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 2 13 458
A Benchmark Approach to Finance 0 0 3 595 0 8 32 1,494
A Benchmark Approach to Investing and Pricing 0 1 1 142 0 1 6 322
A Benchmark Approach to Portfolio Optimization under Partial Information 0 1 1 204 1 4 14 583
A Benchmark Framework for Integrated Risk Management 0 0 0 175 0 0 4 441
A Benchmark Framework for Risk Management 0 0 0 527 0 0 13 1,665
A Benchmark Model for Financial Markets 0 0 0 579 0 2 10 3,152
A Discrete Time Benchmark Approach for Finance and Insurance 0 0 0 161 0 0 6 571
A Financial Market Model 0 0 0 0 0 1 11 222
A Financial Market Model with Trading Volume and Stochastic Volatility 0 0 0 1 0 0 8 299
A General Benchmark Model for Stochastic Jump Sizes 0 0 0 116 0 0 10 535
A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation 0 0 0 135 0 1 6 601
A Hybrid Model for Pricing and Hedging of Long Dated Bonds 0 0 0 71 0 0 9 192
A Minimal Financial Market Model 0 0 0 1 0 1 10 1,059
A Minimal Share Market Model with Stochastic Volatility 0 0 0 1 0 1 10 497
A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model 0 0 0 84 0 0 11 198
A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds 0 1 1 9 0 1 7 209
A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds 0 0 0 18 0 1 10 88
A Structure for General and Specific Market Risk 0 0 0 428 0 0 9 1,283
A Tractable Model for Indices Approximating the Growth Optimal Portfolio 0 0 0 21 0 2 7 95
A Unifying Approach to Asset Pricing 0 0 0 99 0 1 15 217
A Variance Reduction Technique Based on Integral Representations 0 1 1 265 0 3 13 703
A Visual Classification of Local Martingales 1 1 1 139 1 3 5 355
A Visual Criterion for Identifying Ito Diffusions as Martingales or Strict Local Martingales 0 0 0 41 0 2 7 122
A benchmark approach to asset management 0 0 0 1 0 1 14 22
A benchmark model for financial markets 0 0 1 166 0 0 13 641
A class of complete benchmark models with intensity-based jumps 0 0 0 0 0 0 5 9
A minimal financial market model 0 0 0 158 0 1 8 692
A survey of numerical methods for stochastic differential equations 0 0 0 18 0 1 9 46
Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics 0 0 0 37 1 1 8 149
Alternative Defaultable Term Structure Models 0 0 1 88 1 2 15 209
Alternative Term Structure Models for Reviewing Expectations Puzzles 0 0 0 32 0 1 8 99
An Alternative Interest Rate Term Structure Model 0 0 0 259 0 0 9 815
An Intraday Empirical Analysis of Electricity Price Behaviour 0 0 0 282 0 0 15 711
An Introduction to Numerical Methods for Stochastic Differential Equations 0 0 0 6 0 1 18 3,607
Analytic Pricing of Contingent Claims Under the Real-World Measure 0 0 0 134 1 1 11 351
Application of Maximum Likelihood Estimation to Stochastic Short Rate Models 0 0 0 70 0 1 16 203
Applications of the Balanced Method to Stochastic Differential Equations in Filtering 0 0 0 0 0 0 7 250
Approximating the Growth Optimal Portfolio with a Diversified World Stock Index 0 0 0 166 0 1 10 490
Approximating the Growth Optimal Portfolio with a Diversified World Stock Index 0 0 0 232 0 0 9 579
Approximating the Numeraire Portfolio by Naive Diversification 0 0 0 71 0 1 5 456
Approximation of Jump Diffusions in Finance and Economics 0 0 0 371 1 1 10 730
Arbitrage in Continuous Complete Markets 0 0 0 164 0 1 11 447
Asset Markets and Monetary Policy 0 0 0 196 0 1 8 343
Axiomatic principles for a market model 0 0 0 0 0 0 8 13
Balanced Implicit Methods for Stiff Stochastic Systems 0 0 0 32 0 0 10 79
Benchmark Model with Intensity Based Jumps 0 0 0 69 0 0 8 227
Benchmark Pricing of Credit Derivatives Under a Standard Market Model 0 0 0 181 0 3 13 665
