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 2 2 447
A Benchmark Approach to Finance 0 1 3 594 1 9 14 1,474
A Benchmark Approach to Investing and Pricing 0 0 0 141 0 2 2 318
A Benchmark Approach to Portfolio Optimization under Partial Information 0 0 0 203 1 2 2 571
A Benchmark Framework for Integrated Risk Management 0 0 0 175 0 1 2 438
A Benchmark Framework for Risk Management 0 0 0 527 2 3 3 1,655
A Benchmark Model for Financial Markets 0 0 0 579 1 2 2 3,144
A Discrete Time Benchmark Approach for Finance and Insurance 0 0 0 161 2 2 3 567
A Financial Market Model 0 0 0 0 2 4 12 216
A Financial Market Model with Trading Volume and Stochastic Volatility 0 0 0 1 1 2 4 293
A General Benchmark Model for Stochastic Jump Sizes 0 0 0 116 1 3 4 529
A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation 0 0 0 135 0 1 1 596
A Hybrid Model for Pricing and Hedging of Long Dated Bonds 0 0 1 71 0 1 2 184
A Minimal Financial Market Model 0 0 0 1 3 6 6 1,055
A Minimal Share Market Model with Stochastic Volatility 0 0 0 1 2 3 6 492
A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model 0 0 0 84 3 4 5 191
A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds 0 0 0 18 1 2 2 80
A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds 0 0 1 8 0 1 3 203
A Structure for General and Specific Market Risk 0 0 0 428 1 2 5 1,277
A Tractable Model for Indices Approximating the Growth Optimal Portfolio 0 0 0 21 1 2 2 90
A Unifying Approach to Asset Pricing 0 0 0 99 4 9 9 211
A Variance Reduction Technique Based on Integral Representations 0 0 0 264 1 1 3 692
A Visual Classification of Local Martingales 0 0 0 138 1 1 2 351
A Visual Criterion for Identifying Ito Diffusions as Martingales or Strict Local Martingales 0 0 0 41 1 1 1 116
A benchmark approach to asset management 0 0 0 1 2 3 5 12
A benchmark model for financial markets 1 1 1 166 2 4 4 632
A class of complete benchmark models with intensity-based jumps 0 0 0 0 0 1 3 6
A minimal financial market model 0 0 1 158 2 4 5 688
A survey of numerical methods for stochastic differential equations 0 0 1 18 1 1 3 38
Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics 0 0 0 37 2 4 6 145
Alternative Defaultable Term Structure Models 0 0 0 87 3 7 9 202
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 2 2 808
An Intraday Empirical Analysis of Electricity Price Behaviour 0 0 0 282 0 4 4 700
An Introduction to Numerical Methods for Stochastic Differential Equations 0 0 0 6 2 3 12 3,595
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 8 12 195
Applications of the Balanced Method to Stochastic Differential Equations in Filtering 0 0 0 0 1 1 3 246
Approximating the Growth Optimal Portfolio with a Diversified World Stock Index 0 0 0 232 0 4 6 575
Approximating the Growth Optimal Portfolio with a Diversified World Stock Index 0 0 0 166 1 4 5 484
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 3 7 7 727
Arbitrage in Continuous Complete Markets 0 0 0 164 3 4 5 440
Asset Markets and Monetary Policy 0 0 0 196 1 1 2 337
Axiomatic principles for a market model 0 0 0 0 0 2 2 7
Balanced Implicit Methods for Stiff Stochastic Systems 0 0 1 32 2 3 7 73
Benchmark Model with Intensity Based Jumps 0 0 0 69 1 1 1 220
Benchmark Pricing of Credit Derivatives Under a Standard Market Model 0 0 0 181 1 4 4 656
Benchmarked Risk Minimizing Hedging Strategies for Life Insurance Policies 0 0 0 17 1 1 2 39
Benchmarking and Fair Pricing Applied to Two Market Models 0 0 0 138 2 3 4 361
Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach 0 0 1 5 1 1 3 11
Capital Asset Pricing for Markets with Intensity Based Jumps 0 0 0 134 2 3 4 337
Comparison of Some Key Approaches to Hedging in Incomplete Markets 0 0 0 1 1 2 4 193
Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods 0 0 0 32 2 4 4 99
Consistent Market Extensions under the Benchmark Approach 0 0 0 67 5 8 8 196
Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model 0 0 0 275 3 4 7 678
Credit Derivative Evaluation and CVA under the Benchmark Approach 0 0 0 88 0 1 3 215
Currency Derivatives under a Minimal Market Model with Random Scaling 0 0 0 194 1 1 1 646
Detecting Money Market Bubbles 0 0 0 85 2 4 5 279
Distributional Deviations in Random Number Generation in Finance 0 0 0 86 1 2 2 319
Diversified Portfolios in a Benchmark Framework 0 0 0 0 2 4 4 293
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 1 2 4 261
Empirical Behavior of a World Stock Index from Intra-Day to Monthly Time Scales 0 0 0 70 1 3 3 175
Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices 0 0 0 330 1 4 7 1,053
