Access Statistics for Eckhard Platen

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Benchmark Approach to Filtering in Finance 0 0 0 169 0 0 2 445
A Benchmark Approach to Finance 0 1 2 592 0 1 4 1,461
A Benchmark Approach to Investing and Pricing 0 0 0 141 0 0 3 316
A Benchmark Approach to Portfolio Optimization under Partial Information 0 0 0 203 0 0 0 569
A Benchmark Framework for Integrated Risk Management 0 0 0 175 1 1 1 437
A Benchmark Framework for Risk Management 0 0 0 527 0 0 0 1,652
A Benchmark Model for Financial Markets 0 0 0 579 0 0 0 3,142
A Discrete Time Benchmark Approach for Finance and Insurance 0 0 0 161 0 0 0 564
A Financial Market Model 0 0 0 0 1 3 14 206
A Financial Market Model with Trading Volume and Stochastic Volatility 0 0 0 1 1 1 3 290
A General Benchmark Model for Stochastic Jump Sizes 0 0 0 116 0 0 0 525
A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation 0 0 0 135 0 0 4 595
A Hybrid Model for Pricing and Hedging of Long Dated Bonds 0 0 0 70 0 0 1 182
A Minimal Financial Market Model 0 0 0 1 0 0 1 1,049
A Minimal Share Market Model with Stochastic Volatility 0 0 0 1 0 1 2 487
A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model 0 0 0 84 0 0 1 186
A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds 0 0 0 18 0 0 1 78
A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds 0 0 0 7 0 0 1 200
A Structure for General and Specific Market Risk 0 0 0 428 0 0 1 1,272
A Tractable Model for Indices Approximating the Growth Optimal Portfolio 0 0 0 21 0 0 0 88
A Unifying Approach to Asset Pricing 0 0 0 99 0 0 1 202
A Variance Reduction Technique Based on Integral Representations 0 0 0 264 0 1 1 690
A Visual Classification of Local Martingales 0 0 0 138 0 2 3 350
A Visual Criterion for Identifying Ito Diffusions as Martingales or Strict Local Martingales 0 0 0 41 0 0 0 115
A benchmark approach to asset management 0 0 0 1 0 0 0 7
A benchmark model for financial markets 0 0 0 165 0 0 2 628
A class of complete benchmark models with intensity-based jumps 0 0 0 0 0 1 1 4
A minimal financial market model 0 0 2 157 0 0 3 683
A survey of numerical methods for stochastic differential equations 1 1 2 18 2 2 4 37
Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics 0 0 0 37 0 0 1 139
Alternative Defaultable Term Structure Models 0 0 0 87 1 1 1 194
Alternative Term Structure Models for Reviewing Expectations Puzzles 0 0 0 31 0 0 0 89
An Alternative Interest Rate Term Structure Model 0 0 1 259 0 0 1 806
An Intraday Empirical Analysis of Electricity Price Behaviour 0 0 0 282 0 0 0 696
An Introduction to Numerical Methods for Stochastic Differential Equations 0 0 0 6 0 3 20 3,583
Analytic Pricing of Contingent Claims Under the Real-World Measure 0 0 0 133 0 0 1 339
Application of Maximum Likelihood Estimation to Stochastic Short Rate Models 0 0 0 69 1 3 6 184
Applications of the Balanced Method to Stochastic Differential Equations in Filtering 0 0 0 0 0 0 1 243
Approximating the Growth Optimal Portfolio with a Diversified World Stock Index 0 0 0 166 0 0 2 479
Approximating the Growth Optimal Portfolio with a Diversified World Stock Index 0 0 1 232 0 0 1 569
Approximating the Numeraire Portfolio by Naive Diversification 0 0 0 71 0 0 2 451
Approximation of Jump Diffusions in Finance and Economics 0 0 0 371 0 0 0 720
Arbitrage in Continuous Complete Markets 0 0 1 164 0 1 3 436
Asset Markets and Monetary Policy 0 0 0 196 0 1 3 335
Axiomatic principles for a market model 0 0 0 0 0 0 0 5
Balanced Implicit Methods for Stiff Stochastic Systems 0 1 4 31 2 3 11 68
Benchmark Model with Intensity Based Jumps 0 0 1 69 0 0 1 219
