Access Statistics for Eckhard Platen

Author contact details at EconPapers.

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 1 1 446
A Benchmark Approach to Finance 1 2 3 594 4 10 13 1,473
A Benchmark Approach to Investing and Pricing 0 0 0 141 1 2 2 318
A Benchmark Approach to Portfolio Optimization under Partial Information 0 0 0 203 0 1 1 570
A Benchmark Framework for Integrated Risk Management 0 0 0 175 1 1 2 438
A Benchmark Framework for Risk Management 0 0 0 527 1 1 1 1,653
A Benchmark Model for Financial Markets 0 0 0 579 1 1 1 3,143
A Discrete Time Benchmark Approach for Finance and Insurance 0 0 0 161 0 0 1 565
A Financial Market Model 0 0 0 0 1 3 11 214
A Financial Market Model with Trading Volume and Stochastic Volatility 0 0 0 1 1 1 3 292
A General Benchmark Model for Stochastic Jump Sizes 0 0 0 116 2 2 3 528
A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation 0 0 0 135 1 1 1 596
A Hybrid Model for Pricing and Hedging of Long Dated Bonds 0 0 1 71 1 1 2 184
A Minimal Financial Market Model 0 0 0 1 2 3 3 1,052
A Minimal Share Market Model with Stochastic Volatility 0 0 0 1 0 2 4 490
A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model 0 0 0 84 1 1 2 188
A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds 0 0 0 18 0 1 1 79
A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds 0 0 1 8 1 1 3 203
A Structure for General and Specific Market Risk 0 0 0 428 0 1 4 1,276
A Tractable Model for Indices Approximating the Growth Optimal Portfolio 0 0 0 21 0 1 1 89
A Unifying Approach to Asset Pricing 0 0 0 99 4 5 5 207
A Variance Reduction Technique Based on Integral Representations 0 0 0 264 0 0 2 691
A Visual Classification of Local Martingales 0 0 0 138 0 0 2 350
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 1 1 3 10
A benchmark model for financial markets 0 0 0 165 2 2 2 630
A class of complete benchmark models with intensity-based jumps 0 0 0 0 1 1 3 6
A minimal financial market model 0 0 1 158 1 2 3 686
A survey of numerical methods for stochastic differential equations 0 0 1 18 0 0 2 37
Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics 0 0 0 37 2 2 4 143
Alternative Defaultable Term Structure Models 0 0 0 87 3 4 6 199
Alternative Term Structure Models for Reviewing Expectations Puzzles 0 0 1 32 0 0 2 91
An Alternative Interest Rate Term Structure Model 0 0 0 259 1 1 1 807
An Intraday Empirical Analysis of Electricity Price Behaviour 0 0 0 282 1 4 4 700
An Introduction to Numerical Methods for Stochastic Differential Equations 0 0 0 6 0 3 13 3,593
Analytic Pricing of Contingent Claims Under the Real-World Measure 0 0 1 134 0 2 3 342
Application of Maximum Likelihood Estimation to Stochastic Short Rate Models 0 0 1 70 1 7 13 194
Applications of the Balanced Method to Stochastic Differential Equations in Filtering 0 0 0 0 0 0 2 245
Approximating the Growth Optimal Portfolio with a Diversified World Stock Index 0 0 0 166 1 3 4 483
Approximating the Growth Optimal Portfolio with a Diversified World Stock Index 0 0 0 232 3 5 6 575
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 1 4 4 724
Arbitrage in Continuous Complete Markets 0 0 0 164 0 1 2 437
Asset Markets and Monetary Policy 0 0 0 196 0 0 2 336
Axiomatic principles for a market model 0 0 0 0 0 2 2 7
Balanced Implicit Methods for Stiff Stochastic Systems 0 0 2 32 0 2 6 71
Benchmark Model with Intensity Based Jumps 0 0 0 69 0 0 0 219
Benchmark Pricing of Credit Derivatives Under a Standard Market Model 0 0 0 181 2 3 3 655
Benchmarked Risk Minimizing Hedging Strategies for Life Insurance Policies 0 0 0 17 0 1 1 38
Benchmarking and Fair Pricing Applied to Two Market Models 0 0 0 138 1 1 2 359
Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach 0 0 1 5 0 0 2 10
Capital Asset Pricing for Markets with Intensity Based Jumps 0 0 0 134 1 2 2 335
Comparison of Some Key Approaches to Hedging in Incomplete Markets 0 0 0 1 1 2 3 192
Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods 0 0 0 32 2 2 2 97
Consistent Market Extensions under the Benchmark Approach 0 0 0 67 2 3 3 191
Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model 0 0 0 275 1 1 4 675