Benchmarked Risk Minimizing Hedging Strategies for Life Insurance Policies 0 0 0 17 0 1 10 47
Benchmarking and Fair Pricing Applied to Two Market Models 0 0 0 138 0 2 14 371
Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach 0 0 0 5 0 0 13 23
Capital Asset Pricing for Markets with Intensity Based Jumps 0 0 0 134 0 2 9 342
Comparison of Some Key Approaches to Hedging in Incomplete Markets 0 0 0 1 0 0 10 200
Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods 0 0 1 33 0 1 11 106
Consistent Market Extensions under the Benchmark Approach 0 0 0 67 1 1 15 203
Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model 0 0 0 275 0 0 10 684
Credit Derivative Evaluation and CVA under the Benchmark Approach 0 0 0 88 0 0 6 220
Currency Derivatives under a Minimal Market Model with Random Scaling 0 0 0 194 0 0 9 654
Detecting Money Market Bubbles 0 0 0 85 0 0 7 282
Distributional Deviations in Random Number Generation in Finance 0 0 0 86 0 0 10 327
Diversified Portfolios in a Benchmark Framework 0 0 0 0 0 0 11 300
Diversified Portfolios with Jumps in a Benchmark Framework 0 0 0 135 0 0 8 349
Dynamics of a Well-Diversified Equity Index 0 0 0 87 0 1 13 272
Empirical Behavior of a World Stock Index from Intra-Day to Monthly Time Scales 0 0 0 70 0 0 7 179
Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices 0 0 0 330 2 3 13 1,062
Estimating for Discretely Observed Diffusions Using Transform Functions 0 0 0 61 1 3 8 176
Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model 0 0 0 59 0 2 8 151
Exact Scenario Simulation for Selected Multi-dimensional Stochastic Processes 0 0 2 74 0 1 7 200
Existence of Equivalent Local Martingale Deflators in Semimartingale Market Models 0 0 1 10 0 0 3 55
Existence of equivalent local martingale deflators in semimartingale market models 0 0 0 1 0 0 10 17
Exploiting arbitrage requires short selling 0 0 0 2 0 0 4 22
Extrapolation Methods For The Weak Approximation Of Ito Diffusions 0 0 0 7 0 0 6 27
Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach 0 0 0 6 0 0 2 17
Fair Pricing of Weather Derivatives 0 0 2 860 0 1 9 1,895
Fast Quantization of Stochastic Volatility Models 0 0 0 3 0 2 11 49
Fast Quantization of Stochastic Volatility Models 0 0 0 96 0 2 9 164
Filtering and Parameter Estimation for a Mean Reverting Interest Rate Model 0 0 0 0 0 2 19 775
Financial market meltdown and a need for new financial regulations 0 0 0 2 0 0 8 21
Hedging for the Long Run 0 0 0 157 1 1 11 409
Hedging long-dated interest rate derivatives for Australian pension funds and life insurers 0 0 0 4 0 1 7 21
Hidden Markov Chain Filtering for Generalised Bessel Processes 0 0 0 0 0 1 7 257
Higher-order implicit strong numerical schemes for stochastic differential equations 0 0 0 31 1 3 16 73
Intraday Empirical Analysis and Modeling of Diversified World Stock Indices 0 0 0 146 0 1 13 456
Investing for the Long Run 0 0 0 15 0 1 10 47
Investing for the Long Run 0 0 0 69 0 0 12 197
Investments for the Short and Long Run 0 0 0 162 0 1 5 356
Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options 0 0 0 393 1 4 17 2,362
Less Expensive Pricing and Hedging of Long-Dated Equity Index Options When Interest Rates are Stochastic 0 0 0 38 0 0 6 106
Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity 0 0 0 3 0 1 15 42
Liability Driven Investments under a Benchmark Based Approach 0 0 0 69 0 1 8 188
Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts 0 0 1 23 0 1 24 49
Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts 0 0 0 45 0 0 11 111
Local Risk-Minimization under the Benchmark Approach 0 0 0 22 0 1 10 111
