales," Papers 2005.05575, arXiv.org, revised Sep 2022.
  6. Eckhard Platen & Stefan Tappe, 2020. "No-arbitrage concepts in topological vector lattices," Papers 2005.04923, arXiv.org, revised Apr 2021.
  7. Eckhard Platen & Stefan Tappe, 2020. "Existence of equivalent local martingale deflators in semimartingale market models," Papers 2006.01572, arXiv.org.
  8. Ralph Rudd & Thomas A. McWalter & Joerg Kienitz & Eckhard Platen, 2020. "Robust Product Markovian Quantization," Papers 2006.15823, arXiv.org.
  9. Eckhard Platen & Stefan Tappe, 2020. "The Fundamental Theorem of Asset Pricing for Self-Financing Portfolios," Research Paper Series 411, Quantitative Finance Research Centre, University of Technology, Sydney.
  10. Eckhard Platen, 2020. "Stochastic Modelling of the COVID-19 Epidemic," Research Paper Series 409, Quantitative Finance Research Centre, University of Technology, Sydney.
  11. Eckhard Platen & Stefan Tappe, 2020. "Exploiting arbitrage requires short selling," Papers 2011.12523, arXiv.org, revised Sep 2022.
  12. Giovanni Barone Adesi & Eckhard Platen & Carlo Sala, 2020. "On Using Equities to Produce Pension Payouts," Research Paper Series 413, Quantitative Finance Research Centre, University of Technology, Sydney.
  13. Otto Konstandatos, 2020. "Fair-value Analytical Valuation of Reset Executive Stock Options Consistent with IFRS9 Requirements," Research Paper Series 418, Quantitative Finance Research Centre, University of Technology, Sydney.

2019

  1. Boda Kang & Christina Nikitopoulos Sklibosios & Erik Schlogl & Blessing Taruvinga, 2019. "The Impact of Jumps on American Option Pricing: The S&P 100 Options Case," Research Paper Series 397, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Boda Kang & Christina Sklibosios Nikitopoulos & Marcel Prokopczuk, 2019. "Economic Determinants of Oil Futures Volatility: A Term Structure Perspective," Research Paper Series 401, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Jin Sun & Kevin Fergusson & Eckhard Platen & Pavel V. Shevchenko, 2019. "Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach," Papers 1906.01320, arXiv.org.
  4. Jin Sun & Eckhard Platen, 2019. "Benchmarked Risk Minimizing Hedging Strategies for Life Insurance Policies," Research Paper Series 399, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Eckhard Platen & Renata Rendek, 2019. "Dynamics of a Well-Diversified Equity Index," Research Paper Series 398, Quantitative Finance Research Centre, University of Technology, Sydney.

2018

  1. Blessing Taruvinga & Boda Kang & Christina Sklibosios Nikitopoulos, 2018. "Pricing American Options with Jumps in Asset and Volatility," Research Paper Series 394, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Ralph Rudd & Thomas A. McWalter & Joerg Kienitz & Eckhard Platen, 2018. "Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts," Papers 1801.07044, arXiv.org, revised Jan 2018.
  3. Otto Konstandatos, 2018. "Methods for Analytical Barrier Option Pricing with Multiple Exponential Time-Varying Boundaries," Research Paper Series 396, Quantitative Finance Research Centre, University of Technology, Sydney.

2017

  1. T. A. McWalter & R. Rudd & J. Kienitz & E. Platen, 2017. "Recursive Marginal Quantization of Higher-Order Schemes," Papers 1701.02681, arXiv.org.
  2. Eckhard Platen & Renata Rendek, 2017. "Market Efficiency and Growth Optimal Portfolio," Papers 1706.06832, arXiv.org.
  3. Claudio Fontana & Markus Pelger & Eckhard Platen, 2017. "On the existence of sure profits via flash strategies," Papers 1708.03099, arXiv.org, revised Jul 2019.
  4. Claudio Fontana & Markus Pelger & Eckhard Platen, 2017. "Sure Profits via Flash Strategies and the Impossibility of Predictable Jumps," Research Paper Series 385, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Ralph Rudd & Thomas A. McWalter & Joerg Kienitz & Eckhard Platen, 2017. "Fast Quantization of Stochastic Volatility Models," Papers 1704.06388, arXiv.org.
  6. Kevin Fergusson & Eckhard Platen, 2017. "Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity," Papers 1711.02808, arXiv.org.
  7. Dietmar P.J. Leisen & Eckhard Platen, 2017. "Investing for the Long Run," Research Paper Series 381, Quantitative Finance Research Centre, University of Technology, Sydney.

2016

  1. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016. "Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?," Research Paper Series 367, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Carl Chiarella & Christina Nikitopoulos-Sklibosios & Erik Schlogl & Hongang Yang, 2016. "Pricing American Options under Regime Switching Using Method of Lines," Research Paper Series 368, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016. "Hedging Futures Options with Stochastic Interest Rates," Research Paper Series 375, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016. "Empirical Hedging Performance on Long-Dated Crude Oil Derivatives," Research Paper Series 376, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2016. "A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds," Papers 1608.04683, arXiv.org, revised Mar 2018.
  6. Jan Baldeaux & Katja Ignatieva & Eckhard Platen, 2016. "Detecting Money Market Bubbles," Research Paper Series 378, Quantitative Finance Research Centre, University of Technology, Sydney.
  7. Eckhard Platen & David Taylor, 2016. "Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts," Research Paper Series 379, Quantitative Finance Research Centre, University of Technology, Sydney.
  8. Leunglung Chan & Eckhard Platen, 2016. "Pricing of long dated equity-linked life insurance contracts," Published Paper Series 2016-5, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