Credit Derivative Evaluation and CVA under the Benchmark Approach 0 0 0 88 1 1 3 215
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 2 2 4 277
Distributional Deviations in Random Number Generation in Finance 0 0 0 86 0 1 1 318
Diversified Portfolios in a Benchmark Framework 0 0 0 0 1 2 2 291
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 87 0 1 4 260
Empirical Behavior of a World Stock Index from Intra-Day to Monthly Time Scales 0 0 0 70 2 2 2 174
Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices 0 0 0 330 1 3 6 1,052
Estimating for Discretely Observed Diffusions Using Transform Functions 0 0 0 61 0 1 1 169
Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model 0 0 0 59 2 4 4 147
Exact Scenario Simulation for Selected Multi-dimensional Stochastic Processes 0 2 2 74 0 2 2 195
Existence of Equivalent Local Martingale Deflators in Semimartingale Market Models 0 0 1 10 0 0 1 53
Existence of equivalent local martingale deflators in semimartingale market models 0 0 0 1 1 2 2 9
Exploiting arbitrage requires short selling 0 0 0 2 0 0 1 18
Extrapolation Methods For The Weak Approximation Of Ito Diffusions 0 0 0 7 1 1 1 22
Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach 0 0 0 6 0 0 1 15
Fair Pricing of Weather Derivatives 0 0 3 860 0 0 4 1,889
Fast Quantization of Stochastic Volatility Models 0 0 0 96 0 0 1 155
Fast Quantization of Stochastic Volatility Models 0 0 0 3 0 1 3 40
Filtering and Parameter Estimation for a Mean Reverting Interest Rate Model 0 0 0 0 2 2 12 760
Financial market meltdown and a need for new financial regulations 0 0 0 2 1 2 3 15
Hedging for the Long Run 0 0 1 157 0 1 3 400
Hedging long-dated interest rate derivatives for Australian pension funds and life insurers 0 0 0 4 0 1 1 15
Hidden Markov Chain Filtering for Generalised Bessel Processes 0 0 0 0 0 1 1 251
Higher-order implicit strong numerical schemes for stochastic differential equations 0 0 1 31 1 1 4 60
Intraday Empirical Analysis and Modeling of Diversified World Stock Indices 0 0 0 146 0 1 1 444
Investing for the Long Run 0 0 0 15 1 1 2 38
Investing for the Long Run 0 0 0 69 1 2 5 188
Investments for the Short and Long Run 0 0 0 162 0 0 0 351
Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options 0 0 0 393 0 3 3 2,348
Less Expensive Pricing and Hedging of Long-Dated Equity Index Options When Interest Rates are Stochastic 0 0 1 38 0 0 2 100
Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity 0 0 0 3 1 2 3 29
Liability Driven Investments under a Benchmark Based Approach 0 0 2 69 1 1 4 181
Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts 1 1 1 23 3 5 8 32
Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts 0 0 2 45 1 1 5 101
Local Risk-Minimization under the Benchmark Approach 0 0 0 22 1 1 1 102
Local Risk-Minimization under the Benchmark Approach 0 0 0 11 0 0 0 42
Local Volatility Function Models under a Benchmark Approach 0 0 0 541 0 1 2 1,461
Market Efficiency and Growth Optimal Portfolio 0 0 1 14 0 2 3 48
Market Efficiency and the Growth Optimal Portfolio 0 0 0 93 2 2 3 324
Memorandum on a new financial architecture and new regulations 0 0 0 5 1 1 1 10
Minimizing the Expected Market Time to Reach a Certain Wealth Level 0 0 0 29 1 2 4 135
Minimizing the expected market time to reach a certain wealth level 0 0 0 19 0 2 3 89
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 1 2 2 495
Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae 0 0 0 91 0 0 3 233
Modelling the Stochastic Dynamics of Volatility for Equity Indices 0 0 0 0 0 0 1 192
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 1 1 65
Natural Disasters, Insurance Stocks and the Numeraire Portfolio 0 0 0 0 1 1 1 20
No arbitrage and multiplicative special semimartingales 0 0 0 5 3 3 3 25
No-Arbitrage Concepts in Topological Vector Lattices 0 0 1 10 4 5 7 40
No-arbitrage concepts in topological vector lattices 0 0 0 1 1 2 2 12
Numerical Comparison of Local Risk-Minimisation & Mean-Variance Hedging 0 0 0 0 2 3 10 32
Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing 0 0 0 2 0 2 8 1,879
On Explicit Probability Laws for Classes of Scalar Diffusions 0 0 0 47 1 1 3 130