Local Risk-Minimization under the Benchmark Approach 0 0 0 11 0 1 3 45
Local Volatility Function Models under a Benchmark Approach 0 0 0 541 0 1 8 1,468
Market Efficiency and Growth Optimal Portfolio 0 0 0 14 0 0 9 55
Market Efficiency and the Growth Optimal Portfolio 0 0 0 93 0 1 8 329
Memorandum on a new financial architecture and new regulations 0 0 0 5 0 0 6 15
Minimizing the Expected Market Time to Reach a Certain Wealth Level 0 0 0 29 0 1 9 142
Minimizing the expected market time to reach a certain wealth level 0 0 0 19 0 0 12 99
Modeling of Oil Prices 0 0 0 97 0 1 9 254
Modeling the Volatility and Expected Value of a Diversified World Index 0 0 0 146 0 1 8 501
Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae 0 0 0 91 0 0 15 246
Modelling the Stochastic Dynamics of Volatility for Equity Indices 0 0 0 0 1 4 12 204
Multiplicative Approximation of Wealth Processes Involving No-Short-Sale Strategies 0 0 0 6 1 1 3 41
Multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading 0 0 0 12 0 0 7 71
Natural Disasters, Insurance Stocks and the Numeraire Portfolio 0 0 0 0 0 0 7 26
No arbitrage and multiplicative special semimartingales 0 0 0 5 0 1 10 32
No-Arbitrage Concepts in Topological Vector Lattices 0 0 1 10 0 0 13 46
No-arbitrage concepts in topological vector lattices 0 0 0 1 0 0 3 13
Numerical Comparison of Local Risk-Minimisation & Mean-Variance Hedging 0 0 0 0 1 1 10 39
Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing 0 0 0 2 0 0 13 1,889
On Explicit Probability Laws for Classes of Scalar Diffusions 0 0 0 47 0 0 8 137
On Feedback Effects from Hedging Derivatives 0 0 0 0 1 1 6 407
On Financial Markets where only Buy-And-Hold Trading is Possible 0 0 1 75 1 2 16 235
On Honest Times in Financial Modeling 0 0 0 89 0 1 4 213
On Using Equities to Produce Pension Payouts 0 0 1 12 0 1 12 52
On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance 0 0 0 140 1 1 11 416
On effects of discretization on estimators of drift parameters for diffusion processes 0 0 0 7 0 1 7 36
On honest times in financial modeling 0 0 0 20 0 1 5 104
On the Distributional Characterization of Log-returns of a World Stock Index 0 0 0 193 0 1 11 688
On the Dybvig-Ingersoll-Ross Theorem 0 0 0 30 0 8 24 165
On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance 0 0 0 144 0 1 14 347
On the Log-Return Distribution of Index Benchmarked Share Prices 0 0 0 1 0 1 6 1,146
On the Marginal Distribution of Trade Weighted Currency Indices 0 0 0 0 0 0 11 325
On the Numerical Stability of Simulation Methods for SDES 0 0 0 86 0 3 12 257
On the Pricing and Hedging of Long Dated Zero Coupon Bonds 0 0 0 206 0 1 13 837
On the Role of the Growth Optimal Portfolio in Finance 0 0 0 721 0 1 9 1,604
On the Strong Approximation of Jump-Diffusion Processes 0 0 0 370 0 0 18 781
On the Strong Approximation of Pure Jump Processes 0 0 1 193 0 0 11 425
On the Use of Equities in Target Date Funds 0 0 0 10 0 0 8 30
On the existence of sure profits via flash strategies 0 0 0 69 0 0 12 50
On the semimartingale property of discounted asset-price processes 0 0 0 37 0 1 7 144
Option pricing for a logstable asset price model 0 0 1 6 0 0 8 22
Perfect Hedging of Index Derivatives Under a Locally Arbitrage Free Minimal Market Model 0 0 0 94 0 0 8 380
Pricing Volatility Derivatives Under the Modified Constant Elasticity of Variance Model 0 0 0 33 0 0 7 69
Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models 0 0 0 250 0 0 4 599
Pricing and Hedging in the Presence of Transaction Costs Under Local Risk Minimisation 0 0 0 0 0 0 4 136
Pricing and hedging of long dated variance swaps under a 3/2 volatility model 0 0 0 5 0 2 12 29
Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling 0 0 0 128 0 0 9 437
Pricing of long dated equity-linked life insurance contracts 0 0 1 5 1 1 13 29
Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models 0 0 0 236 0 0 11 898
Pricing via anticipative stochastic calculus 0 0 0 2 0 1 6 14
Principles for modelling financial markets 0 0 0 6 0 2 10 21
Processes of Class Sigma, Last Passage Times, and Drawdowns 0 0 0 1 1 2 8 18
Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts 0 0 0 7 0 1 9 35
Quasi-exact Approximation of Hidden Markov Chain Filters 0 0 0 17 0 0 3 79
Rate of Convergence of the Euler Approximation for Diffusion Processes 0 1 2 46 0 2 7 86
Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps 0 0 0 168 0 1 12 490
Real World Pricing for a Modified Constant Elasticity of Variance Model 0 0 0 60 0 1 5 217
Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees 0 0 0 39 0 0 16 176
Real World Pricing of Long Term Contracts 0 0 0 131 0 1 14 377
Real-World Forward Rate Dynamics With Affine Realizations 0 0 0 2 0 0 1 15
Real-world forward rate dynamics with affine realizations 0 0 0 1 0 0 2 12
Recovering the Real-World Density and Liquidity Premia From Option Data 1 1 1 69 1 1 16 175
Recursive Marginal Quantization of Higher-Order Schemes 0 0 1 8 0 1 9 45
Relations between multiple ito and stratonovich integrals 0 0 1 14 0 0 8 44
Risk Premia and Financial Modelling Without Measure Transformation 0 0 0 109 0 0 11 380
Risk premia and financial modelling without measure transformation 0 0 0 61 0 0 5 244
Robust Product Markovian Quantization 0 0 0 4 0 2 13 25
Semiparametric Diffusion Estimation and Application to a Stock Market Index 0 0 0 91 0 1 12 321
Semiparametric diffusion estimation and application to a stock market index 0 0 0 59 0 0 1 299
Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps 0 0 0 456 0 0 10 2,020
Simulation of Diversified Portfolios in a Continuous Financial Market 0 0 0 91 0 1 4 244
Simulation of Diversified Portfolios in a Continuous Financial Market 0 0 0 101 0 1 13 278
Stability of weak numerical schemes for stochastic differential equations 0 0 0 2 0 0 7 18
Stochastic Modelling of the COVID-19 Epidemic 0 0 0 86 0 0 5 240
Stratonovich and Ito Stochastic Taylor Expansions 0 0 1 28 0 1 10 64
Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay 0 0 0 293 0 1 12 859
Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations 0 1 2 229 0 2 13 667
Strong approximations of stochastic differential equations with jumps 0 0 0 5 0 1 11 39
Strong discrete time approximation of Stochastic Differential Equations with Time Delay 0 0 0 0 0 0 4 502
Stylised Properties of the Interest Rate Term Structure Under The Benchmark Approach 0 0 0 25 0 2 8 87
Sure Profits via Flash Strategies and the Impossibility of Predictable Jumps 0 0 0 28 1 2 21 107
Symmetry Group Methods for Fundamental Solutions and Characteristic Functions 0 0 0 184 0 1 14 560
Symmetry group methods for fundamental solutions 0 0 0 3 0 1 10 31
The Affine Nature of Aggregate Wealth Dynamics 0 0 0 19 0 0 9 91
The Fundamental Theorem of Asset Pricing for Self-Financing Portfolios 0 0 0 43 1 1 11 138
The History of the Quantitative Methods in Finance Conference Series. 1992-2007 0 0 0 152 0 1 3 364
The Law of Minimal Price 0 0 0 136 0 1 9 514
The Small and Large Time Implied Volatilities in the Minimal Market Model 0 0 0 24 0 2 10 81
The Small and Large Time Implied Volatilities in the Minimal Market Model 0 0 0 20 0 0 6 79
The approximation of multiple stochastic integrals 0 0 1 61 0 1 13 133