Estimating for Discretely Observed Diffusions Using Transform Functions 0 0 0 61 1 2 2 170
Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model 0 0 0 59 0 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 0 1 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 2 2 23
Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach 0 0 0 6 1 1 2 16
Fair Pricing of Weather Derivatives 0 0 3 860 1 1 5 1,890
Fast Quantization of Stochastic Volatility Models 0 0 0 96 1 1 2 156
Fast Quantization of Stochastic Volatility Models 0 0 0 3 2 3 5 42
Filtering and Parameter Estimation for a Mean Reverting Interest Rate Model 0 0 0 0 1 3 10 761
Financial market meltdown and a need for new financial regulations 0 0 0 2 0 2 3 15
Hedging for the Long Run 0 0 1 157 2 3 5 402
Hedging long-dated interest rate derivatives for Australian pension funds and life insurers 0 0 0 4 0 0 1 15
Hidden Markov Chain Filtering for Generalised Bessel Processes 0 0 0 0 1 2 2 252
Higher-order implicit strong numerical schemes for stochastic differential equations 0 0 0 31 3 4 6 63
Intraday Empirical Analysis and Modeling of Diversified World Stock Indices 0 0 0 146 2 3 3 446
Investing for the Long Run 0 0 0 15 1 2 3 39
Investing for the Long Run 0 0 0 69 2 4 7 190
Investments for the Short and Long Run 0 0 0 162 1 1 1 352
Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options 0 0 0 393 3 6 6 2,351
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 2 4 5 31
Liability Driven Investments under a Benchmark Based Approach 0 0 2 69 1 2 5 182
Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts 0 1 1 23 1 4 9 33
Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts 0 0 2 45 2 3 7 103
Local Risk-Minimization under the Benchmark Approach 0 0 0 22 2 3 3 104
Local Risk-Minimization under the Benchmark Approach 0 0 0 11 1 1 1 43
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 2 4 5 50
Market Efficiency and the Growth Optimal Portfolio 0 0 0 93 0 2 3 324
Memorandum on a new financial architecture and new regulations 0 0 0 5 1 2 2 11
Minimizing the Expected Market Time to Reach a Certain Wealth Level 0 0 0 29 0 2 3 135
Minimizing the expected market time to reach a certain wealth level 0 0 0 19 1 3 4 90
Modeling of Oil Prices 0 0 0 97 2 2 2 247
Modeling the Volatility and Expected Value of a Diversified World Index 0 0 0 146 1 3 3 496
Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae 0 0 0 91 2 2 5 235
Modelling the Stochastic Dynamics of Volatility for Equity Indices 0 0 0 0 0 0 0 192
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 1 2 2 66
Natural Disasters, Insurance Stocks and the Numeraire Portfolio 0 0 0 0 0 1 1 20
No arbitrage and multiplicative special semimartingales 0 0 0 5 1 4 4 26
No-Arbitrage Concepts in Topological Vector Lattices 0 0 1 10 0 4 7 40
No-arbitrage concepts in topological vector lattices 0 0 0 1 1 3 3 13
Numerical Comparison of Local Risk-Minimisation & Mean-Variance Hedging 0 0 0 0 0 3 10 32
Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing 0 0 0 2 4 6 11 1,883
On Explicit Probability Laws for Classes of Scalar Diffusions 0 0 0 47 2 3 5 132
On Feedback Effects from Hedging Derivatives 0 0 0 0 1 1 4 402
On Financial Markets where only Buy-And-Hold Trading is Possible 0 0 0 74 1 4 6 223
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 4 5 8 46
On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance 0 0 0 140 1 3 3 408
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 6 102
On the Distributional Characterization of Log-returns of a World Stock Index 0 0 0 193 2 3 6 680
On the Dybvig-Ingersoll-Ross Theorem 0 0 0 30 2 2 3 144
On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance 0 0 0 144 2 2 3 335
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 1 2 4 318
On the Numerical Stability of Simulation Methods for SDES 0 0 0 86 0 1 1 246
On the Pricing and Hedging of Long Dated Zero Coupon Bonds 0 0 0 206 2 4 4 828
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 2 7 10 770
On the Strong Approximation of Pure Jump Processes 0 1 1 193 1 5 5 419
On the Use of Equities in Target Date Funds 0 0 1 10 2 4 5 26
On the existence of sure profits via flash strategies 0 0 0 69 1 1 1 39
On the semimartingale property of discounted asset-price processes 0 0 0 37 1 2 3 139
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 1 3 4 375
Pricing Volatility Derivatives Under the Modified Constant Elasticity of Variance Model 0 0 0 33 1 1 1 63
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 1 3 4 20
Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling 0 0 0 128 1 3 3 431
Pricing of long dated equity-linked life insurance contracts 0 0 1 5 0 2 5 20
Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models 0 0 0 236 3 5 6 893
Pricing via anticipative stochastic calculus 0 0 0 2 1 1 1 9
Principles for modelling financial markets 0 0 0 6 3 3 3 14
Processes of Class Sigma, Last Passage Times, and Drawdowns 0 0 0 1 1 3 6 14
Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts 0 0 0 7 3 4 4 30
Quasi-exact Approximation of Hidden Markov Chain Filters 0 0 0 17 0 1 1 77
Rate of Convergence of the Euler Approximation for Diffusion Processes 0 1 3 45 1 2 7 81
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 0 2 214
Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees 0 0 0 39 2 7 11 167
Real World Pricing of Long Term Contracts 0 0 0 131 1 4 4 367
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 0 0 10
Recovering the Real-World Density and Liquidity Premia From Option Data 0 0 2 68 4 4 7 164
Recursive Marginal Quantization of Higher-Order Schemes 0 0 3 8 1 1 5 38
Relations between multiple ito and stratonovich integrals 0 1 2 14 0 4 5 40
Risk Premia and Financial Modelling Without Measure Transformation 0 0 0 109 2 5 5 374
Risk premia and financial modelling without measure transformation 0 0 0 61 2 2 2 241
Robust Product Markovian Quantization 0 0 1 4 0 4 6 17
Semiparametric Diffusion Estimation and Application to a Stock Market Index 0 0 0 91 1 2 2 311
Semiparametric diffusion estimation and application to a stock market index 0 0 0 59 1 1 2 299
Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps 0 0 0 456 2 3 3 2,013
Simulation of Diversified Portfolios in a Continuous Financial Market 0 0 0 91 0 0 1 241
Simulation of Diversified Portfolios in a Continuous Financial Market 0 0 0 101 0 4 4 269
Stability of weak numerical schemes for stochastic differential equations 0 0 0 2 0 3 4 14
Stochastic Modelling of the COVID-19 Epidemic 0 0 1 86 2 3 5 239
Stratonovich and Ito Stochastic Taylor Expansions 0 0 5 27 1 3 9 57
Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay 0 0 0 293 2 4 4 851
Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations 0 1 2 228 0 4 7 658
Strong approximations of stochastic differential equations with jumps 0 0 0 5 3 4 5 32
Strong discrete time approximation of Stochastic Differential Equations with Time Delay 0 0 0 0 1 1 5 500
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 0 2 4 88
Symmetry Group Methods for Fundamental Solutions and Characteristic Functions 0 0 1 184 0 1 4 548
Symmetry group methods for fundamental solutions 0 0 1 3 0 3 5 24
The Affine Nature of Aggregate Wealth Dynamics 0 0 0 19 0 2 4 84
The Fundamental Theorem of Asset Pricing for Self-Financing Portfolios 0 0 1 43 2 2 10 131
The History of the Quantitative Methods in Finance Conference Series. 1992-2007 0 0 0 152 1 2 2 363
The Law of Minimal Price 0 0 0 136 3 4 4 509
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 3 60 1 2 6 122
The numeraire property and long-term growth optimality for drawdown-constrained investments 0 0 0 18 2 2 4 81
The numéraire property and long-term growth optimality for drawdown-constrained investments 0 0 0 2 2 2 2 33
Three-Benchmarked Risk Minimization for Jump Diffusion Markets 0 0 0 65 1 1 2 171
Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities 0 0 1 119 1 5 7 337
Time Discrete Taylor Approximations for Ito Processes with Jump Component 0 0 2 34 1 2 6 68
Two-Factor Model for Low Interest Rate Regimes 0 0 0 386 3 4 6 1,435
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 3 3 154
Valuation of FX barrier options under stochastic volatility 0 0 0 4 0 1 1 13
Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities Under a Benchmark Approach 0 1 1 217 1 4 5 674
Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay 0 0 0 170 2 3 5 506
Weak discrete time approximation of stochastic differential equations with time delay 0 0 0 98 2 3 5 651
Über die stabilität des Euler-Schemas für eine Affine Stochastische Differentialgleichung mit Gedächtnis 0 0 0 16 0 1 1 268
Total Working Papers 1 10 67 20,080 222 493 779 74,462

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 1 1 68 0 4 7 210
A Benchmark Approach to Filtering in Finance 0 0 0 37 3 4 5 176
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 2 4 5 145
A Discrete Time Benchmark Approach for Insurance and Finance 0 0 0 2 1 1 3 17
A Fair Pricing Approach to Weather Derivatives 0 0 1 136 0 2 5 403