2015

  1. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2015. "Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates," Research Paper Series 366, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Kevin Fergusson & Eckhard Platen, 2015. "Less Expensive Pricing and Hedging of Long-Dated Equity Index Options When Interest Rates are Stochastic," Research Paper Series 357, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Kevin Fergusson & Eckhard Platen, 2015. "Application of Maximum Likelihood Estimation to Stochastic Short Rate Models," Research Paper Series 361, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Leunglung Chan & Eckhard Platen, 2015. "Pricing Volatility Derivatives Under the Modified Constant Elasticity of Variance Model," Research Paper Series 360, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Mathias Barkhagen & Jörgen Blomvall & Eckhard Platen, 2015. "Recovering the Real-World Density and Liquidity Premia From Option Data," Research Paper Series 363, Quantitative Finance Research Centre, University of Technology, Sydney.
  6. Eckhard Platen & Steffan Tappe, 2015. "Real-World Forward Rate Dynamics With Affine Realizations," Published Paper Series 2015-7, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  7. Leunglung Chan & Eckhard Platen, 2015. "Pricing and hedging of long dated variance swaps under a 3/2 volatility model," Published Paper Series 2015-6, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  8. Otto Konstandatos & Timothy Kyng & Tobias Bienek, 2015. "Valuation of Employee Stock Options using the Exercise Multiple Approach and Life Tables," Research Paper Series 355, Quantitative Finance Research Centre, University of Technology, Sydney.
  9. Otto Konstandatos, 2015. "Third Order Compound Option Valuation Of Flexible Commodity Based Mining Enterprises," Published Paper Series 2015-5, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

2014

  1. Jan Baldeaux & Man Chung Fung & Katja Ignatieva & Eckhard Platen, 2014. "A Hybrid Model for Pricing and Hedging of Long Dated Bonds," Research Paper Series 343, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. David Heath & Eckhard Platen, 2014. "A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model," Research Paper Series 350, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Kevin Fergusson & Eckhard Platen, 2014. "Stylised Properties of the Interest Rate Term Structure Under The Benchmark Approach," Research Paper Series 351, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Jason West & Eckhard Platen, 2014. "Natural Disasters, Insurance Stocks and the Numeraire Portfolio," Published Paper Series 2014-8, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  5. Kevin Fergusson & Eckhard Platen, 2014. "Hedging long-dated interest rate derivatives for Australian pension funds and life insurers," Published Paper Series 2014-7, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  6. Timothy J Kyng & Otto Konstandatos, 2014. "Multivariate Monte-Carlo Simulation and Economic Valuation of Complex Financial Contracts: An Excel Based Implementation," Published Paper Series 2014-6, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  7. Carl Chiarella & Xue-Zhong He & Lei Shi & Lijian Wei, 2014. "A Behavioural Model of Investor Sentiment in Limit Order Markets," Research Paper Series 342, Quantitative Finance Research Centre, University of Technology, Sydney.

2013

  1. Carl Chiarella & Boda Kang & Christina Sklibosios Nikitopoulos & Thuy-Duong To, 2013. "The Return-Volatility Relation in Commodity Futures Markets," Research Paper Series 336, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Jan Baldeaux & Eckhard Platen, 2013. "Liability Driven Investments under a Benchmark Based Approach," Research Paper Series 325, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Jan Baldeaux & Eckhard Platen, 2013. "Credit Derivative Evaluation and CVA under the Benchmark Approach," Research Paper Series 324, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Kevin Fergusson & Eckhard Platen, 2013. "Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees," Research Paper Series 338, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Jeff Dewynne & Nadima El-Hassan, 2013. "Self-funding Instalment Warrants," Research Paper Series 339, Quantitative Finance Research Centre, University of Technology, Sydney.
  6. Lijian Wei & Wei Zhang & Xue-Zhong He & Yongjie Zhang, 2013. "Learning and Information Dissemination in Limit Order Markets," Research Paper Series 333, Quantitative Finance Research Centre, University of Technology, Sydney.
  7. Carl Chiarella & Xue-Zhong He & Lijian Wei, 2013. "Learning and Evolution of Trading Strategies in Limit Order Markets," Research Paper Series 335, Quantitative Finance Research Centre, University of Technology, Sydney.

2012

  1. Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2012. "Alternative Term Structure Models for Reviewing Expectations Puzzles," Research Paper Series 305, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Carl Chiarella & Boda Kang & Christina Nikitopoulos-Sklibosios & Thuy-Duong To, 2012. "Humps in the Volatility Structure of the Crude Oil Futures Market," Research Paper Series 308, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Jan Baldeaux & Eckhard Platen, 2012. "Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods," Papers 1204.1126, arXiv.org.
  4. Constantinos Kardaras & Jan Obloj & Eckhard Platen, 2012. "The numeraire property and long-term growth optimality for drawdown-constrained investments," Papers 1206.2305, arXiv.org, revised Nov 2012.
  5. Francesca Biagini & Alessandra Cretarola & Eckhard Platen, 2012. "Local Risk-Minimization under the Benchmark Approach," Papers 1210.2337, arXiv.org.
  6. Jan Baldeaux & Katja Ignatieva & Eckhard Platen, 2012. "A Tractable Model for Indices Approximating the Growth Optimal Portfolio," Research Paper Series 318, Quantitative Finance Research Centre, University of Technology, Sydney.
  7. Ke Du & Eckhard Platen & Renata Rendek, 2012. "Modeling of Oil Prices," Research Paper Series 321, Quantitative Finance Research Centre, University of Technology, Sydney.
  8. Eckhard Platen & Renata Rendek, 2012. "The Affine Nature of Aggregate Wealth Dynamics," Research Paper Series 322, Quantitative Finance Research Centre, University of Technology, Sydney.
  9. Patrick Cheridito & Ashkan Nikeghbali & Eckhard Platen, 2012. "Processes of Class Sigma, Last Passage Times, and Drawdowns," Published Paper Series 2012-4, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  10. Otto Konstandatos & Timothy J Kyng, 2012. "Real Options Analysis for Commodity Based Mining Enterprises with Compound and Barrier Features," Published Paper Series 2012-3, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  11. Jan Baldeaux & Dale Roberts, 2012. "Quasi-Monte Carlo methods for the Heston model," Papers 1202.3217, arXiv.org, revised May 2012.
  12. Jan Baldeaux & Alexander Badran, 2012. "Consistent Modeling of VIX and Equity Derivatives Using a 3/2 Plus Jumps Model," Research Paper Series 306, Quantitative Finance Research Centre, University of Technology, Sydney.
  13. Michael Gnewuch & Jan Baldeaux, 2012. "Optimal Randomized Multilevel Algorithms for Infinite-Dimensional Integration on Function Spaces with ANOVA-Type Decomposition," Research Paper Series 313, Quantitative Finance Research Centre, University of Technology, Sydney.