Benchmark Pricing of Credit Derivatives Under a Standard Market Model 0 0 0 181 0 0 0 652
Benchmarked Risk Minimizing Hedging Strategies for Life Insurance Policies 0 0 1 17 0 0 2 37
Benchmarking and Fair Pricing Applied to Two Market Models 0 0 1 138 0 0 1 357
Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach 1 1 2 5 1 1 4 9
Capital Asset Pricing for Markets with Intensity Based Jumps 0 0 1 134 0 0 1 333
Comparison of Some Key Approaches to Hedging in Incomplete Markets 0 0 0 1 0 0 2 189
Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods 0 0 0 32 0 0 0 95
Consistent Market Extensions under the Benchmark Approach 0 0 0 67 0 0 1 188
Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model 0 0 1 275 1 2 3 673
Credit Derivative Evaluation and CVA under the Benchmark Approach 0 0 0 88 0 0 1 212
Currency Derivatives under a Minimal Market Model with Random Scaling 0 0 0 194 0 0 0 645
Detecting Money Market Bubbles 0 0 0 85 0 1 1 274
Distributional Deviations in Random Number Generation in Finance 0 0 0 86 0 0 0 317
Diversified Portfolios in a Benchmark Framework 0 0 0 0 0 0 1 289
Diversified Portfolios with Jumps in a Benchmark Framework 0 0 0 135 0 0 0 341
Dynamics of a Well-Diversified Equity Index 0 0 1 86 0 1 3 257
Empirical Behavior of a World Stock Index from Intra-Day to Monthly Time Scales 0 0 0 70 0 0 0 172
Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices 0 0 1 330 1 1 4 1,047
Estimating for Discretely Observed Diffusions Using Transform Functions 0 0 1 61 0 0 2 168
Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model 0 0 1 59 0 0 2 143
Exact Scenario Simulation for Selected Multi-dimensional Stochastic Processes 0 0 0 72 0 0 2 193
Existence of Equivalent Local Martingale Deflators in Semimartingale Market Models 0 0 0 9 0 0 1 52
Existence of equivalent local martingale deflators in semimartingale market models 0 0 0 1 0 0 0 7
Exploiting arbitrage requires short selling 0 0 0 2 0 0 0 17
Extrapolation Methods For The Weak Approximation Of Ito Diffusions 0 0 1 7 0 0 1 21
Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach 0 0 0 6 1 1 1 15
Fair Pricing of Weather Derivatives 0 0 1 857 0 0 4 1,885
Fast Quantization of Stochastic Volatility Models 0 0 1 96 0 0 2 154
Fast Quantization of Stochastic Volatility Models 0 0 0 3 0 0 2 37
Filtering and Parameter Estimation for a Mean Reverting Interest Rate Model 0 0 0 0 1 7 17 755
Financial market meltdown and a need for new financial regulations 0 0 0 2 0 0 0 12
Hedging for the Long Run 0 1 2 157 0 1 3 398
Hedging long-dated interest rate derivatives for Australian pension funds and life insurers 0 0 0 4 0 0 1 14
Hidden Markov Chain Filtering for Generalised Bessel Processes 0 0 0 0 0 0 2 250
Higher-order implicit strong numerical schemes for stochastic differential equations 0 1 2 31 0 1 5 57
Intraday Empirical Analysis and Modeling of Diversified World Stock Indices 0 0 0 146 0 0 0 443
Investing for the Long Run 0 0 0 15 0 1 1 37
Investing for the Long Run 0 0 1 69 0 2 3 185
Investments for the Short and Long Run 0 0 1 162 0 0 1 351
Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options 0 0 0 393 0 0 1 2,345
Less Expensive Pricing and Hedging of Long-Dated Equity Index Options When Interest Rates are Stochastic 0 0 0 37 0 1 6 99
Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity 0 0 0 3 0 0 0 26
Liability Driven Investments under a Benchmark Based Approach 2 2 3 69 2 3 4 180
Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts 0 0 1 43 0 1 3 97
Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts 0 0 0 22 0 1 1 25
Local Risk-Minimization under the Benchmark Approach 0 0 0 11 0 0 0 42