On Feedback Effects from Hedging Derivatives 0 0 0 0 0 0 3 401
On Financial Markets where only Buy-And-Hold Trading is Possible 0 0 0 74 2 3 5 222
On Honest Times in Financial Modeling 0 0 0 89 0 0 1 210
On Using Equities to Produce Pension Payouts 0 0 2 12 1 1 4 42
On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance 0 0 0 140 0 2 2 407
On effects of discretization on estimators of drift parameters for diffusion processes 0 0 0 7 0 0 2 29
On honest times in financial modeling 0 0 0 20 0 0 7 102
On the Distributional Characterization of Log-returns of a World Stock Index 0 0 0 193 1 1 4 678
On the Dybvig-Ingersoll-Ross Theorem 0 0 0 30 0 0 1 142
On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance 0 0 0 144 0 0 2 333
On the Log-Return Distribution of Index Benchmarked Share Prices 0 0 0 1 0 0 0 1,140
On the Marginal Distribution of Trade Weighted Currency Indices 0 0 0 0 0 2 3 317
On the Numerical Stability of Simulation Methods for SDES 0 0 0 86 1 1 1 246
On the Pricing and Hedging of Long Dated Zero Coupon Bonds 0 0 0 206 0 2 2 826
On the Role of the Growth Optimal Portfolio in Finance 0 0 0 721 0 1 2 1,597
On the Strong Approximation of Jump-Diffusion Processes 0 0 2 370 0 5 8 768
On the Strong Approximation of Pure Jump Processes 1 1 1 193 4 4 4 418
On the Use of Equities in Target Date Funds 0 0 1 10 0 2 3 24
On the existence of sure profits via flash strategies 0 0 0 69 0 0 0 38
On the semimartingale property of discounted asset-price processes 0 0 0 37 1 1 2 138
Option pricing for a logstable asset price model 0 0 0 5 0 2 2 16
Perfect Hedging of Index Derivatives Under a Locally Arbitrage Free Minimal Market Model 0 0 0 94 2 2 3 374
Pricing Volatility Derivatives Under the Modified Constant Elasticity of Variance Model 0 0 0 33 0 0 0 62
Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models 0 0 0 250 0 0 1 595
Pricing and Hedging in the Presence of Transaction Costs Under Local Risk Minimisation 0 0 0 0 0 0 0 132
Pricing and hedging of long dated variance swaps under a 3/2 volatility model 0 0 0 5 2 2 3 19
Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling 0 0 0 128 1 2 2 430
Pricing of long dated equity-linked life insurance contracts 0 0 1 5 2 2 5 20
Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models 0 0 0 236 1 3 3 890
Pricing via anticipative stochastic calculus 0 0 0 2 0 0 0 8
Principles for modelling financial markets 0 0 0 6 0 0 0 11
Processes of Class Sigma, Last Passage Times, and Drawdowns 0 0 0 1 1 2 5 13
Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts 0 0 0 7 1 1 1 27
Quasi-exact Approximation of Hidden Markov Chain Filters 0 0 0 17 1 1 1 77
Rate of Convergence of the Euler Approximation for Diffusion Processes 0 1 3 45 0 1 6 80
Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps 0 0 0 168 0 0 3 479
Real World Pricing for a Modified Constant Elasticity of Variance Model 0 0 0 60 0 1 2 214
Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees 0 0 0 39 5 5 9 165
Real World Pricing of Long Term Contracts 0 0 0 131 3 3 3 366
Real-World Forward Rate Dynamics With Affine Realizations 0 0 0 2 0 0 1 14
Real-world forward rate dynamics with affine realizations 0 0 0 1 0 0 0 10
Recovering the Real-World Density and Liquidity Premia From Option Data 0 0 2 68 0 1 3 160
Recursive Marginal Quantization of Higher-Order Schemes 0 0 3 8 0 0 4 37
Relations between multiple ito and stratonovich integrals 1 1 2 14 4 4 5 40
Risk Premia and Financial Modelling Without Measure Transformation 0 0 0 109 0 3 3 372
Risk premia and financial modelling without measure transformation 0 0 0 61 0 0 0 239
Robust Product Markovian Quantization 0 0 1 4 2 4 6 17
Semiparametric Diffusion Estimation and Application to a Stock Market Index 0 0 0 91 1 1 1 310
Semiparametric diffusion estimation and application to a stock market index 0 0 0 59 0 0 1 298
Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps 0 0 0 456 0 1 1 2,011
Simulation of Diversified Portfolios in a Continuous Financial Market 0 0 0 91 0 1 1 241
Simulation of Diversified Portfolios in a Continuous Financial Market 0 0 0 101 3 4 4 269