2011

  1. Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos-Sklibosios, 2011. "Credit Derivative Pricing with Stochastic Volatility Models," Research Paper Series 293, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Eckhard Platen & Stefan Tappe, 2011. "Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics," Research Paper Series 289, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Zhi Guo & Eckhard Platen, 2011. "The Small and Large Time Implied Volatilities in the Minimal Market Model," Papers 1109.6154, arXiv.org, revised Oct 2011.
  4. Ke Du & Eckhard Platen, 2011. "Three-Benchmarked Risk Minimization for Jump Diffusion Markets," Research Paper Series 296, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Jan Baldeaux, 2011. "Exact Simulation of the 3/2 Model," Papers 1105.3297, arXiv.org, revised May 2011.

2010

  1. Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos-Sklibosios, 2010. "Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility," Research Paper Series 283, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Leunglung Chan & Eckhard Platen, 2010. "Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model," Papers 1007.2968, arXiv.org, revised Jan 2011.
  3. Eckhard Platen & Renata Rendek, 2010. "Approximating the Numeraire Portfolio by Naive Diversification," Research Paper Series 281, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Katja Ignatieva & Eckhard Platen & Renata Rendek, 2010. "Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index," Research Paper Series 284, Quantitative Finance Research Centre, University of Technology, Sydney.

2009

  1. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlogl, 2009. "Alternative Defaultable Term Structure Models," Research Paper Series 242, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Mark Craddock & Eckhard Platen, 2009. "On Explicit Probability Laws for Classes of Scalar Diffusions," Research Paper Series 246, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Eckhard Platen & Willi Semmler, 2009. "Asset Markets and Monetary Policy," Research Paper Series 247, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Constantinos Kardaras & Eckhard Platen, 2009. "On the Dybvig-Ingersoll-Ross Theorem," Papers 0901.2080, arXiv.org, revised Mar 2010.
  5. Wolfgang Breymann & David Lüthi & Eckhard Platen, 2009. "Empirical Behavior of a World Stock Index from Intra-Day to Monthly Time Scales," Research Paper Series 250, Quantitative Finance Research Centre, University of Technology, Sydney.
  6. 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.
  7. 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.
  8. Eckhard Platen, 2009. "A Benchmark Approach to Investing and Pricing," Research Paper Series 253, Quantitative Finance Research Centre, University of Technology, Sydney.
  9. Hardy Hulley & Eckhard Platen, 2009. "A Visual Criterion for Identifying Ito Diffusions as Martingales or Strict Local Martingales," Research Paper Series 263, Quantitative Finance Research Centre, University of Technology, Sydney.
  10. Eckhard Platen, 2009. "Real World Pricing of Long Term Contracts," Research Paper Series 262, Quantitative Finance Research Centre, University of Technology, Sydney.
  11. Katja Ignatieva & Eckhard Platen, 2009. "Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae," Research Paper Series 265, Quantitative Finance Research Centre, University of Technology, Sydney.
  12. Eckhard Platen & Renata Rendek, 2009. "Simulation of Diversified Portfolios in a Continuous Financial Market," Research Paper Series 264, Quantitative Finance Research Centre, University of Technology, Sydney.
  13. Stefan Mittnik & Edward Nell & Eckhard Platen & Willi Semmler & Raphaele Chappe, 2009. "Financial market meltdown and a need for new financial regulations," Published Paper Series 2009-8, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  14. Teresa Ghilarducci & Edward Nell & Stefan Mittnik & Eckhard Platen & Willi Semmler & Raphaele Chappe, 2009. "Memorandum on a new financial architecture and new regulations," Published Paper Series 2009-7, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

2008

  1. Allan Brace & Mark Lauer & Milo Rado, 2008. "A Stylised Model for Extreme Shocks: Four Moments of the Apocalypse," Research Paper Series 224, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. 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.
  3. 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.
  4. Eckhard Platen, 2008. "The Law of Minimal Price," Research Paper Series 215, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Eckhard Platen & Hardy Hulley, 2008. "Hedging for the Long Run," Research Paper Series 214, Quantitative Finance Research Centre, University of Technology, Sydney.
  6. 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.
  7. 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.
  8. Ashkan Nikeghbali & Eckhard Platen, 2008. "On Honest Times in Financial Modeling," Research Paper Series 229, Quantitative Finance Research Centre, University of Technology, Sydney.
  9. Eckhard Platen, 2008. "A Unifying Approach to Asset Pricing," Research Paper Series 227, Quantitative Finance Research Centre, University of Technology, Sydney.
  10. 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.
  11. 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.
  12. 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.
  13. Constantinos Kardaras & Eckhard Platen, 2008. "Multiplicative Approximation of Wealth Processes Involving No-Short-Sale Strategies," Research Paper Series 240, Quantitative Finance Research Centre, University of Technology, Sydney.
  14. Hardy Hulley & Eckhard Platen, 2008. "A Visual Classification of Local Martingales," Research Paper Series 238, Quantitative Finance Research Centre, University of Technology, Sydney.
  15. Shane M Miller & Eckhard Platen, 2008. "Real World Pricing for a Modified Constant Elasticity of Variance Model," Research Paper Series 237, Quantitative Finance Research Centre, University of Technology, Sydney.
  16. Constantinos Kardaras & Eckhard Platen, 2008. "On the semimartingale property of discounted asset-price processes," Papers 0803.1890, arXiv.org, revised Nov 2009.