A Hybrid Model for Pricing and Hedging of Long-dated Bonds 0 0 0 3 1 2 4 28
A Structure for General and Specific Market Risk 0 0 0 4 2 4 4 39
A Two-Factor Model for Low Interest Rate Regimes 0 0 0 79 1 1 2 356
A benchmark approach to asset management 0 0 0 0 2 2 4 9
A hardware generator of multi-point distributed random numbers for Monte Carlo simulation 0 0 0 0 1 1 1 26
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 1 1 1 8 2 3 3 51
A short term interest rate model 0 0 0 753 1 2 2 2,084
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 1 1 2 8 1 2 4 92
AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL 0 0 0 1 3 6 6 18
ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE 0 0 0 0 2 4 4 12
APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS 0 1 7 33 2 14 31 117
APPROXIMATING THE GROWTH OPTIMAL PORTFOLIO AND STOCK PRICE BUBBLES 0 0 0 19 1 3 3 63
Alternative Defaultable Term Structure Models 0 0 0 1 2 5 6 26
Applications of the balanced method to stochastic differential equations in filtering 0 0 0 5 0 2 5 30
Approximating Large Diversified Portfolios 0 0 0 3 1 1 1 30
Approximating the numéraire portfolio by naive diversification 0 0 0 3 2 3 3 30
Approximation of jump diffusions in finance and economics 0 0 1 62 0 0 1 186
BENCHMARKED RISK MINIMIZATION 0 0 0 3 2 3 4 22
CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH 0 0 0 11 0 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 3 9 9 18
Consistent pricing and hedging for a modified constant elasticity of variance model 0 1 1 52 0 3 4 169
Credit Derivative Evaluation and CVA Under the Benchmark Approach 0 0 0 7 1 3 5 48
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 1 7 9 64
Diversified Portfolios with Jumps in a Benchmark Framework 0 0 0 36 2 3 3 180
Editorials 0 0 0 0 0 1 1 38
Empirical behavior of a world stock index from intra-day to monthly time scales 0 0 0 4 3 6 7 40
Estimating the diffusion coefficient function for a diversified world stock index 0 0 0 5 3 4 4 46
First Order Strong Approximations of Jump Diffusions 0 0 0 4 2 5 6 31
Intraday Empirical Analysis and Modeling of Diversified World Stock Indices 0 0 0 29 0 1 2 149
Local volatility function models under a benchmark approach 0 0 0 124 2 5 6 469
MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX 0 0 0 4 0 4 5 19
Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae 0 0 0 10 0 1 1 97
ON THE ROLE OF THE GROWTH OPTIMAL PORTFOLIO IN FINANCE 0 0 1 89 1 3 5 352
On Feedback Effects from Hedging Derivatives 0 0 2 36 2 3 8 102
On the Distributional Characterization of Daily Log-Returns of a World Stock Index 0 0 0 139 2 3 4 753
On the numerical stability of simulation methods for SDEs under multiplicative noise in finance 0 0 0 3 1 2 4 26
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 1 1 2 40
Option Pricing Under Incompleteness and Stochastic Volatility 2 2 3 41 3 4 5 102
PERFECT HEDGING OF INDEX DERIVATIVES UNDER A MINIMAL MARKET MODEL 0 0 0 3 2 2 2 14
Portfolio selection and asset pricing under a benchmark approach 0 0 0 7 1 1 1 43
Pricing currency derivatives under the benchmark approach 0 0 0 22 1 7 10 95
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 2 2 15
Real-World Pricing for a Modified Constant Elasticity of Variance Model 0 0 0 5 0 2 3 74
Real-world jump-diffusion term structure models 0 0 2 54 5 6 9 172
Recovering the real-world density and liquidity premia from option data 0 0 0 7 0 3 4 34
Recursive marginal quantization of higher-order schemes 0 0 0 4 3 3 4 17
SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS 0 0 0 8 2 3 3 69
Semiparametric diffusion estimation and application to a stock market index 0 0 0 18 5 5 6 129
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 2 3 6 83
Subordinated Market Index Models: A Comparison 0 0 1 63 2 4 6 248
THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS 0 0 0 0 1 2 4 29
THE SMALL AND LARGE TIME IMPLIED VOLATILITIES IN THE MINIMAL MARKET MODEL 0 0 0 1 1 2 3 15
Understanding the Implied Volatility Surface for Options on a Diversified Index 0 0 0 106 3 3 3 485
Weak convergence of semimartingales and discretisation methods 0 0 0 6 3 3 4 34
Weak discrete time approximation of stochastic differential equations with time delay 0 0 1 3 0 1 2 33
Total Journal Articles 4 7 29 2,324 91 199 293 8,958

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 2 5 10 54
A Benchmark Framework for Risk Management 0 0 0 13 1 4 5 50
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 3 10 17 125

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