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 9 10 455
A Benchmark Approach to Finance 1 1 3 595 3 6 18 1,479
A Benchmark Approach to Investing and Pricing 0 0 0 141 0 1 3 319
A Benchmark Approach to Portfolio Optimization under Partial Information 0 0 0 203 0 3 4 573
A Benchmark Framework for Integrated Risk Management 0 0 0 175 1 2 3 440
A Benchmark Framework for Risk Management 0 0 0 527 0 7 8 1,660
A Benchmark Model for Financial Markets 0 0 0 579 0 5 6 3,148
A Discrete Time Benchmark Approach for Finance and Insurance 0 0 0 161 0 3 4 568
A Financial Market Model 0 0 0 0 1 6 14 220
A Financial Market Model with Trading Volume and Stochastic Volatility 0 0 0 1 2 5 7 297
A General Benchmark Model for Stochastic Jump Sizes 0 0 0 116 1 6 9 534
A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation 0 0 0 135 2 4 5 600
A Hybrid Model for Pricing and Hedging of Long Dated Bonds 0 0 1 71 0 4 6 188
A Minimal Financial Market Model 0 0 0 1 1 5 8 1,057
A Minimal Share Market Model with Stochastic Volatility 0 0 0 1 1 5 8 495
A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model 0 0 0 84 0 9 11 197
A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds 0 0 1 8 0 3 6 206
A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds 0 0 0 18 3 6 7 85
A Structure for General and Specific Market Risk 0 0 0 428 0 2 6 1,278
A Tractable Model for Indices Approximating the Growth Optimal Portfolio 0 0 0 21 1 3 4 92
A Unifying Approach to Asset Pricing 0 0 0 99 0 7 12 214
A Variance Reduction Technique Based on Integral Representations 0 0 0 264 2 7 8 698
A Visual Classification of Local Martingales 0 0 0 138 0 2 2 352
A Visual Criterion for Identifying Ito Diffusions as Martingales or Strict Local Martingales 0 0 0 41 2 5 5 120
A benchmark approach to asset management 0 0 0 1 2 7 10 17
A benchmark model for financial markets 0 1 1 166 1 7 9 637
A class of complete benchmark models with intensity-based jumps 0 0 0 0 0 2 4 8
A minimal financial market model 0 0 1 158 1 4 7 690
A survey of numerical methods for stochastic differential equations 0 0 0 18 0 4 4 41
Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics 0 0 0 37 0 3 7 146
Alternative Defaultable Term Structure Models 0 0 0 87 0 4 9 203
Alternative Term Structure Models for Reviewing Expectations Puzzles 0 0 1 32 0 4 6 95
An Alternative Interest Rate Term Structure Model 0 0 0 259 1 5 6 812
An Intraday Empirical Analysis of Electricity Price Behaviour 0 0 0 282 2 10 14 710
An Introduction to Numerical Methods for Stochastic Differential Equations 0 0 0 6 0 7 17 3,600
Analytic Pricing of Contingent Claims Under the Real-World Measure 0 0 1 134 0 5 8 347
Application of Maximum Likelihood Estimation to Stochastic Short Rate Models 0 0 1 70 0 3 13 197
Applications of the Balanced Method to Stochastic Differential Equations in Filtering 0 0 0 0 0 2 4 247
Approximating the Growth Optimal Portfolio with a Diversified World Stock Index 0 0 0 166 0 4 8 487
Approximating the Growth Optimal Portfolio with a Diversified World Stock Index 0 0 0 232 1 2 8 577
Approximating the Numeraire Portfolio by Naive Diversification 0 0 0 71 0 0 1 452
Approximation of Jump Diffusions in Finance and Economics 0 0 0 371 0 3 7 727
Arbitrage in Continuous Complete Markets 0 0 0 164 2 7 8 444
Asset Markets and Monetary Policy 0 0 0 196 1 4 5 340
Axiomatic principles for a market model 0 0 0 0 1 4 6 11
Balanced Implicit Methods for Stiff Stochastic Systems 0 0 1 32 0 5 8 76
Benchmark Model with Intensity Based Jumps 0 0 0 69 0 4 4 223
Benchmark Pricing of Credit Derivatives Under a Standard Market Model 0 0 0 181 0 4 7 659
