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 1 1 11 456
A Benchmark Approach to Finance 0 1 3 595 5 10 24 1,486
A Benchmark Approach to Investing and Pricing 0 0 0 141 2 2 5 321
A Benchmark Approach to Portfolio Optimization under Partial Information 0 0 0 203 4 6 10 579
A Benchmark Framework for Integrated Risk Management 0 0 0 175 1 2 4 441
A Benchmark Framework for Risk Management 0 0 0 527 2 5 13 1,665
A Benchmark Model for Financial Markets 0 0 0 579 1 2 8 3,150
A Discrete Time Benchmark Approach for Finance and Insurance 0 0 0 161 3 3 7 571
A Financial Market Model 0 0 0 0 1 2 13 221
A Financial Market Model with Trading Volume and Stochastic Volatility 0 0 0 1 2 4 9 299
A General Benchmark Model for Stochastic Jump Sizes 0 0 0 116 1 2 10 535
A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation 0 0 0 135 0 2 5 600
A Hybrid Model for Pricing and Hedging of Long Dated Bonds 0 0 0 71 4 4 9 192
A Minimal Financial Market Model 0 0 0 1 1 2 9 1,058
A Minimal Share Market Model with Stochastic Volatility 0 0 0 1 1 2 9 496
A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model 0 0 0 84 1 1 11 198
A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds 0 0 0 18 2 5 9 87
A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds 0 0 0 8 2 2 7 208
A Structure for General and Specific Market Risk 0 0 0 428 5 5 11 1,283
A Tractable Model for Indices Approximating the Growth Optimal Portfolio 0 0 0 21 1 2 5 93
A Unifying Approach to Asset Pricing 0 0 0 99 2 2 14 216
A Variance Reduction Technique Based on Integral Representations 0 0 0 264 2 4 10 700
A Visual Classification of Local Martingales 0 0 0 138 0 0 2 352
A Visual Criterion for Identifying Ito Diffusions as Martingales or Strict Local Martingales 0 0 0 41 0 2 5 120
A benchmark approach to asset management 0 0 0 1 3 6 14 21
A benchmark model for financial markets 0 0 1 166 3 5 13 641
A class of complete benchmark models with intensity-based jumps 0 0 0 0 1 1 5 9
A minimal financial market model 0 0 1 158 1 2 8 691
A survey of numerical methods for stochastic differential equations 0 0 0 18 4 4 8 45
Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics 0 0 0 37 2 2 9 148
Alternative Defaultable Term Structure Models 1 1 1 88 3 4 13 207
Alternative Term Structure Models for Reviewing Expectations Puzzles 0 0 1 32 3 3 8 98
An Alternative Interest Rate Term Structure Model 0 0 0 259 1 4 9 815
An Intraday Empirical Analysis of Electricity Price Behaviour 0 0 0 282 1 3 15 711
An Introduction to Numerical Methods for Stochastic Differential Equations 0 0 0 6 5 6 18 3,606
Analytic Pricing of Contingent Claims Under the Real-World Measure 0 0 1 134 2 3 11 350
Application of Maximum Likelihood Estimation to Stochastic Short Rate Models 0 0 0 70 3 5 16 202
Applications of the Balanced Method to Stochastic Differential Equations in Filtering 0 0 0 0 3 3 7 250
Approximating the Growth Optimal Portfolio with a Diversified World Stock Index 0 0 0 232 2 3 9 579
Approximating the Growth Optimal Portfolio with a Diversified World Stock Index 0 0 0 166 2 2 10 489
Approximating the Numeraire Portfolio by Naive Diversification 0 0 0 71 3 3 4 455
Approximation of Jump Diffusions in Finance and Economics 0 0 0 371 2 2 9 729
Arbitrage in Continuous Complete Markets 0 0 0 164 2 4 10 446
Asset Markets and Monetary Policy 0 0 0 196 2 3 7 342
Axiomatic principles for a market model 0 0 0 0 2 3 8 13
Balanced Implicit Methods for Stiff Stochastic Systems 0 0 0 32 1 3 10 79
Benchmark Model with Intensity Based Jumps 0 0 0 69 4 4 8 227