2007

  1. 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.
  2. Damir Filipovic & Eckhard Platen, 2007. "Consistent Market Extensions under the Benchmark Approach," Research Paper Series 189, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. Carl Chiarella & Eckhard Platen, 2007. "The History of the Quantitative Methods in Finance Conference Series. 1992-2007," Research Paper Series 207, Quantitative Finance Research Centre, University of Technology, Sydney.
  8. NicolaBruti-Liberati & Eckhard Platen, 2007. "Strong approximations of stochastic differential equations with jumps," Published Paper Series 2007-7, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  9. James McCulloch & Vladimir Kazakov, 2007. "Optimal VWAP Trading Strategy and Relative Volume," Research Paper Series 201, Quantitative Finance Research Centre, University of Technology, Sydney.

2006

  1. 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.
  2. 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.
  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.
  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.
  5. Eckhard Platen, 2006. "A benchmark approach to asset management," Published Paper Series 2006-4, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

2005

  1. Carl Chiarella & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2005. "A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps," Research Paper Series 167, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. Eckhard Platen, 2005. "Investments for the Short and Long Run," Research Paper Series 163, Quantitative Finance Research Centre, University of Technology, Sydney.
  10. 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.
  11. James McCulloch, 2005. "Relative Volume as a Doubly Stochastic Binomial Point Process," Research Paper Series 146, Quantitative Finance Research Centre, University of Technology, Sydney.

2004

  1. Carl Chiarella & Erik Schlögl & Christina Nikitopoulos-Sklibosios, 2004. "A Markovian Defaultable Term Structure Model with State Dependent Volatilities," Research Paper Series 135, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Carl Chiarella & Christina Nikitopoulos-Sklibosios, 2004. "A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework," Research Paper Series 132, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. 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.
  4. 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.
  5. 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.
  6. Eckhard Platen, 2004. "Diversified Portfolios with Jumps in a Benchmark Framework," Research Paper Series 129, Quantitative Finance Research Centre, University of Technology, Sydney.
  7. 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.
  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.
  9. Eckhard Platen, 2004. "A Benchmark Approach to Finance," Research Paper Series 138, Quantitative Finance Research Centre, University of Technology, Sydney.
  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.
  11. 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.
  12. 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.
  13. Eckhard Platen, 2004. "A class of complete benchmark models with intensity-based jumps," Published Paper Series 2004-5, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  14. David Colwell & Nadima El-Hassan & Oh-Kang Kwon, 2004. "Hedging Diffusion Processes by Local Risk-Minimisation with Applications to Index Tracking," Research Paper Series 119, Quantitative Finance Research Centre, University of Technology, Sydney.
  15. Carl Chiarella & Nadima El-Hassan & Adam Kucera, 2004. "Evaluation of Point Barrier Options in a Path Integral Framework Using Fourier-Hermite Expansions," Research Paper Series 126, Quantitative Finance Research Centre, University of Technology, Sydney.

2003

  1. Christina Nikitopoulos-Sklibosios & Carl Chiarella, 2003. "An Implementation of the Shirakawa Jump-Diffusion Term Structure Model," Computing in Economics and Finance 2003 201, Society for Computational Economics.
  2. Eckhard Platen, 2003. "Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models," Research Paper Series 110, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. 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.
  4. Eckhard Platen, 2003. "A Benchmark Framework for Risk Management," Research Paper Series 113, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. 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.
  6. Eckhard Platen & Jason West, 2003. "Fair Pricing of Weather Derivatives," Research Paper Series 106, Quantitative Finance Research Centre, University of Technology, Sydney.
  7. Eckhard Platen, 2003. "Diversified Portfolios in a Benchmark Framework," Research Paper Series 87, Quantitative Finance Research Centre, University of Technology, Sydney.
  8. 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.
  9. Eckhard Platen, 2003. "An Alternative Interest Rate Term Structure Model," Research Paper Series 97, Quantitative Finance Research Centre, University of Technology, Sydney.
  10. 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.
  11. Leah Kelly & Eckhard Platen & Michael Sorensen, 2003. "Estimating for Discretely Observed Diffusions Using Transform Functions," Research Paper Series 96, Quantitative Finance Research Centre, University of Technology, Sydney.
  12. Nadima El-Hassan & Paul Kofman, 2003. "Tracking Error and Active Portfolio Management," Research Paper Series 98, Quantitative Finance Research Centre, University of Technology, Sydney.

2002

  1. 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.
  2. 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.
  3. Eckhard Platen & Wolfgang Runggaldier, 2002. "A Benchmark Approach to Filtering in Finance," Research Paper Series 77, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. 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.
  5. Eckhard Platen, 2002. "Benchmark Model with Intensity Based Jumps," Research Paper Series 81, Quantitative Finance Research Centre, University of Technology, Sydney.
  6. Eckhard Platen, 2002. "A Benchmark Framework for Integrated Risk Management," Research Paper Series 82, Quantitative Finance Research Centre, University of Technology, Sydney.
  7. Carl Chiarella & Mark Craddock & Nadima El-Hassan, 2002. "A Short Time Expansion of the Volatility Function For The Calibration of Option Pricing Models," Computing in Economics and Finance 2002 261, Society for Computational Economics.
  8. Carl Chiarella & Nadima El-Hassan & Adam Kucera, 2002. "The Pricing of Multifactor Derivative Securities in a Path-Integral Framework using Multidimensional Fourier-Hermite Series Expansions," Computing in Economics and Finance 2002 292, Society for Computational Economics.