Benchmarked Risk Minimizing Hedging Strategies for Life Insurance Policies 0 0 0 17 3 6 7 44
Benchmarking and Fair Pricing Applied to Two Market Models 0 0 0 138 3 8 10 367
Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach 0 0 0 5 6 10 11 20
Capital Asset Pricing for Markets with Intensity Based Jumps 0 0 0 134 0 3 5 338
Comparison of Some Key Approaches to Hedging in Incomplete Markets 0 0 0 1 1 5 8 197
Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods 0 0 0 32 0 5 7 102
Consistent Market Extensions under the Benchmark Approach 0 0 0 67 0 7 10 198
Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model 0 0 0 275 0 7 9 682
Credit Derivative Evaluation and CVA under the Benchmark Approach 0 0 0 88 0 2 5 217
Currency Derivatives under a Minimal Market Model with Random Scaling 0 0 0 194 0 5 5 650
Detecting Money Market Bubbles 0 0 0 85 0 3 6 280
Distributional Deviations in Random Number Generation in Finance 0 0 0 86 3 6 7 324
Diversified Portfolios in a Benchmark Framework 0 0 0 0 0 5 7 296
Diversified Portfolios with Jumps in a Benchmark Framework 0 0 0 135 0 6 6 347
Dynamics of a Well-Diversified Equity Index 0 0 1 87 1 6 9 266
Empirical Behavior of a World Stock Index from Intra-Day to Monthly Time Scales 0 0 0 70 0 4 6 178
Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices 0 0 0 330 1 5 10 1,057
Estimating for Discretely Observed Diffusions Using Transform Functions 0 0 0 61 0 2 3 171
Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model 0 0 0 59 0 1 5 148
Exact Scenario Simulation for Selected Multi-dimensional Stochastic Processes 0 0 2 74 1 2 4 197
Existence of Equivalent Local Martingale Deflators in Semimartingale Market Models 0 0 1 10 0 1 2 54
Existence of equivalent local martingale deflators in semimartingale market models 0 0 0 1 0 2 4 11
Exploiting arbitrage requires short selling 0 0 0 2 0 2 3 20
Extrapolation Methods For The Weak Approximation Of Ito Diffusions 0 0 0 7 0 3 4 25
Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach 0 0 0 6 1 2 2 17
Fair Pricing of Weather Derivatives 0 0 3 860 0 4 8 1,893
Fast Quantization of Stochastic Volatility Models 0 0 0 3 0 4 7 44
Fast Quantization of Stochastic Volatility Models 0 0 0 96 0 5 6 160
Filtering and Parameter Estimation for a Mean Reverting Interest Rate Model 0 0 0 0 1 5 10 765
Financial market meltdown and a need for new financial regulations 0 0 0 2 0 3 6 18
Hedging for the Long Run 0 0 0 157 0 6 8 406
Hedging long-dated interest rate derivatives for Australian pension funds and life insurers 0 0 0 4 1 3 4 18
Hidden Markov Chain Filtering for Generalised Bessel Processes 0 0 0 0 1 2 3 253
Higher-order implicit strong numerical schemes for stochastic differential equations 0 0 0 31 0 5 8 65
Intraday Empirical Analysis and Modeling of Diversified World Stock Indices 0 0 0 146 0 6 7 450
Investing for the Long Run 0 0 0 15 0 6 7 44
Investing for the Long Run 0 0 0 69 2 9 12 197
Investments for the Short and Long Run 0 0 0 162 0 2 2 353
Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options 0 0 0 393 0 6 9 2,354
Less Expensive Pricing and Hedging of Long-Dated Equity Index Options When Interest Rates are Stochastic 0 0 1 38 1 3 4 103
Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity 0 0 0 3 1 8 11 37
Liability Driven Investments under a Benchmark Based Approach 0 0 0 69 1 5 6 186
Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts 0 0 2 45 0 7 11 108
Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts 0 0 1 23 1 10 17 42