Benchmark Pricing of Credit Derivatives Under a Standard Market Model 0 0 0 181 3 3 10 662
Benchmarked Risk Minimizing Hedging Strategies for Life Insurance Policies 0 0 0 17 1 5 9 46
Benchmarking and Fair Pricing Applied to Two Market Models 0 0 0 138 2 5 12 369
Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach 0 0 0 5 3 9 13 23
Capital Asset Pricing for Markets with Intensity Based Jumps 0 0 0 134 2 2 7 340
Comparison of Some Key Approaches to Hedging in Incomplete Markets 0 0 0 1 3 4 11 200
Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods 0 1 1 33 1 3 10 105
Consistent Market Extensions under the Benchmark Approach 0 0 0 67 4 4 14 202
Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model 0 0 0 275 2 2 11 684
Credit Derivative Evaluation and CVA under the Benchmark Approach 0 0 0 88 2 3 8 220
Currency Derivatives under a Minimal Market Model with Random Scaling 0 0 0 194 4 4 9 654
Detecting Money Market Bubbles 0 0 0 85 2 2 8 282
Distributional Deviations in Random Number Generation in Finance 0 0 0 86 3 6 10 327
Diversified Portfolios in a Benchmark Framework 0 0 0 0 4 4 11 300
Diversified Portfolios with Jumps in a Benchmark Framework 0 0 0 135 2 2 8 349
Dynamics of a Well-Diversified Equity Index 0 0 0 87 4 6 13 271
Empirical Behavior of a World Stock Index from Intra-Day to Monthly Time Scales 0 0 0 70 1 1 7 179
Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices 0 0 0 330 2 3 10 1,059
Estimating for Discretely Observed Diffusions Using Transform Functions 0 0 0 61 2 2 5 173
Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model 0 0 0 59 1 1 6 149
Exact Scenario Simulation for Selected Multi-dimensional Stochastic Processes 0 0 2 74 1 3 6 199
Existence of Equivalent Local Martingale Deflators in Semimartingale Market Models 0 0 1 10 1 1 3 55
Existence of equivalent local martingale deflators in semimartingale market models 0 0 0 1 6 6 10 17
Exploiting arbitrage requires short selling 0 0 0 2 1 2 5 22
Extrapolation Methods For The Weak Approximation Of Ito Diffusions 0 0 0 7 2 2 6 27
Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach 0 0 0 6 0 1 2 17
Fair Pricing of Weather Derivatives 0 0 2 860 1 1 8 1,894
Fast Quantization of Stochastic Volatility Models 0 0 0 96 1 2 7 162
Fast Quantization of Stochastic Volatility Models 0 0 0 3 2 3 10 47
Filtering and Parameter Estimation for a Mean Reverting Interest Rate Model 0 0 0 0 8 9 17 773
Financial market meltdown and a need for new financial regulations 0 0 0 2 3 3 8 21
Hedging for the Long Run 0 0 0 157 2 2 10 408
Hedging long-dated interest rate derivatives for Australian pension funds and life insurers 0 0 0 4 1 3 6 20
Hidden Markov Chain Filtering for Generalised Bessel Processes 0 0 0 0 3 4 6 256
Higher-order implicit strong numerical schemes for stochastic differential equations 0 0 0 31 5 5 13 70
Intraday Empirical Analysis and Modeling of Diversified World Stock Indices 0 0 0 146 4 5 12 455
Investing for the Long Run 0 0 0 69 0 2 12 197
Investing for the Long Run 0 0 0 15 1 2 9 46
Investments for the Short and Long Run 0 0 0 162 2 2 4 355
Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options 0 0 0 393 3 4 13 2,358
Less Expensive Pricing and Hedging of Long-Dated Equity Index Options When Interest Rates are Stochastic 0 0 1 38 3 4 7 106
Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity 0 0 0 3 4 5 15 41
Liability Driven Investments under a Benchmark Based Approach 0 0 0 69 1 2 7 187
Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts 0 0 2 45 1 3 14 111
Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts 0 0 1 23 6 7 23 48
Local Risk-Minimization under the Benchmark Approach 0 0 0 11 0 0 2 44
Local Risk-Minimization under the Benchmark Approach 0 0 0 22 3 3 9 110
Local Volatility Function Models under a Benchmark Approach 0 0 0 541 4 6 7 1,467
Market Efficiency and Growth Optimal Portfolio 0 0 0 14 2 3 9 55
Market Efficiency and the Growth Optimal Portfolio 0 0 0 93 2 2 7 328
Memorandum on a new financial architecture and new regulations 0 0 0 5 1 1 6 15
Minimizing the Expected Market Time to Reach a Certain Wealth Level 0 0 0 29 3 3 8 141
Minimizing the expected market time to reach a certain wealth level 0 0 0 19 1 1 12 99
Modeling of Oil Prices 0 0 0 97 2 2 8 253
Modeling the Volatility and Expected Value of a Diversified World Index 0 0 0 146 0 1 7 500
Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae 0 0 0 91 3 6 15 246
Modelling the Stochastic Dynamics of Volatility for Equity Indices 0 0 0 0 5 8 8 200
Multiplicative Approximation of Wealth Processes Involving No-Short-Sale Strategies 0 0 0 6 2 2 2 40
Multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading 0 0 0 12 1 2 7 71
Natural Disasters, Insurance Stocks and the Numeraire Portfolio 0 0 0 0 1 1 7 26
No arbitrage and multiplicative special semimartingales 0 0 0 5 3 4 9 31
No-Arbitrage Concepts in Topological Vector Lattices 0 0 1 10 1 4 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 3 4 13 38
Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing 0 0 0 2 3 3 13 1,889
On Explicit Probability Laws for Classes of Scalar Diffusions 0 0 0 47 3 3 9 137
On Feedback Effects from Hedging Derivatives 0 0 0 0 0 1 7 406
On Financial Markets where only Buy-And-Hold Trading is Possible 0 1 1 75 3 5 16 233
On Honest Times in Financial Modeling 0 0 0 89 0 1 3 212
On Using Equities to Produce Pension Payouts 0 0 1 12 1 3 12 51
On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance 0 0 0 140 3 5 10 415
On effects of discretization on estimators of drift parameters for diffusion processes 0 0 0 7 5 5 6 35
On honest times in financial modeling 0 0 0 20 0 0 5 103
On the Distributional Characterization of Log-returns of a World Stock Index 0 0 0 193 2 3 13 687
On the Dybvig-Ingersoll-Ross Theorem 0 0 0 30 0 1 16 157
On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance 0 0 0 144 2 6 13 346
On the Log-Return Distribution of Index Benchmarked Share Prices 0 0 0 1 1 2 5 1,145
On the Marginal Distribution of Trade Weighted Currency Indices 0 0 0 0 2 4 11 325
On the Numerical Stability of Simulation Methods for SDES 0 0 0 86 1 4 9 254
On the Pricing and Hedging of Long Dated Zero Coupon Bonds 0 0 0 206 3 4 12 836
On the Role of the Growth Optimal Portfolio in Finance 0 0 0 721 3 6 8 1,603
On the Strong Approximation of Jump-Diffusion Processes 0 0 1 370 5 6 19 781
On the Strong Approximation of Pure Jump Processes 0 0 1 193 1 3 11 425
On the Use of Equities in Target Date Funds 0 0 1 10 1 3 9 30
On the existence of sure profits via flash strategies 0 0 0 69 0 6 12 50
On the semimartingale property of discounted asset-price processes 0 0 0 37 2 2 6 143
Option pricing for a logstable asset price model 0 0 1 6 1 1 8 22
Perfect Hedging of Index Derivatives Under a Locally Arbitrage Free Minimal Market Model 0 0 0 94 1 2 8 380
Pricing Volatility Derivatives Under the Modified Constant Elasticity of Variance Model 0 0 0 33 3 3 7 69
Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models 0 0 0 250 2 3 4 599