The numeraire property and long-term growth optimality for drawdown-constrained investments 0 0 0 18 1 1 10 89
The numéraire property and long-term growth optimality for drawdown-constrained investments 0 0 0 2 0 0 6 37
Three-Benchmarked Risk Minimization for Jump Diffusion Markets 0 0 0 65 1 1 6 176
Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities 0 0 0 119 1 1 10 342
Time Discrete Taylor Approximations for Ito Processes with Jump Component 0 1 3 37 0 2 17 82
Two-Factor Model for Low Interest Rate Regimes 0 0 0 386 0 2 14 1,445
Understanding the Implied Volatility Surface for Options on a Diversified Index 0 0 0 921 5 9 18 3,460
Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index 0 0 0 58 0 0 5 156
Valuation of FX barrier options under stochastic volatility 0 0 0 4 0 0 2 14
Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities Under a Benchmark Approach 0 0 1 217 0 2 18 688
Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay 0 0 0 170 0 0 7 510
Weak discrete time approximation of stochastic differential equations with time delay 0 0 0 98 0 0 7 655
Über die stabilität des Euler-Schemas für eine Affine Stochastische Differentialgleichung mit Gedächtnis 0 0 0 16 1 1 6 273
Total Working Papers 2 9 36 20,098 33 188 1,909 75,798

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 1 4 17 222
A Benchmark Approach to Filtering in Finance 0 0 1 38 0 0 10 181
A Benchmark Approach to Portfolio Optimization under Partial Information 0 0 0 38 0 0 6 161
A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets 0 0 0 60 0 2 11 151
A Discrete Time Benchmark Approach for Insurance and Finance 0 0 0 2 0 0 4 19
A Fair Pricing Approach to Weather Derivatives 0 0 0 136 0 0 8 408
A Hybrid Model for Pricing and Hedging of Long-dated Bonds 0 0 0 3 0 0 7 33
A Structure for General and Specific Market Risk 0 0 0 4 0 0 10 45
A Two-Factor Model for Low Interest Rate Regimes 0 0 0 79 0 0 4 359
A benchmark approach to asset management 0 0 0 0 0 0 6 12
A hardware generator of multi-point distributed random numbers for Monte Carlo simulation 0 0 0 0 0 1 9 34
A law of large numbers for wide range exclusion processes in random media 0 0 0 0 1 2 4 16
A reading guide for last passage times with financial applications in view 0 0 1 8 0 1 8 56
A short term interest rate model 0 0 0 753 0 0 4 2,086
A tractable model for indices approximating the growth optimal portfolio 0 0 0 11 0 0 2 44
A variance reduction technique based on integral representations 0 2 3 10 0 2 11 101
AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL 0 0 0 1 0 0 12 24
ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE 0 0 0 0 2 2 15 23
APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS 0 0 1 33 1 2 29 130
APPROXIMATING THE GROWTH OPTIMAL PORTFOLIO AND STOCK PRICE BUBBLES 0 0 0 19 0 0 5 65
Alternative Defaultable Term Structure Models 0 0 1 2 1 1 12 33
Applications of the balanced method to stochastic differential equations in filtering 0 0 0 5 0 0 4 31
Approximating Large Diversified Portfolios 0 0 0 3 0 0 4 33
Approximating the numéraire portfolio by naive diversification 0 0 0 3 2 3 12 39
Approximation of jump diffusions in finance and economics 0 0 0 62 0 0 5 191
BENCHMARKED RISK MINIMIZATION 0 0 0 3 0 1 8 26
CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH 0 0 0 11 0 0 7 56
CURRENCY DERIVATIVES UNDER A MINIMAL MARKET MODEL WITH RANDOM SCALING 0 0 0 0 0 0 5 13
Calibration to FX triangles of the 4/2 model under the benchmark approach 0 0 0 1 0 1 23 32
Consistent pricing and hedging for a modified constant elasticity of variance model 0 0 1 52 0 2 8 174