Local Risk-Minimization under the Benchmark Approach 0 0 0 11 0 2 2 44
Local Risk-Minimization under the Benchmark Approach 0 0 0 22 0 5 6 107
Local Volatility Function Models under a Benchmark Approach 0 0 0 541 2 2 4 1,463
Market Efficiency and Growth Optimal Portfolio 0 0 1 14 0 4 7 52
Market Efficiency and the Growth Optimal Portfolio 0 0 0 93 0 2 5 326
Memorandum on a new financial architecture and new regulations 0 0 0 5 0 4 5 14
Minimizing the Expected Market Time to Reach a Certain Wealth Level 0 0 0 29 0 3 5 138
Minimizing the expected market time to reach a certain wealth level 0 0 0 19 0 9 12 98
Modeling of Oil Prices 0 0 0 97 0 6 6 251
Modeling the Volatility and Expected Value of a Diversified World Index 0 0 0 146 0 4 6 499
Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae 0 0 0 91 2 9 11 242
Modelling the Stochastic Dynamics of Volatility for Equity Indices 0 0 0 0 2 2 2 194
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 4 5 69
Natural Disasters, Insurance Stocks and the Numeraire Portfolio 0 0 0 0 0 5 6 25
No arbitrage and multiplicative special semimartingales 0 0 0 5 1 3 6 28
No-Arbitrage Concepts in Topological Vector Lattices 0 0 1 10 2 4 11 44
No-arbitrage concepts in topological vector lattices 0 0 0 1 0 1 3 13
Numerical Comparison of Local Risk-Minimisation & Mean-Variance Hedging 0 0 0 0 1 3 11 35
Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing 0 0 0 2 0 7 10 1,886
On Explicit Probability Laws for Classes of Scalar Diffusions 0 0 0 47 0 4 6 134
On Feedback Effects from Hedging Derivatives 0 0 0 0 1 5 8 406
On Financial Markets where only Buy-And-Hold Trading is Possible 1 1 1 75 1 7 12 229
On Honest Times in Financial Modeling 0 0 0 89 0 1 2 211
On Using Equities to Produce Pension Payouts 0 0 1 12 1 7 10 49
On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance 0 0 0 140 2 5 7 412
On effects of discretization on estimators of drift parameters for diffusion processes 0 0 0 7 0 1 2 30
On honest times in financial modeling 0 0 0 20 0 1 6 103
On the Distributional Characterization of Log-returns of a World Stock Index 0 0 0 193 1 7 11 685
On the Dybvig-Ingersoll-Ross Theorem 0 0 0 30 1 15 16 157
On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance 0 0 0 144 4 11 11 344
On the Log-Return Distribution of Index Benchmarked Share Prices 0 0 0 1 1 4 4 1,144
On the Marginal Distribution of Trade Weighted Currency Indices 0 0 0 0 2 6 9 323
On the Numerical Stability of Simulation Methods for SDES 0 0 0 86 0 4 5 250
On the Pricing and Hedging of Long Dated Zero Coupon Bonds 0 0 0 206 0 6 8 832
On the Role of the Growth Optimal Portfolio in Finance 0 0 0 721 3 3 5 1,600
On the Strong Approximation of Jump-Diffusion Processes 0 0 2 370 1 8 15 776
On the Strong Approximation of Pure Jump Processes 0 0 1 193 0 4 8 422
On the Use of Equities in Target Date Funds 0 0 1 10 1 4 7 28
On the existence of sure profits via flash strategies 0 0 0 69 4 10 10 48
On the semimartingale property of discounted asset-price processes 0 0 0 37 0 3 5 141
Option pricing for a logstable asset price model 0 1 1 6 0 5 7 21
Perfect Hedging of Index Derivatives Under a Locally Arbitrage Free Minimal Market Model 0 0 0 94 1 5 7 379
Pricing Volatility Derivatives Under the Modified Constant Elasticity of Variance Model 0 0 0 33 0 4 4 66
Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models 0 0 0 250 0 1 1 596
Pricing and Hedging in the Presence of Transaction Costs Under Local Risk Minimisation 0 0 0 0 1 2 2 134
Pricing and hedging of long dated variance swaps under a 3/2 volatility model 0 0 0 5 0 6 9 25
Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling 0 0 0 128 0 5 7 435
Pricing of long dated equity-linked life insurance contracts 0 0 1 5 0 4 9 24
Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models 0 0 0 236 0 6 9 896
Pricing via anticipative stochastic calculus 0 0 0 2 0 3 3 11
Principles for modelling financial markets 0 0 0 6 0 4 4 15
Processes of Class Sigma, Last Passage Times, and Drawdowns 0 0 0 1 0 1 6 14
Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts 0 0 0 7 0 6 7 33
Quasi-exact Approximation of Hidden Markov Chain Filters 0 0 0 17 0 1 2 78
Rate of Convergence of the Euler Approximation for Diffusion Processes 0 0 3 45 0 3 8 83
Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps 0 0 0 168 0 8 10 487
Real World Pricing for a Modified Constant Elasticity of Variance Model 0 0 0 60 1 2 4 216
Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees 0 0 0 39 0 9 18 174
Real World Pricing of Long Term Contracts 0 0 0 131 1 8 11 374
Real-World Forward Rate Dynamics With Affine Realizations 0 0 0 2 0 0 0 14
Real-world forward rate dynamics with affine realizations 0 0 0 1 0 2 2 12
Recovering the Real-World Density and Liquidity Premia From Option Data 0 0 1 68 4 14 16 174
Recursive Marginal Quantization of Higher-Order Schemes 0 0 3 8 0 4 8 41
Relations between multiple ito and stratonovich integrals 0 0 1 14 0 2 6 42
Risk Premia and Financial Modelling Without Measure Transformation 0 0 0 109 0 5 8 377
Risk premia and financial modelling without measure transformation 0 0 0 61 0 4 4 243
Robust Product Markovian Quantization 0 0 1 4 1 4 10 21
Semiparametric Diffusion Estimation and Application to a Stock Market Index 0 0 0 91 0 6 7 316
Semiparametric diffusion estimation and application to a stock market index 0 0 0 59 0 1 2 299
Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps 0 0 0 456 1 6 7 2,017
Simulation of Diversified Portfolios in a Continuous Financial Market 0 0 0 91 0 1 2 242
Simulation of Diversified Portfolios in a Continuous Financial Market 0 0 0 101 1 6 10 275
Stability of weak numerical schemes for stochastic differential equations 0 0 0 2 1 1 5 15
Stochastic Modelling of the COVID-19 Epidemic 0 0 1 86 1 3 6 240
Stratonovich and Ito Stochastic Taylor Expansions 0 0 4 27 0 4 11 60
Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay 0 0 0 293 0 7 9 856
Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations 0 0 1 228 1 5 10 663
Strong approximations of stochastic differential equations with jumps 0 0 0 5 1 6 8 35
Strong discrete time approximation of Stochastic Differential Equations with Time Delay 0 0 0 0 1 3 5 502
Stylised Properties of the Interest Rate Term Structure Under The Benchmark Approach 0 0 0 25 1 2 5 83
Sure Profits via Flash Strategies and the Impossibility of Predictable Jumps 0 0 0 28 5 14 16 102
Symmetry Group Methods for Fundamental Solutions and Characteristic Functions 0 0 1 184 1 6 10 554
Symmetry group methods for fundamental solutions 0 0 1 3 0 6 11 30
The Affine Nature of Aggregate Wealth Dynamics 0 0 0 19 1 3 7 87
The Fundamental Theorem of Asset Pricing for Self-Financing Portfolios 0 0 1 43 0 7 14 136
The History of the Quantitative Methods in Finance Conference Series. 1992-2007 0 0 0 152 0 1 2 363
The Law of Minimal Price 0 0 0 136 0 6 7 512
The Small and Large Time Implied Volatilities in the Minimal Market Model 0 0 1 24 0 1 6 76
The Small and Large Time Implied Volatilities in the Minimal Market Model 0 0 0 20 0 3 4 77
The approximation of multiple stochastic integrals 0 0 3 60 0 6 10 127