Local Risk-Minimization under the Benchmark Approach 0 0 0 22 0 0 0 101
Local Volatility Function Models under a Benchmark Approach 0 0 1 541 0 0 1 1,459
Market Efficiency and Growth Optimal Portfolio 0 0 1 13 0 0 2 45
Market Efficiency and the Growth Optimal Portfolio 0 0 0 93 0 0 0 321
Memorandum on a new financial architecture and new regulations 0 0 0 5 0 0 0 9
Minimizing the Expected Market Time to Reach a Certain Wealth Level 0 0 0 29 1 2 2 133
Minimizing the expected market time to reach a certain wealth level 0 0 0 19 0 0 0 86
Modeling of Oil Prices 0 0 0 97 0 0 0 245
Modeling the Volatility and Expected Value of a Diversified World Index 0 0 0 146 0 0 0 493
Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae 0 0 0 91 1 1 1 231
Modelling the Stochastic Dynamics of Volatility for Equity Indices 0 0 0 0 0 1 5 192
Multiplicative Approximation of Wealth Processes Involving No-Short-Sale Strategies 0 0 0 6 0 0 0 38
Multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading 0 0 0 12 0 0 2 64
Natural Disasters, Insurance Stocks and the Numeraire Portfolio 0 0 0 0 0 0 0 19
No arbitrage and multiplicative special semimartingales 0 0 0 5 0 0 1 22
No-Arbitrage Concepts in Topological Vector Lattices 0 0 1 9 0 0 2 33
No-arbitrage concepts in topological vector lattices 0 0 0 1 0 0 1 10
Numerical Comparison of Local Risk-Minimisation & Mean-Variance Hedging 0 0 0 0 2 2 5 24
Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing 0 0 0 2 2 5 11 1,876
On Explicit Probability Laws for Classes of Scalar Diffusions 0 0 0 47 0 1 2 128
On Feedback Effects from Hedging Derivatives 0 0 0 0 0 0 1 398
On Financial Markets where only Buy-And-Hold Trading is Possible 0 0 0 74 0 0 2 217
On Honest Times in Financial Modeling 0 0 0 89 0 0 1 209
On Using Equities to Produce Pension Payouts 0 1 2 11 0 1 5 39
On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance 0 0 0 140 0 0 0 405
On effects of discretization on estimators of drift parameters for diffusion processes 0 0 0 7 0 1 4 28
On honest times in financial modeling 0 0 1 20 0 2 3 97
On the Distributional Characterization of Log-returns of a World Stock Index 0 0 2 193 0 0 2 674
On the Dybvig-Ingersoll-Ross Theorem 0 0 0 30 0 0 2 141
On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance 0 0 0 144 1 2 4 333
On the Log-Return Distribution of Index Benchmarked Share Prices 0 0 0 1 0 0 2 1,140
On the Marginal Distribution of Trade Weighted Currency Indices 0 0 0 0 0 0 1 314
On the Numerical Stability of Simulation Methods for SDES 0 0 1 86 0 0 1 245
On the Pricing and Hedging of Long Dated Zero Coupon Bonds 0 0 0 206 0 0 0 824
On the Role of the Growth Optimal Portfolio in Finance 0 0 1 721 0 0 1 1,595
On the Strong Approximation of Jump-Diffusion Processes 0 0 1 368 1 1 5 761
On the Strong Approximation of Pure Jump Processes 0 0 0 192 0 0 1 414
On the Use of Equities in Target Date Funds 0 0 0 9 0 0 0 21
On the existence of sure profits via flash strategies 0 0 0 69 0 0 1 38
On the semimartingale property of discounted asset-price processes 0 0 0 37 0 0 1 136
Option pricing for a logstable asset price model 0 0 1 5 0 0 1 14
Perfect Hedging of Index Derivatives Under a Locally Arbitrage Free Minimal Market Model 0 0 0 94 1 1 3 372
Pricing Volatility Derivatives Under the Modified Constant Elasticity of Variance Model 0 0 0 33 0 0 2 62
Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models 0 0 0 250 0 1 1 595
Pricing and Hedging in the Presence of Transaction Costs Under Local Risk Minimisation 0 0 0 0 0 0 1 132
Pricing and hedging of long dated variance swaps under a 3/2 volatility model 0 0 0 5 0 0 1 16
Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling 0 0 1 128 0 0 5 428
Pricing of long dated equity-linked life insurance contracts 0 0 1 4 0 0 2 15
Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models 0 0 1 236 0 0 1 887
Pricing via anticipative stochastic calculus 0 0 1 2 0 0 1 8
Principles for modelling financial markets 0 0 1 6 0 0 1 11
Processes of Class Sigma, Last Passage Times, and Drawdowns 0 0 0 1 0 0 0 8
Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts 0 0 0 7 0 0 1 26
Quasi-exact Approximation of Hidden Markov Chain Filters 0 0 0 17 0 0 0 76
Rate of Convergence of the Euler Approximation for Diffusion Processes 0 0 6 42 1 1 13 75
Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps 0 0 1 168 0 1 3 477
Real World Pricing for a Modified Constant Elasticity of Variance Model 0 0 0 60 0 0 1 212
Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees 0 0 0 39 0 0 1 156
Real World Pricing of Long Term Contracts 0 0 0 131 0 0 2 363
Real-World Forward Rate Dynamics With Affine Realizations 0 0 0 2 0 1 1 14
Real-world forward rate dynamics with affine realizations 0 0 0 1 0 0 1 10
Recovering the Real-World Density and Liquidity Premia From Option Data 1 1 2 67 1 1 5 158
Recursive Marginal Quantization of Higher-Order Schemes 0 0 0 5 0 0 1 33
Relations between multiple ito and stratonovich integrals 1 1 3 13 1 1 4 36
Risk Premia and Financial Modelling Without Measure Transformation 0 0 0 109 0 0 0 369
Risk premia and financial modelling without measure transformation 0 0 0 61 0 0 0 239
Robust Product Markovian Quantization 0 0 0 3 0 0 1 11
Semiparametric Diffusion Estimation and Application to a Stock Market Index 0 0 0 91 0 0 0 309
Semiparametric diffusion estimation and application to a stock market index 0 0 0 59 0 0 0 297
Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps 0 0 0 456 0 0 1 2,010
Simulation of Diversified Portfolios in a Continuous Financial Market 0 0 2 101 0 0 3 265
Simulation of Diversified Portfolios in a Continuous Financial Market 0 0 1 91 0 0 1 240
Stability of weak numerical schemes for stochastic differential equations 0 0 0 2 0 0 1 10
Stochastic Modelling of the COVID-19 Epidemic 0 1 1 85 0 1 5 234
Stratonovich and Ito Stochastic Taylor Expansions 1 1 4 23 1 1 5 49
Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay 0 0 1 293 0 0 2 847
Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations 0 1 1 227 1 2 4 653
Strong approximations of stochastic differential equations with jumps 0 0 0 5 0 1 2 27
Strong discrete time approximation of Stochastic Differential Equations with Time Delay 0 0 0 0 2 3 3 497
Stylised Properties of the Interest Rate Term Structure Under The Benchmark Approach 0 1 1 25 0 1 2 78
Sure Profits via Flash Strategies and the Impossibility of Predictable Jumps 0 0 0 28 2 2 2 86
Symmetry Group Methods for Fundamental Solutions and Characteristic Functions 0 0 0 183 0 0 0 544
Symmetry group methods for fundamental solutions 0 0 0 2 0 0 0 19
The Affine Nature of Aggregate Wealth Dynamics 0 0 0 19 0 0 1 80
The Fundamental Theorem of Asset Pricing for Self-Financing Portfolios 0 1 2 42 1 2 3 122
The History of the Quantitative Methods in Finance Conference Series. 1992-2007 0 0 1 152 0 0 2 361
The Law of Minimal Price 0 0 0 136 0 0 1 505
The Small and Large Time Implied Volatilities in the Minimal Market Model 0 0 0 20 1 1 1 73
The Small and Large Time Implied Volatilities in the Minimal Market Model 0 0 0 23 0 0 0 70
The approximation of multiple stochastic integrals 0 2 7 57 0 3 16 117