Stability of weak numerical schemes for stochastic differential equations 0 0 0 2 2 3 4 14
Stochastic Modelling of the COVID-19 Epidemic 0 0 2 86 0 2 4 237
Stratonovich and Ito Stochastic Taylor Expansions 0 0 5 27 1 2 8 56
Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay 0 0 0 293 1 2 2 849
Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations 0 1 2 228 1 4 7 658
Strong approximations of stochastic differential equations with jumps 0 0 0 5 1 1 3 29
Strong discrete time approximation of Stochastic Differential Equations with Time Delay 0 0 0 0 0 0 5 499
Stylised Properties of the Interest Rate Term Structure Under The Benchmark Approach 0 0 1 25 0 1 4 81
Sure Profits via Flash Strategies and the Impossibility of Predictable Jumps 0 0 0 28 2 2 4 88
Symmetry Group Methods for Fundamental Solutions and Characteristic Functions 0 0 1 184 1 1 4 548
Symmetry group methods for fundamental solutions 0 0 1 3 3 3 5 24
The Affine Nature of Aggregate Wealth Dynamics 0 0 0 19 1 2 4 84
The Fundamental Theorem of Asset Pricing for Self-Financing Portfolios 0 0 2 43 0 1 9 129
The History of the Quantitative Methods in Finance Conference Series. 1992-2007 0 0 0 152 0 1 1 362
The Law of Minimal Price 0 0 0 136 0 1 1 506
The Small and Large Time Implied Volatilities in the Minimal Market Model 0 0 0 20 0 1 2 74
The Small and Large Time Implied Volatilities in the Minimal Market Model 0 0 1 24 0 0 5 75
The approximation of multiple stochastic integrals 0 0 5 60 1 1 7 121
The numeraire property and long-term growth optimality for drawdown-constrained investments 0 0 0 18 0 0 2 79
The numéraire property and long-term growth optimality for drawdown-constrained investments 0 0 0 2 0 0 0 31
Three-Benchmarked Risk Minimization for Jump Diffusion Markets 0 0 0 65 0 0 1 170
Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities 0 0 1 119 1 4 6 336
Time Discrete Taylor Approximations for Ito Processes with Jump Component 0 0 2 34 1 2 5 67
Two-Factor Model for Low Interest Rate Regimes 0 0 0 386 1 1 3 1,432
Understanding the Implied Volatility Surface for Options on a Diversified Index 0 0 0 921 0 1 2 3,443
Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index 0 0 0 58 1 2 2 153
Valuation of FX barrier options under stochastic volatility 0 0 0 4 0 1 2 13
Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities Under a Benchmark Approach 1 1 1 217 1 3 5 673
Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay 0 0 0 170 0 1 3 504
Weak discrete time approximation of stochastic differential equations with time delay 0 0 0 98 0 1 3 649
Über die stabilität des Euler-Schemas für eine Affine Stochastische Differentialgleichung mit Gedächtnis 0 0 0 16 1 1 1 268
Total Working Papers 5 10 72 20,079 150 295 586 74,240

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 1 1 1 68 2 4 8 210
A Benchmark Approach to Filtering in Finance 0 0 0 37 0 1 2 173
A Benchmark Approach to Portfolio Optimization under Partial Information 0 0 0 38 0 3 4 158
A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets 0 0 0 60 1 3 3 143
A Discrete Time Benchmark Approach for Insurance and Finance 0 0 0 2 0 0 2 16
A Fair Pricing Approach to Weather Derivatives 0 0 1 136 1 2 5 403
A Hybrid Model for Pricing and Hedging of Long-dated Bonds 0 0 0 3 1 1 3 27
A Structure for General and Specific Market Risk 0 0 0 4 2 2 3 37
A Two-Factor Model for Low Interest Rate Regimes 0 0 0 79 0 0 1 355
A benchmark approach to asset management 0 0 0 0 0 1 2 7
A hardware generator of multi-point distributed random numbers for Monte Carlo simulation 0 0 0 0 0 0 0 25
A law of large numbers for wide range exclusion processes in random media 0 0 0 0 0 0 1 12
A reading guide for last passage times with financial applications in view 0 0 0 7 0 1 1 49
A short term interest rate model 0 0 0 753 1 1 1 2,083
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 1 7 0 1 3 91
AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL 0 0 0 1 2 3 3 15
ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE 0 0 0 0 1 2 2 10
APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS 1 1 7 33 4 13 29 115