The numeraire property and long-term growth optimality for drawdown-constrained investments 0 0 0 18 1 8 9 87
The numéraire property and long-term growth optimality for drawdown-constrained investments 0 0 0 2 0 4 4 35
Three-Benchmarked Risk Minimization for Jump Diffusion Markets 0 0 0 65 1 4 5 174
Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities 0 0 1 119 1 4 10 340
Time Discrete Taylor Approximations for Ito Processes with Jump Component 1 2 2 36 1 10 12 77
Two-Factor Model for Low Interest Rate Regimes 0 0 0 386 0 8 10 1,440
Understanding the Implied Volatility Surface for Options on a Diversified Index 0 0 0 921 0 4 5 3,447
Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index 0 0 0 58 0 3 5 156
Valuation of FX barrier options under stochastic volatility 0 0 0 4 0 0 1 13
Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities Under a Benchmark Approach 0 0 1 217 1 5 8 678
Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay 0 0 0 170 0 6 7 510
Weak discrete time approximation of stochastic differential equations with time delay 0 0 0 98 2 5 8 654
Über die stabilität des Euler-Schemas für eine Affine Stochastische Differentialgleichung mit Gedächtnis 0 0 0 16 0 1 2 269
Total Working Papers 3 6 58 20,085 125 905 1,387 75,145

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 1 68 2 6 12 216
A Benchmark Approach to Filtering in Finance 1 1 1 38 1 7 9 180
A Benchmark Approach to Portfolio Optimization under Partial Information 0 0 0 38 0 2 6 160
A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets 0 0 0 60 0 5 8 148
A Discrete Time Benchmark Approach for Insurance and Finance 0 0 0 2 0 1 3 17
A Fair Pricing Approach to Weather Derivatives 0 0 1 136 0 2 6 405
A Hybrid Model for Pricing and Hedging of Long-dated Bonds 0 0 0 3 1 4 7 31
A Structure for General and Specific Market Risk 0 0 0 4 0 7 9 44
A Two-Factor Model for Low Interest Rate Regimes 0 0 0 79 0 4 5 359
A benchmark approach to asset management 0 0 0 0 0 5 7 12
A hardware generator of multi-point distributed random numbers for Monte Carlo simulation 0 0 0 0 0 4 4 29
A law of large numbers for wide range exclusion processes in random media 0 0 0 0 0 1 1 13
A reading guide for last passage times with financial applications in view 0 1 1 8 0 3 4 52
A short term interest rate model 0 0 0 753 0 2 3 2,085
A tractable model for indices approximating the growth optimal portfolio 0 0 0 11 1 1 1 43
A variance reduction technique based on integral representations 0 1 2 8 1 4 7 95
AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL 0 0 0 1 0 6 9 21
ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE 0 0 0 0 0 6 8 16
APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS 0 0 7 33 1 10 38 125
APPROXIMATING THE GROWTH OPTIMAL PORTFOLIO AND STOCK PRICE BUBBLES 0 0 0 19 0 3 5 65
Alternative Defaultable Term Structure Models 0 0 0 1 0 5 8 29
Applications of the balanced method to stochastic differential equations in filtering 0 0 0 5 0 1 6 31
Approximating Large Diversified Portfolios 0 0 0 3 0 2 2 31
Approximating the numéraire portfolio by naive diversification 0 0 0 3 0 3 4 31
Approximation of jump diffusions in finance and economics 0 0 0 62 1 5 5 191
BENCHMARKED RISK MINIMIZATION 0 0 0 3 0 4 6 24
CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH 0 0 0 11 0 1 3 52
CURRENCY DERIVATIVES UNDER A MINIMAL MARKET MODEL WITH RANDOM SCALING 0 0 0 0 0 3 3 11
Calibration to FX triangles of the 4/2 model under the benchmark approach 0 0 0 1 2 11 17 26
Consistent pricing and hedging for a modified constant elasticity of variance model 0 0 1 52 0 2 6 171