The numeraire property and long-term growth optimality for drawdown-constrained investments 0 0 0 18 1 1 3 78
The numéraire property and long-term growth optimality for drawdown-constrained investments 0 0 0 2 0 0 1 31
Three-Benchmarked Risk Minimization for Jump Diffusion Markets 0 0 0 65 0 0 0 169
Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities 0 0 0 118 0 0 0 330
Time Discrete Taylor Approximations for Ito Processes with Jump Component 1 2 4 34 1 3 6 65
Two-Factor Model for Low Interest Rate Regimes 0 0 0 386 1 1 1 1,430
Understanding the Implied Volatility Surface for Options on a Diversified Index 0 0 1 921 0 1 3 3,442
Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index 0 0 0 58 0 0 0 151
Valuation of FX barrier options under stochastic volatility 0 0 0 4 0 1 3 12
Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities Under a Benchmark Approach 0 0 0 216 0 2 2 670
Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay 0 0 0 170 2 2 2 503
Weak discrete time approximation of stochastic differential equations with time delay 0 0 0 98 0 0 0 646
Über die stabilität des Euler-Schemas für eine Affine Stochastische Differentialgleichung mit Gedächtnis 0 0 0 16 0 0 0 267
Total Working Papers 8 20 92 20,027 41 104 398 73,758

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A BENCHMARK APPROACH TO FINANCE 0 0 0 67 0 2 4 204
A Benchmark Approach to Filtering in Finance 0 0 0 37 0 0 0 171
A Benchmark Approach to Portfolio Optimization under Partial Information 0 0 0 38 0 0 1 154
A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets 0 0 1 60 0 0 3 140
A Discrete Time Benchmark Approach for Insurance and Finance 0 0 0 2 0 0 0 14
A Fair Pricing Approach to Weather Derivatives 0 0 0 135 0 1 2 399
A Hybrid Model for Pricing and Hedging of Long-dated Bonds 0 0 0 3 0 0 0 24
A Structure for General and Specific Market Risk 0 0 0 4 0 1 4 35
A Two-Factor Model for Low Interest Rate Regimes 0 0 0 79 0 0 3 354
A benchmark approach to asset management 0 0 0 0 0 0 0 5
A hardware generator of multi-point distributed random numbers for Monte Carlo simulation 0 0 0 0 0 0 1 25
A law of large numbers for wide range exclusion processes in random media 0 0 0 0 0 1 1 12
A reading guide for last passage times with financial applications in view 0 0 1 7 0 0 2 48
A short term interest rate model 0 0 3 753 0 0 3 2,082
A tractable model for indices approximating the growth optimal portfolio 0 0 0 11 0 0 0 42
A variance reduction technique based on integral representations 0 0 0 6 0 0 3 88
AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL 0 0 1 1 0 0 1 12
ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE 0 0 0 0 0 0 0 8
APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS 0 0 6 26 0 1 23 87
APPROXIMATING THE GROWTH OPTIMAL PORTFOLIO AND STOCK PRICE BUBBLES 0 1 4 19 0 1 7 60
Alternative Defaultable Term Structure Models 0 0 0 1 1 2 2 21
Applications of the balanced method to stochastic differential equations in filtering 0 0 0 5 0 0 1 25
Approximating Large Diversified Portfolios 0 0 0 3 0 0 0 29
Approximating the numéraire portfolio by naive diversification 0 0 0 3 0 0 2 27
Approximation of jump diffusions in finance and economics 1 1 1 62 1 1 1 186
BENCHMARKED RISK MINIMIZATION 0 0 0 3 0 0 1 18
CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH 0 0 1 11 0 0 3 49
CURRENCY DERIVATIVES UNDER A MINIMAL MARKET MODEL WITH RANDOM SCALING 0 0 0 0 1 2 3 8
Calibration to FX triangles of the 4/2 model under the benchmark approach 0 0 1 1 0 0 4 9
Consistent pricing and hedging for a modified constant elasticity of variance model 0 0 0 51 0 0 0 165