2001

  1. Eckhard Platen, 2001. "A Benchmark Model for Financial Markets," Research Paper Series 59, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Eckhard Platen, 2001. "Arbitrage in Continuous Complete Markets," Research Paper Series 72, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Mark Craddock & Eckhard Platen, 2001. "Benchmark Pricing of Credit Derivatives Under a Standard Market Model," Research Paper Series 60, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. 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.
  5. Wolfgang Hardle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen, 2001. "Semiparametric Diffusion Estimation and Application to a Stock Market Index," Research Paper Series 51, Quantitative Finance Research Centre, University of Technology, Sydney.
  6. 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.
  7. Eckhard Platen, 2001. "A Minimal Financial Market Model," Research Paper Series 48, Quantitative Finance Research Centre, University of Technology, Sydney.
  8. 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.
  9. Gilsing, Hagen & Küchler, Uwe & Platen, Eckhard, 2001. "Über die stabilität des Euler-Schemas für eine Affine Stochastische Differentialgleichung mit Gedächtnis," SFB 373 Discussion Papers 2001,20, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  10. David Heath & Eckhard Platen & Martin Schweizer, 2001. "Numerical Comparison of Local Risk-Minimisation & Mean-Variance Hedging," Published Paper Series 2001-3, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

2000

  1. Eckhard Platen, 2000. "Risk Premia and Financial Modelling Without Measure Transformation," Research Paper Series 45, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. 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.
  3. Ram Bhar & Carl Chiarella & Nadima El-Hassan & Xiaosu Zheng, 2000. "The Reduction of Forward Rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Option," Research Paper Series 36, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Carl Chiarella & Mark Craddock & Nadima El-Hassan, 2000. "The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology," Research Paper Series 39, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Carl Chiarella, Nadima El-Hassan & Adam Kucera, 2000. "The Evaluation Of Multiasset European And American Options Via Fourier Hermite Series Expansions," Computing in Economics and Finance 2000 287, Society for Computational Economics.

1999

  1. 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.
  2. Eckhard Platen, 1999. "An Introduction to Numerical Methods for Stochastic Differential Equations," Research Paper Series 6, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. 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.
  4. Eckhard Platen, 1999. "A Financial Market Model with Trading Volume and Stochastic Volatility," Research Paper Series 15, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Robert Elliott & Eckhard Platen, 1999. "Hidden Markov Chain Filtering for Generalised Bessel Processes," Research Paper Series 23, Quantitative Finance Research Centre, University of Technology, Sydney.
  6. Eckhard Platen, 1999. "A Financial Market Model," Research Paper Series 9, Quantitative Finance Research Centre, University of Technology, Sydney.
  7. David Heath & Simon 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.
  8. Paul 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.
  9. Simon Hurst & Eckhard Platen, 1999. "On the Marginal Distribution of Trade Weighted Currency Indices," Research Paper Series 8, Quantitative Finance Research Centre, University of Technology, Sydney.
  10. John van der Hoek & Eckhard Platen, 1999. "Pricing and Hedging in the Presence of Transaction Costs Under Local Risk Minimisation," Research Paper Series 14, Quantitative Finance Research Centre, University of Technology, Sydney.
  11. Eckhard Platen, 1999. "A Minimal Share Market Model with Stochastic Volatility," Research Paper Series 21, Quantitative Finance Research Centre, University of Technology, Sydney.
  12. Robert Elliott & Paul 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.
  13. S. R. Hurst & Eckhard Platen & S. T. Rachev, 1999. "Option pricing for a logstable asset price model," Published Paper Series 1999-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  14. Eckhard Platen, 1999. "Axiomatic principles for a market model," Published Paper Series 1999-3, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  15. Carl Chiarella & Nadima El-Hassan, 1999. "Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines," Research Paper Series 12, Quantitative Finance Research Centre, University of Technology, Sydney.

1998

  1. David Heath & Eckhard Platen & M. Schweizer, 1998. "Comparison of Some Key Approaches to Hedging in Incomplete Markets," Research Paper Series 1, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. G. N. Milstein & Eckhard Platen & H. Schurz, 1998. "Balanced Implicit Methods for Stiff Stochastic Systems," Published Paper Series 1998-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

1997

  1. Platen, E. & Schweizer, M., 1997. "On Feedback Effects from Hedging Derivatives," SFB 373 Discussion Papers 1997,83, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  2. Carl Chiarella & Nadima El-Hassan, 1997. "A Survey of Models for the Pricing of Interest Rate Derivatives," Working Paper Series 75, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  3. Carl Chiarella & Nadima El-Hassan, 1997. "Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques," Working Paper Series 72, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

1996

  1. P. E. Kloeden & Eckhard Platen & H. Schurz & M. Sørensen, 1996. "On effects of discretization on estimators of drift parameters for diffusion processes," Published Paper Series 1996-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  2. David Heath & Eckhard Platen, 1996. "Valuation of FX barrier options under stochastic volatility," Published Paper Series 1996-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  3. Eckhard Platen & Rolando Rebolledo, 1996. "Principles for modelling financial markets," Published Paper Series 1996-3, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  4. Carl Chiarella & Nadima El-Hassan, 1996. "A Preference Free Partial Differential Equation for the Term Structure of Interest Rates," Working Paper Series 63, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

1995

  1. P. E. Kloeden & Eckhard Platen & N. Hofmann, 1995. "Extrapolation Methods For The Weak Approximation Of Ito Diffusions," Published Paper Series 1995-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

1994

  1. Eckhard Platen & Rolando Rebolledo, 1994. "Pricing via anticipative stochastic calculus," Published Paper Series 1994-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  2. N. Hofmann & Eckhard Platen, 1994. "Stability of weak numerical schemes for stochastic differential equations," Published Paper Series 1994-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

1992

  1. P. E. Kloeden & Eckhard Platen, 1992. "Higher-order implicit strong numerical schemes for stochastic differential equations," Published Paper Series 1992-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  2. P. E. Kloeden & Eckhard Platen & I. W. Wright, 1992. "The approximation of multiple stochastic integrals," Published Paper Series 1992-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

1991

  1. Remigijus Mikulevicius & Eckhard Platen, 1991. "Rate of Convergence of the Euler Approximation for Diffusion Processes," Published Paper Series 1991-3, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  2. P. E. Kloeden & Eckhard Platen, 1991. "Relations between multiple ito and stratonovich integrals," Published Paper Series 1991-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  3. P. E. Kloeden & Eckhard Platen, 1991. "Stratonovich and Ito Stochastic Taylor Expansions," Published Paper Series 1991-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

1989

  1. P. E. Kloeden & Eckhard Platen, 1989. "A survey of numerical methods for stochastic differential equations," Published Paper Series 1989-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

1988

  1. Remigijus Mikulevicius & Eckhard Platen, 1988. "Time Discrete Taylor Approximations for Ito Processes with Jump Component," Published Paper Series 1988-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

Undated

  1. Carl Chiarella, Nadima El-Hassan, & Adam Kucera, "undated". "Option Pricing in a Path Integral Framework Using Fourier-Hermite Series Expansions," Computing in Economics and Finance 1997 132, Society for Computational Economics.