Credit Derivative Evaluation and CVA Under the Benchmark Approach 0 0 0 7 0 1 7 51
DYNAMIC ASSET ALLOCATION FOR TARGET DATE FUNDS UNDER THE BENCHMARK APPROACH 0 1 1 28 1 5 6 49
Detecting money market bubbles 0 0 0 7 0 1 16 73
Diversified Portfolios with Jumps in a Benchmark Framework 0 0 0 36 1 1 8 185
Editorials 0 0 0 0 1 4 6 43
Empirical behavior of a world stock index from intra-day to monthly time scales 0 0 0 4 1 2 11 44
Estimating the diffusion coefficient function for a diversified world stock index 0 0 0 5 1 1 13 55
First Order Strong Approximations of Jump Diffusions 0 0 0 4 0 0 10 35
Intraday Empirical Analysis and Modeling of Diversified World Stock Indices 0 0 0 29 0 0 7 154
Local volatility function models under a benchmark approach 0 0 0 124 0 0 10 474
MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX 0 0 0 4 0 0 7 22
Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae 0 0 0 10 0 0 7 103
ON THE ROLE OF THE GROWTH OPTIMAL PORTFOLIO IN FINANCE 0 0 1 90 0 2 13 361
On Feedback Effects from Hedging Derivatives 0 0 0 36 2 2 16 114
On the Distributional Characterization of Daily Log-Returns of a World Stock Index 0 0 0 139 1 3 11 761
On the numerical stability of simulation methods for SDEs under multiplicative noise in finance 0 0 0 3 0 2 14 38
On the semimartingale property of discounted asset-price processes 0 0 0 4 0 0 5 51
On weak implicit and predictor-corrector methods 0 0 0 9 1 3 6 45
Option Pricing Under Incompleteness and Stochastic Volatility 0 0 3 42 1 1 15 113
PERFECT HEDGING OF INDEX DERIVATIVES UNDER A MINIMAL MARKET MODEL 0 0 0 3 1 2 12 24
Portfolio selection and asset pricing under a benchmark approach 0 0 0 7 1 2 8 50
Pricing currency derivatives under the benchmark approach 0 0 0 22 1 2 17 104
Pricing of index options under a minimal market model with log-normal scaling 0 0 0 8 0 0 6 56
Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps 0 0 0 1 1 2 10 23
Real-World Pricing for a Modified Constant Elasticity of Variance Model 0 0 0 5 0 0 7 79
Real-world jump-diffusion term structure models 0 0 1 54 0 1 14 178
Recovering the real-world density and liquidity premia from option data 0 0 0 7 0 0 6 36
Recursive marginal quantization of higher-order schemes 0 0 0 4 2 3 11 25
SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS 0 0 0 8 0 1 11 77
Semiparametric diffusion estimation and application to a stock market index 0 0 0 18 0 0 8 131
Simulation studies on time discrete diffusion approximations 0 0 0 9 0 2 5 49
Strong discrete time approximation of stochastic differential equations with time delay 0 0 1 20 0 1 17 96
Subordinated Market Index Models: A Comparison 0 0 0 63 1 3 12 256
THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS 0 0 0 0 0 0 12 38
THE SMALL AND LARGE TIME IMPLIED VOLATILITIES IN THE MINIMAL MARKET MODEL 0 0 0 1 0 0 10 23
Understanding the Implied Volatility Surface for Options on a Diversified Index 0 0 0 106 0 0 7 489
Weak convergence of semimartingales and discretisation methods 0 0 0 6 0 0 3 34
Weak discrete time approximation of stochastic differential equations with time delay 0 0 0 3 1 3 13 45
Total Journal Articles 0 3 16 2,331 26 74 647 9,382

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 1 1 13 0 1 12 61
A Benchmark Framework for Risk Management 0 0 0 13 0 0 17 63
Pricing and Hedging of Index Derivatives under an Alternative Asset Price Model with Endogenous Stochastic Volatility 0 0 0 2 0 0 5 21
Simulation Methods for Stochastic Differential Equations 0 0 0 0 0 1 4 8
Total Chapters 0 1 1 28 0 2 38 153

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Statistics updated 2026-08-07