Credit Derivative Evaluation and CVA Under the Benchmark Approach 0 0 0 7 0 1 5 48
DYNAMIC ASSET ALLOCATION FOR TARGET DATE FUNDS UNDER THE BENCHMARK APPROACH 0 0 3 27 0 0 4 43
Detecting money market bubbles 0 0 0 7 1 5 12 68
Diversified Portfolios with Jumps in a Benchmark Framework 0 0 0 36 0 4 5 182
Editorials 0 0 0 0 0 0 1 38
Empirical behavior of a world stock index from intra-day to monthly time scales 0 0 0 4 0 5 9 42
Estimating the diffusion coefficient function for a diversified world stock index 0 0 0 5 0 7 8 50
First Order Strong Approximations of Jump Diffusions 0 0 0 4 0 5 9 34
Intraday Empirical Analysis and Modeling of Diversified World Stock Indices 0 0 0 29 0 3 5 152
Local volatility function models under a benchmark approach 0 0 0 124 0 4 7 471
MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX 0 0 0 4 1 2 6 21
Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae 0 0 0 10 0 2 3 99
ON THE ROLE OF THE GROWTH OPTIMAL PORTFOLIO IN FINANCE 0 1 2 90 0 3 7 354
On Feedback Effects from Hedging Derivatives 0 0 2 36 3 10 16 110
On the Distributional Characterization of Daily Log-Returns of a World Stock Index 0 0 0 139 0 5 6 756
On the numerical stability of simulation methods for SDEs under multiplicative noise in finance 0 0 0 3 0 9 11 34
On the semimartingale property of discounted asset-price processes 0 0 0 4 0 3 3 49
On weak implicit and predictor-corrector methods 0 0 0 9 0 2 3 41
Option Pricing Under Incompleteness and Stochastic Volatility 0 3 4 42 1 8 10 107
PERFECT HEDGING OF INDEX DERIVATIVES UNDER A MINIMAL MARKET MODEL 0 0 0 3 0 7 7 19
Portfolio selection and asset pricing under a benchmark approach 0 0 0 7 1 5 5 47
Pricing currency derivatives under the benchmark approach 0 0 0 22 0 5 14 99
Pricing of index options under a minimal market model with log-normal scaling 0 0 0 8 0 1 3 53
Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps 0 0 0 1 0 5 6 19
Real-World Pricing for a Modified Constant Elasticity of Variance Model 0 0 0 5 1 1 3 75
Real-world jump-diffusion term structure models 0 0 2 54 1 7 11 174
Recovering the real-world density and liquidity premia from option data 0 0 0 7 0 0 4 34
Recursive marginal quantization of higher-order schemes 0 0 0 4 1 4 5 18
SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS 0 0 0 8 1 6 7 73
Semiparametric diffusion estimation and application to a stock market index 0 0 0 18 0 6 7 130
Simulation studies on time discrete diffusion approximations 0 0 0 9 0 0 0 44
Strong discrete time approximation of stochastic differential equations with time delay 0 0 1 20 1 8 10 89
Subordinated Market Index Models: A Comparison 0 0 1 63 0 3 7 249
THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS 0 0 0 0 2 6 8 34
THE SMALL AND LARGE TIME IMPLIED VOLATILITIES IN THE MINIMAL MARKET MODEL 0 0 0 1 0 9 11 23
Understanding the Implied Volatility Surface for Options on a Diversified Index 0 0 0 106 1 6 6 488
Weak convergence of semimartingales and discretisation methods 0 0 0 6 0 3 4 34
Weak discrete time approximation of stochastic differential equations with time delay 0 0 1 3 2 5 7 38
Total Journal Articles 1 7 30 2,327 27 285 467 9,152

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 1 12 0 4 12 56
A Benchmark Framework for Risk Management 0 0 0 13 5 12 15 61
Pricing and Hedging of Index Derivatives under an Alternative Asset Price Model with Endogenous Stochastic Volatility 0 0 0 2 0 1 1 17
Simulation Methods for Stochastic Differential Equations 0 0 0 0 0 1 3 6
Total Chapters 0 0 1 27 5 18 31 140

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