Journal articles

2022

  1. Alfeus, Mesias & Nikitopoulos, Christina Sklibosios, 2022. "Forecasting volatility in commodity markets with long-memory models," Journal of Commodity Markets, Elsevier, vol. 28(C).
  2. Mwampashi, Muthe Mathias & Nikitopoulos, Christina Sklibosios & Rai, Alan & Konstandatos, Otto, 2022. "Large-scale and rooftop solar generation in the NEM: A tale of two renewables strategies," Energy Economics, Elsevier, vol. 115(C).
  3. Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2022. "Calibration to FX triangles of the 4/2 model under the benchmark approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 1-34, June.

2021

  1. Mwampashi, Muthe Mathias & Nikitopoulos, Christina Sklibosios & Konstandatos, Otto & Rai, Alan, 2021. "Wind generation and the dynamics of electricity prices in Australia," Energy Economics, Elsevier, vol. 103(C).
  2. Sun, Jin & Zhu, Dan & Platen, Eckhard, 2021. "Dynamic Asset Allocation For Target Date Funds Under The Benchmark Approach," ASTIN Bulletin, Cambridge University Press, vol. 51(2), pages 449-474, May.

2020

  1. Kang, Boda & Nikitopoulos, Christina Sklibosios & Prokopczuk, Marcel, 2020. "Economic determinants of oil futures volatility: A term structure perspective," Energy Economics, Elsevier, vol. 88(C).
  2. Eckhard Platen & Renata Rendek, 2020. "Approximating The Growth Optimal Portfolio And Stock Price Bubbles," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(07), pages 1-33, November.
  3. Konstandatos, Otto, 2020. "Fair-value analytical valuation of reset executive stock options consistent with IFRS9 requirements," Annals of Actuarial Science, Cambridge University Press, vol. 14(1), pages 188-218, March.

2019

  1. Benjamin Cheng & Christina Sklibosios Nikitopoulos & Erik Schlögl, 2019. "Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 109-127, January.

2018

  1. Cheng, Benjamin & Nikitopoulos, Christina Sklibosios & Schlögl, Erik, 2018. "Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 148-166.
  2. Baldeaux, Jan & Ignatieva, Katja & Platen, Eckhard, 2018. "Detecting money market bubbles," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 369-379.
  3. T. A. McWalter & R. Rudd & J. Kienitz & E. Platen, 2018. "Recursive marginal quantization of higher-order schemes," Quantitative Finance, Taylor & Francis Journals, vol. 18(4), pages 693-706, April.

2017

  1. Nikitopoulos, Christina Sklibosios & Squires, Matthew & Thorp, Susan & Yeung, Danny, 2017. "Determinants of the crude oil futures curve: Inventory, consumption and volatility," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 53-67.
  2. Constantinos Kardaras & Jan Obłój & Eckhard Platen, 2017. "The Numéraire Property And Long-Term Growth Optimality For Drawdown-Constrained Investments," Mathematical Finance, Wiley Blackwell, vol. 27(1), pages 68-95, January.

2016

  1. Carl Chiarella & Boda Kang & Christina Sklibosios Nikitopoulos & Thuy‐Duong Tô, 2016. "The Return–Volatility Relation in Commodity Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(2), pages 127-152, February.
  2. Ke Du & Eckhard Platen, 2016. "Benchmarked Risk Minimization," Mathematical Finance, Wiley Blackwell, vol. 26(3), pages 617-637, July.
  3. Mathias Barkhagen & Jörgen Blomvall & Eckhard Platen, 2016. "Recovering the real-world density and liquidity premia from option data," Quantitative Finance, Taylor & Francis Journals, vol. 16(7), pages 1147-1164, July.
  4. Kyng, T. & Konstandatos, O. & Bienek, T., 2016. "Valuation of employee stock options using the exercise multiple approach and life tables," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 17-26.

2015

  1. Baldeaux, Jan & Grasselli, Martino & Platen, Eckhard, 2015. "Pricing currency derivatives under the benchmark approach," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 34-48.
  2. Jan Baldeaux & Eckhard Platen, 2015. "Credit Derivative Evaluation and CVA Under the Benchmark Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 22(3), pages 305-331, September.
  3. Jan Baldeaux & Fung & Katja Ignatieva & Eckhard Platen, 2015. "A Hybrid Model for Pricing and Hedging of Long-dated Bonds," Applied Mathematical Finance, Taylor & Francis Journals, vol. 22(4), pages 366-398, September.
  4. K. Fergusson & E. Platen, 2015. "Application Of Maximum Likelihood Estimation To Stochastic Short Rate Models," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-26, December.

2014

  1. Baldeaux Jan & Ignatieva Katja & Platen Eckhard, 2014. "A tractable model for indices approximating the growth optimal portfolio," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(1), pages 1-21, February.

2013

  1. Chiarella, Carl & Kang, Boda & Nikitopoulos, Christina Sklibosios & Tô, Thuy-Duong, 2013. "Humps in the volatility structure of the crude oil futures market: New evidence," Energy Economics, Elsevier, vol. 40(C), pages 989-1000.
  2. Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos Sklibosios, 2013. "Credit Derivatives Pricing With Stochastic Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(04), pages 1-28.
  3. Ashkan Nikeghbali & Eckhard Platen, 2013. "A reading guide for last passage times with financial applications in view," Finance and Stochastics, Springer, vol. 17(3), pages 615-640, July.
  4. Eckhard Platen & Lei Shi, 2013. "On the numerical stability of simulation methods for SDEs under multiplicative noise in finance," Quantitative Finance, Taylor & Francis Journals, vol. 13(2), pages 183-194, January.