Pricing and Hedging in the Presence of Transaction Costs Under Local Risk Minimisation 0 0 0 0 2 3 4 136
Pricing and hedging of long dated variance swaps under a 3/2 volatility model 0 0 0 5 0 2 10 27
Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling 0 0 0 128 2 2 9 437
Pricing of long dated equity-linked life insurance contracts 0 0 1 5 4 4 12 28
Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models 0 0 0 236 1 2 11 898
Pricing via anticipative stochastic calculus 0 0 0 2 1 2 5 13
Principles for modelling financial markets 0 0 0 6 4 4 8 19
Processes of Class Sigma, Last Passage Times, and Drawdowns 0 0 0 1 2 2 8 16
Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts 0 0 0 7 1 1 8 34
Quasi-exact Approximation of Hidden Markov Chain Filters 0 0 0 17 1 1 3 79
Rate of Convergence of the Euler Approximation for Diffusion Processes 0 0 3 45 0 1 7 84
Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps 0 0 0 168 2 2 12 489
Real World Pricing for a Modified Constant Elasticity of Variance Model 0 0 0 60 0 1 4 216
Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees 0 0 0 39 2 2 19 176
Real World Pricing of Long Term Contracts 0 0 0 131 1 3 13 376
Real-World Forward Rate Dynamics With Affine Realizations 0 0 0 2 1 1 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 0 0 0 68 0 4 15 174
Recursive Marginal Quantization of Higher-Order Schemes 0 0 3 8 2 3 10 44
Relations between multiple ito and stratonovich integrals 0 0 1 14 2 2 8 44
Risk Premia and Financial Modelling Without Measure Transformation 0 0 0 109 3 3 11 380
Risk premia and financial modelling without measure transformation 0 0 0 61 1 1 5 244
Robust Product Markovian Quantization 0 0 0 4 2 3 11 23
Semiparametric Diffusion Estimation and Application to a Stock Market Index 0 0 0 91 2 4 11 320
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 3 4 10 2,020
Simulation of Diversified Portfolios in a Continuous Financial Market 0 0 0 91 0 1 3 243
Simulation of Diversified Portfolios in a Continuous Financial Market 0 0 0 101 2 3 12 277
Stability of weak numerical schemes for stochastic differential equations 0 0 0 2 2 4 7 18
Stochastic Modelling of the COVID-19 Epidemic 0 0 1 86 0 1 6 240
Stratonovich and Ito Stochastic Taylor Expansions 0 1 5 28 2 3 14 63
Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay 0 0 0 293 1 2 11 858
Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations 0 0 1 228 2 3 12 665
Strong approximations of stochastic differential equations with jumps 0 0 0 5 3 4 11 38
Strong discrete time approximation of Stochastic Differential Equations with Time Delay 0 0 0 0 0 1 5 502
Stylised Properties of the Interest Rate Term Structure Under The Benchmark Approach 0 0 0 25 2 3 6 85
Sure Profits via Flash Strategies and the Impossibility of Predictable Jumps 0 0 0 28 3 8 19 105
Symmetry Group Methods for Fundamental Solutions and Characteristic Functions 0 0 0 184 4 6 14 559
Symmetry group methods for fundamental solutions 0 0 0 3 0 0 9 30
The Affine Nature of Aggregate Wealth Dynamics 0 0 0 19 3 5 10 91
The Fundamental Theorem of Asset Pricing for Self-Financing Portfolios 0 0 1 43 1 1 12 137
The History of the Quantitative Methods in Finance Conference Series. 1992-2007 0 0 0 152 0 0 2 363
The Law of Minimal Price 0 0 0 136 1 1 8 513
The Small and Large Time Implied Volatilities in the Minimal Market Model 0 0 1 24 1 3 9 79
The Small and Large Time Implied Volatilities in the Minimal Market Model 0 0 0 20 2 2 6 79
The approximation of multiple stochastic integrals 0 1 1 61 3 5 12 132