APPROXIMATING THE GROWTH OPTIMAL PORTFOLIO AND STOCK PRICE BUBBLES 0 0 1 19 2 2 3 62
Alternative Defaultable Term Structure Models 0 0 0 1 2 3 5 24
Applications of the balanced method to stochastic differential equations in filtering 0 0 0 5 1 2 5 30
Approximating Large Diversified Portfolios 0 0 0 3 0 0 0 29
Approximating the numéraire portfolio by naive diversification 0 0 0 3 1 1 1 28
Approximation of jump diffusions in finance and economics 0 0 1 62 0 0 1 186
BENCHMARKED RISK MINIMIZATION 0 0 0 3 0 2 2 20
CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH 0 0 0 11 1 2 2 51
CURRENCY DERIVATIVES UNDER A MINIMAL MARKET MODEL WITH RANDOM SCALING 0 0 0 0 0 0 2 8
Calibration to FX triangles of the 4/2 model under the benchmark approach 0 0 0 1 2 6 6 15
Consistent pricing and hedging for a modified constant elasticity of variance model 0 1 1 52 1 3 4 169
Credit Derivative Evaluation and CVA Under the Benchmark Approach 0 0 0 7 0 3 4 47
DYNAMIC ASSET ALLOCATION FOR TARGET DATE FUNDS UNDER THE BENCHMARK APPROACH 0 0 4 27 0 0 7 43
Detecting money market bubbles 0 0 0 7 0 6 8 63
Diversified Portfolios with Jumps in a Benchmark Framework 0 0 0 36 0 1 1 178
Editorials 0 0 0 0 1 1 2 38
Empirical behavior of a world stock index from intra-day to monthly time scales 0 0 0 4 1 4 4 37
Estimating the diffusion coefficient function for a diversified world stock index 0 0 0 5 0 1 1 43
First Order Strong Approximations of Jump Diffusions 0 0 0 4 3 4 4 29
Intraday Empirical Analysis and Modeling of Diversified World Stock Indices 0 0 0 29 0 2 2 149
Local volatility function models under a benchmark approach 0 0 0 124 1 3 4 467
MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX 0 0 0 4 3 4 5 19
Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae 0 0 0 10 1 1 1 97
ON THE ROLE OF THE GROWTH OPTIMAL PORTFOLIO IN FINANCE 0 0 1 89 2 2 4 351
On Feedback Effects from Hedging Derivatives 0 0 2 36 1 1 6 100
On the Distributional Characterization of Daily Log-Returns of a World Stock Index 0 0 0 139 0 1 2 751
On the numerical stability of simulation methods for SDEs under multiplicative noise in finance 0 0 0 3 1 1 3 25
On the semimartingale property of discounted asset-price processes 0 0 0 4 0 0 0 46
On weak implicit and predictor-corrector methods 0 0 0 9 0 0 1 39
Option Pricing Under Incompleteness and Stochastic Volatility 0 0 1 39 0 1 2 99
PERFECT HEDGING OF INDEX DERIVATIVES UNDER A MINIMAL MARKET MODEL 0 0 0 3 0 0 0 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 4 7 10 94
Pricing of index options under a minimal market model with log-normal scaling 0 0 0 8 0 1 2 52
Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps 0 0 0 1 1 1 1 14
Real-World Pricing for a Modified Constant Elasticity of Variance Model 0 0 0 5 2 2 3 74
Real-world jump-diffusion term structure models 0 0 2 54 0 1 4 167
Recovering the real-world density and liquidity premia from option data 0 0 0 7 2 4 4 34
Recursive marginal quantization of higher-order schemes 0 0 0 4 0 0 1 14
SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS 0 0 0 8 1 1 1 67
Semiparametric diffusion estimation and application to a stock market index 0 0 0 18 0 1 1 124
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 1 1 20 1 2 6 81
Subordinated Market Index Models: A Comparison 0 0 1 63 1 2 4 246
THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS 0 0 0 0 0 1 4 28
THE SMALL AND LARGE TIME IMPLIED VOLATILITIES IN THE MINIMAL MARKET MODEL 0 0 0 1 0 1 2 14
Understanding the Implied Volatility Surface for Options on a Diversified Index 0 0 0 106 0 0 0 482
Weak convergence of semimartingales and discretisation methods 0 0 0 6 0 0 1 31
Weak discrete time approximation of stochastic differential equations with time delay 0 0 1 3 0 1 2 33
Total Journal Articles 2 4 26 2,320 51 120 211 8,867

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 3 3 9 52
A Benchmark Framework for Risk Management 0 0 0 13 2 3 4 49
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 1 2 5
Total Chapters 0 0 1 27 5 7 15 122

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2025-12-06