2012

  1. Ignatieva, Katja & Platen, Eckhard, 2012. "Estimating the diffusion coefficient function for a diversified world stock index," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 1333-1349.
  2. Zhi Jun Guo & Eckhard Platen, 2012. "The Small And Large Time Implied Volatilities In The Minimal Market Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-23.
  3. Eckhard Platen & Renata Rendek, 2012. "Approximating the numéraire portfolio by naive diversification," Journal of Asset Management, Palgrave Macmillan, vol. 13(1), pages 34-50, February.

2011

  1. Kardaras, Constantinos & Platen, Eckhard, 2011. "On the semimartingale property of discounted asset-price processes," Stochastic Processes and their Applications, Elsevier, vol. 121(11), pages 2678-2691, November.

2010

  1. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2010. "Real-world jump-diffusion term structure models," Quantitative Finance, Taylor & Francis Journals, vol. 10(1), pages 23-37.
  2. Katja Ignatieva & Eckhard Platen, 2010. "Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 17(3), pages 261-302, September.
  3. Shane Miller & Eckhard Platen, 2010. "Real-World Pricing for a Modified Constant Elasticity of Variance Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(2), pages 147-175.
  4. Jan Baldeaux & Marek Rutkowski, 2010. "Static Replication of Forward-Start Claims and Realized Variance Swaps," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(2), pages 99-131.

2009

  1. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlögl, 2009. "Alternative Defaultable Term Structure Models," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(1), pages 1-31, March.
  2. Damir Filipović & Eckhard Platen, 2009. "Consistent Market Extensions Under The Benchmark Approach," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 41-52, January.
  3. W. Breymann & D. R. Lüthi & E. Platen, 2009. "Empirical behavior of a world stock index from intra-day to monthly time scales," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 71(4), pages 511-522, October.
  4. Peter Buchen & Otto Konstandatos, 2009. "A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(6), pages 497-515.

2008

  1. Wolfgang Hardle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen, 2008. "Semiparametric diffusion estimation and application to a stock market index," Quantitative Finance, Taylor & Francis Journals, vol. 8(1), pages 81-92.
  2. Bruti-Liberati, Nicola & Martini, Filippo & Piccardi, Massimo & Platen, Eckhard, 2008. "A hardware generator of multi-point distributed random numbers for Monte Carlo simulation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(1), pages 45-56.
  3. 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.
  4. Mikael Elhouar, 2008. "Finite-dimensional Realizations of Regime-switching HJM Models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(4), pages 331-354.
  5. Hans-Peter Bermin & Peter Buchen & Otto Konstandatos, 2008. "Two Exotic Lookback Options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(4), pages 387-402.

2007

  1. Carl Chiarella & Christina Nikitopoulos Sklibosios & Erik Schlogl, 2007. "A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(5), pages 365-399.
  2. Carl Chiarella & Christina Nikitopoulos Sklibosios & Erik Schlögl, 2007. "A Markovian Defaultable Term Structure Model With State Dependent Volatilities," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 155-202.
  3. Nicola Bruti-Liberati & Eckhard Platen, 2007. "Approximation of jump diffusions in finance and economics," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 283-312, May.
  4. Eckhard Platen & Wolfgang Runggaldier, 2007. "A Benchmark Approach to Portfolio Optimization under Partial Information," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(1), pages 25-43, March.
  5. Morten Mosegaard Christensen & Eckhard Platen, 2007. "Sharpe Ratio Maximization And Expected Utility When Asset Prices Have Jumps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(08), pages 1339-1364.
  6. Colwell, David & El-Hassan, Nadima & Kang Kwon, Oh, 2007. "Hedging diffusion processes by local risk minimization with applications to index tracking," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2135-2151, July.
  7. James McCulloch, 2007. "Relative volume as a doubly stochastic binomial point process," Quantitative Finance, Taylor & Francis Journals, vol. 7(1), pages 55-62.

2006

  1. Bruti-Liberati Nicola & Nikitopoulos-Sklibosios Christina & Platen Eckhard, 2006. "First Order Strong Approximations of Jump Diffusions," Monte Carlo Methods and Applications, De Gruyter, vol. 12(3), pages 191-209, October.
  2. Kevin Fergusson & Eckhard Platen, 2006. "On the Distributional Characterization of Daily Log-Returns of a World Stock Index," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(1), pages 19-38.
  3. David Heath & Eckhard Platen, 2006. "Local volatility function models under a benchmark approach," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 197-206.
  4. Eckhard Platen, 2006. "A Benchmark Approach To Finance," Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 131-151, January.
  5. Platen, Eckhard, 2006. "Portfolio selection and asset pricing under a benchmark approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 23-29.
  6. Eckhard Platen, 2006. "A benchmark approach to asset management," Journal of Asset Management, Palgrave Macmillan, vol. 6(6), pages 390-405, March.

2005

  1. Eckhard Platen, 2005. "On The Role Of The Growth Optimal Portfolio In Finance," Australian Economic Papers, Wiley Blackwell, vol. 44(4), pages 365-388, December.
  2. Wolfgang Breymann & Leah Kelly & Eckhard Platen, 2005. "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(1), pages 1-28, March.
  3. Carl Chiarella & Eckhard Platen, 2005. "Editorials," Quantitative Finance, Taylor & Francis Journals, vol. 5(3), pages 235-235.
  4. 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.
  5. David Heath & Eckhard Platen, 2005. "Currency Derivatives Under A Minimal Market Model With Random Scaling," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(08), pages 1157-1177.
  6. Peter Buchen & Otto Konstandatos, 2005. "A New Method Of Pricing Lookback Options," Mathematical Finance, Wiley Blackwell, vol. 15(2), pages 245-259, April.