Credit Derivative Evaluation and CVA Under the Benchmark Approach 0 0 0 7 0 0 2 43
DYNAMIC ASSET ALLOCATION FOR TARGET DATE FUNDS UNDER THE BENCHMARK APPROACH 0 1 6 24 1 3 11 39
Detecting money market bubbles 0 0 0 7 0 1 2 56
Diversified Portfolios with Jumps in a Benchmark Framework 0 0 0 36 0 0 0 177
Editorials 0 0 0 0 0 1 3 37
Empirical behavior of a world stock index from intra-day to monthly time scales 0 0 0 4 0 0 0 33
Estimating the diffusion coefficient function for a diversified world stock index 0 0 0 5 0 0 1 42
First Order Strong Approximations of Jump Diffusions 0 0 0 4 0 0 0 25
Intraday Empirical Analysis and Modeling of Diversified World Stock Indices 0 0 0 29 0 0 0 147
Local volatility function models under a benchmark approach 0 0 0 124 0 1 3 464
MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX 0 0 0 4 1 1 1 15
Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae 0 0 0 10 0 0 1 96
ON THE ROLE OF THE GROWTH OPTIMAL PORTFOLIO IN FINANCE 0 0 1 88 0 0 4 347
On Feedback Effects from Hedging Derivatives 0 0 1 34 0 0 6 94
On the Distributional Characterization of Daily Log-Returns of a World Stock Index 0 0 0 139 0 1 2 750
On the numerical stability of simulation methods for SDEs under multiplicative noise in finance 0 0 0 3 0 1 1 23
On the semimartingale property of discounted asset-price processes 0 0 0 4 0 0 1 46
On weak implicit and predictor-corrector methods 0 0 0 9 0 0 0 38
Option Pricing Under Incompleteness and Stochastic Volatility 0 0 0 38 0 0 1 97
PERFECT HEDGING OF INDEX DERIVATIVES UNDER A MINIMAL MARKET MODEL 0 0 2 3 0 0 3 12
Portfolio selection and asset pricing under a benchmark approach 0 0 0 7 0 0 0 42
Pricing currency derivatives under the benchmark approach 0 0 0 22 0 1 2 85
Pricing of index options under a minimal market model with log-normal scaling 0 0 1 8 0 0 1 50
Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps 0 0 0 1 0 0 0 13
Real-World Pricing for a Modified Constant Elasticity of Variance Model 0 0 0 5 1 1 1 72
Real-world jump-diffusion term structure models 0 0 2 52 0 0 5 163
Recovering the real-world density and liquidity premia from option data 0 0 0 7 0 0 0 30
Recursive marginal quantization of higher-order schemes 0 0 1 4 0 0 1 13
SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS 0 0 1 8 0 0 9 66
Semiparametric diffusion estimation and application to a stock market index 0 0 0 18 0 0 0 123
Simulation studies on time discrete diffusion approximations 0 0 0 9 0 0 1 44
Strong discrete time approximation of stochastic differential equations with time delay 0 0 0 19 1 4 8 79
Subordinated Market Index Models: A Comparison 0 0 0 62 0 0 0 242
THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS 0 0 0 0 0 2 2 26
THE SMALL AND LARGE TIME IMPLIED VOLATILITIES IN THE MINIMAL MARKET MODEL 0 0 0 1 0 0 0 12
Understanding the Implied Volatility Surface for Options on a Diversified Index 0 0 2 106 0 0 5 482
Weak convergence of semimartingales and discretisation methods 0 0 0 6 0 0 0 30
Weak discrete time approximation of stochastic differential equations with time delay 0 0 0 2 0 0 0 31
Total Journal Articles 1 3 36 2,297 7 29 152 8,685

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Benchmark Approach to Investing and Pricing 0 0 2 11 0 1 10 44
A Benchmark Framework for Risk Management 0 0 1 13 0 1 2 46
Pricing and Hedging of Index Derivatives under an Alternative Asset Price Model with Endogenous Stochastic Volatility 0 0 0 2 0 0 0 16
Simulation Methods for Stochastic Differential Equations 0 0 0 0 0 0 0 3
Total Chapters 0 0 3 26 0 2 12 109

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Statistics updated 2025-03-03