The numeraire property and long-term growth optimality for drawdown-constrained investments 0 0 0 18 1 2 9 88
The numéraire property and long-term growth optimality for drawdown-constrained investments 0 0 0 2 2 2 6 37
Three-Benchmarked Risk Minimization for Jump Diffusion Markets 0 0 0 65 1 2 6 175
Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities 0 0 1 119 1 2 11 341
Time Discrete Taylor Approximations for Ito Processes with Jump Component 0 1 2 36 3 4 15 80
Two-Factor Model for Low Interest Rate Regimes 0 0 0 386 2 3 13 1,443
Understanding the Implied Volatility Surface for Options on a Diversified Index 0 0 0 921 4 4 9 3,451
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 1 1 2 14
Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities Under a Benchmark Approach 0 0 1 217 8 9 16 686
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 3 9 655
Über die stabilität des Euler-Schemas für eine Affine Stochastische Differentialgleichung mit Gedächtnis 0 0 0 16 2 3 5 272
Total Working Papers 1 7 47 20,089 390 590 1,797 75,610

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 13 218
A Benchmark Approach to Filtering in Finance 0 1 1 38 1 2 10 181
A Benchmark Approach to Portfolio Optimization under Partial Information 0 0 0 38 1 1 6 161
A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets 0 0 0 60 1 1 9 149
A Discrete Time Benchmark Approach for Insurance and Finance 0 0 0 2 2 2 5 19
A Fair Pricing Approach to Weather Derivatives 0 0 1 136 3 3 9 408
A Hybrid Model for Pricing and Hedging of Long-dated Bonds 0 0 0 3 1 3 8 33
A Structure for General and Specific Market Risk 0 0 0 4 1 1 10 45
A Two-Factor Model for Low Interest Rate Regimes 0 0 0 79 0 0 5 359
A benchmark approach to asset management 0 0 0 0 0 0 7 12
A hardware generator of multi-point distributed random numbers for Monte Carlo simulation 0 0 0 0 4 4 8 33
A law of large numbers for wide range exclusion processes in random media 0 0 0 0 1 1 2 14
A reading guide for last passage times with financial applications in view 0 0 1 8 3 3 7 55
A short term interest rate model 0 0 0 753 1 1 4 2,086
A tractable model for indices approximating the growth optimal portfolio 0 0 0 11 1 2 2 44
A variance reduction technique based on integral representations 0 0 2 8 4 5 11 99
AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL 0 0 0 1 1 3 12 24
ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE 0 0 0 0 4 5 13 21
APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS 0 0 4 33 2 4 34 128
APPROXIMATING THE GROWTH OPTIMAL PORTFOLIO AND STOCK PRICE BUBBLES 0 0 0 19 0 0 5 65
Alternative Defaultable Term Structure Models 1 1 1 2 2 3 11 32
Applications of the balanced method to stochastic differential equations in filtering 0 0 0 5 0 0 6 31
Approximating Large Diversified Portfolios 0 0 0 3 2 2 4 33
Approximating the numéraire portfolio by naive diversification 0 0 0 3 4 5 9 36
Approximation of jump diffusions in finance and economics 0 0 0 62 0 1 5 191
BENCHMARKED RISK MINIMIZATION 0 0 0 3 1 1 7 25
CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH 0 0 0 11 4 4 7 56
CURRENCY DERIVATIVES UNDER A MINIMAL MARKET MODEL WITH RANDOM SCALING 0 0 0 0 2 2 5 13
Calibration to FX triangles of the 4/2 model under the benchmark approach 0 0 0 1 5 7 22 31
Consistent pricing and hedging for a modified constant elasticity of variance model 0 0 1 52 1 1 7 172
Credit Derivative Evaluation and CVA Under the Benchmark Approach 0 0 0 7 2 2 7 50