2004

  1. David Heath & Eckhard Platen, 2004. "Understanding the Implied Volatility Surface for Options on a Diversified Index," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(1), pages 55-77, March.
  2. Eckhard Platen, 2004. "Diversified Portfolios with Jumps in a Benchmark Framework," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(1), pages 1-22, March.
  3. Eckhard Platen & Jason West, 2004. "A Fair Pricing Approach to Weather Derivatives," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(1), pages 23-53, March.
  4. Shane Miller & Eckhard Platen, 2004. "A Two-Factor Model for Low Interest Rate Regimes," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(1), pages 107-133, March.
  5. Eckhard Platen & Wolfgang Runggaldier, 2004. "A Benchmark Approach to Filtering in Finance," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(1), pages 79-105, March.
  6. Eckhard Platen, 2004. "Modeling The Volatility And Expected Value Of A Diversified World Index," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 7(04), pages 511-529.

2003

  1. Carl Chiarella & Christina Sklibosios, 2003. "A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 10(2), pages 87-127, September.
  2. David Heath & Eckhard Platen, 2003. "Pricing of index options under a minimal market model with log-normal scaling," Quantitative Finance, Taylor & Francis Journals, vol. 3(6), pages 442-450.
  3. Eckhard Platen & Gerhard Stahl, 2003. "A Structure for General and Specific Market Risk," Computational Statistics, Springer, vol. 18(3), pages 355-373, September.
  4. Bühlmann, Hans & Platen, Eckhard, 2003. "A Discrete Time Benchmark Approach for Insurance and Finance," ASTIN Bulletin, Cambridge University Press, vol. 33(2), pages 153-172, November.
  5. Carl Chiarella & Mark Craddock & Nadima El-Hassan, 2003. "An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models," Computational Economics, Springer;Society for Computational Economics, vol. 22(2), pages 113-138, October.
  6. Nadima El-Hassan & Paul Kofman, 2003. "Tracking Error and Active Portfolio Management," Australian Journal of Management, Australian School of Business, vol. 28(2), pages 183-207, September.

2002

  1. David Heath & Eckhard Platen, 2002. "Consistent pricing and hedging for a modified constant elasticity of variance model," Quantitative Finance, Taylor & Francis Journals, vol. 2(6), pages 459-467.
  2. David Heath & Eckhard Platen, 2002. "A variance reduction technique based on integral representations," Quantitative Finance, Taylor & Francis Journals, vol. 2(5), pages 362-369.
  3. Küchler, Uwe & Platen, Eckhard, 2002. "Weak discrete time approximation of stochastic differential equations with time delay," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 59(6), pages 497-507.
  4. Kubilius Kestutis & Platen Eckhard, 2002. "Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps," Monte Carlo Methods and Applications, De Gruyter, vol. 8(1), pages 83-96, December.
  5. David Heath & Eckhard Platen, 2002. "Perfect Hedging Of Index Derivatives Under A Minimal Market Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 5(07), pages 757-774.

2001

  1. David Heath & Eckhard Platen & Martin Schweizer, 2001. "A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 11(4), pages 385-413, October.

2000

  1. Norbert Hofmann & Eckhard Platen, 2000. "Approximating Large Diversified Portfolios," Mathematical Finance, Wiley Blackwell, vol. 10(1), pages 77-88, January.
  2. Küchler, Uwe & Platen, Eckhard, 2000. "Strong discrete time approximation of stochastic differential equations with time delay," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 54(1), pages 189-205.

1999

  1. Eckhard Platen, 1999. "A short term interest rate model," Finance and Stochastics, Springer, vol. 3(2), pages 215-225.
  2. Fischer Paul & Platen Eckhard, 1999. "Applications of the balanced method to stochastic differential equations in filtering," Monte Carlo Methods and Applications, De Gruyter, vol. 5(1), pages 19-38, December.
  3. Chiarella, Carl & El-Hassan, Nadima & Kucera, Adam, 1999. "Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1387-1424, September.

1998

  1. Eckhard Platen & Martin Schweizer, 1998. "On Feedback Effects from Hedging Derivatives," Mathematical Finance, Wiley Blackwell, vol. 8(1), pages 67-84, January.

1997

  1. Simon Hurst & Eckhard Platen & Svetlozar Rachev, 1997. "Subordinated Market Index Models: A Comparison," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 4(2), pages 97-124, May.

1995

  1. Platen, Eckhard, 1995. "On weak implicit and predictor-corrector methods," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 38(1), pages 69-76.

1992

  1. Norbert Hofmann & Eckhard Platen & Martin Schweizer, 1992. "Option Pricing Under Incompleteness and Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 2(3), pages 153-187, July.

1989

  1. Platen, Eckhard, 1989. "A law of large numbers for wide range exclusion processes in random media," Stochastic Processes and their Applications, Elsevier, vol. 31(1), pages 33-49, March.

1987

  1. Liske, Horst & Platen, Eckhard, 1987. "Simulation studies on time discrete diffusion approximations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 29(3), pages 253-260.

1985

  1. Platen, Eckhard & Rebolledo, Rolando, 1985. "Weak convergence of semimartingales and discretisation methods," Stochastic Processes and their Applications, Elsevier, vol. 20(1), pages 41-58, July.

Books

2015

  1. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015. "Derivative Security Pricing," Dynamic Modeling and Econometrics in Economics and Finance, Springer, edition 127, number 978-3-662-45906-5, July-Dece.

2005

  1. Christina Nikitopoulos-Sklibosios, 2005. "A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2005.

Chapters

2011

  1. Eckhard Platen, 2011. "A Benchmark Approach to Investing and Pricing," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 28, pages 409-426, World Scientific Publishing Co. Pte. Ltd..

2008

  1. Eckhard Platen, 2008. "Simulation Methods for Stochastic Differential Equations," International Handbooks on Information Systems, in: Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), Handbook on Information Technology in Finance, chapter 21, pages 501-514, Springer.

2004

  1. Eckhard Platen, 2004. "A Benchmark Framework for Risk Management," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 15, pages 305-335, World Scientific Publishing Co. Pte. Ltd..

2001

  1. David Heath & Eckhard Platen, 2001. "Pricing and Hedging of Index Derivatives under an Alternative Asset Price Model with Endogenous Stochastic Volatility," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 10, pages 117-126, World Scientific Publishing Co. Pte. Ltd..

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