DYNAMIC ASSET ALLOCATION FOR TARGET DATE FUNDS UNDER THE BENCHMARK APPROACH 0 0 3 27 1 1 4 44
Detecting money market bubbles 0 0 0 7 4 5 16 72
Diversified Portfolios with Jumps in a Benchmark Framework 0 0 0 36 2 2 7 184
Editorials 0 0 0 0 1 1 2 39
Empirical behavior of a world stock index from intra-day to monthly time scales 0 0 0 4 0 0 9 42
Estimating the diffusion coefficient function for a diversified world stock index 0 0 0 5 4 4 12 54
First Order Strong Approximations of Jump Diffusions 0 0 0 4 1 1 10 35
Intraday Empirical Analysis and Modeling of Diversified World Stock Indices 0 0 0 29 2 2 7 154
Local volatility function models under a benchmark approach 0 0 0 124 2 3 10 474
MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX 0 0 0 4 1 2 7 22
Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae 0 0 0 10 4 4 7 103
ON THE ROLE OF THE GROWTH OPTIMAL PORTFOLIO IN FINANCE 0 0 1 90 4 5 11 359
On Feedback Effects from Hedging Derivatives 0 0 2 36 2 5 17 112
On the Distributional Characterization of Daily Log-Returns of a World Stock Index 0 0 0 139 2 2 8 758
On the numerical stability of simulation methods for SDEs under multiplicative noise in finance 0 0 0 3 2 2 13 36
On the semimartingale property of discounted asset-price processes 0 0 0 4 2 2 5 51
On weak implicit and predictor-corrector methods 0 0 0 9 1 1 4 42
Option Pricing Under Incompleteness and Stochastic Volatility 0 0 3 42 4 6 14 112
PERFECT HEDGING OF INDEX DERIVATIVES UNDER A MINIMAL MARKET MODEL 0 0 0 3 2 3 10 22
Portfolio selection and asset pricing under a benchmark approach 0 0 0 7 0 2 6 48
Pricing currency derivatives under the benchmark approach 0 0 0 22 2 3 16 102
Pricing of index options under a minimal market model with log-normal scaling 0 0 0 8 2 3 6 56
Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps 0 0 0 1 2 2 8 21
Real-World Pricing for a Modified Constant Elasticity of Variance Model 0 0 0 5 3 5 7 79
Real-world jump-diffusion term structure models 0 0 2 54 2 4 14 177
Recovering the real-world density and liquidity premia from option data 0 0 0 7 2 2 6 36
Recursive marginal quantization of higher-order schemes 0 0 0 4 1 5 9 22
SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS 0 0 0 8 3 4 10 76
Semiparametric diffusion estimation and application to a stock market index 0 0 0 18 1 1 8 131
Simulation studies on time discrete diffusion approximations 0 0 0 9 2 3 3 47
Strong discrete time approximation of stochastic differential equations with time delay 0 0 1 20 5 7 16 95
Subordinated Market Index Models: A Comparison 0 0 1 63 4 4 10 253
THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS 0 0 0 0 4 6 12 38
THE SMALL AND LARGE TIME IMPLIED VOLATILITIES IN THE MINIMAL MARKET MODEL 0 0 0 1 0 0 11 23
Understanding the Implied Volatility Surface for Options on a Diversified Index 0 0 0 106 1 2 7 489
Weak convergence of semimartingales and discretisation methods 0 0 0 6 0 0 4 34
Weak discrete time approximation of stochastic differential equations with time delay 0 0 0 3 2 6 10 42
Total Journal Articles 1 2 25 2,328 132 183 606 9,308

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 4 4 16 60
A Benchmark Framework for Risk Management 0 0 0 13 2 7 17 63
Pricing and Hedging of Index Derivatives under an Alternative Asset Price Model with Endogenous Stochastic Volatility 0 0 0 2 4 4 5 21
Simulation Methods for Stochastic Differential Equations 0 0 0 0 1 1 3 7
Total Chapters 0 0 1 27 11 16 41 151

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Statistics updated 2026-05-06