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~subject:"Benchmark approach"
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Benchmark approach
benchmark approach
40
Portfolio selection
19
Portfolio-Management
19
growth optimal portfolio
16
Theorie
15
Theory
15
Benchmarking
14
Stochastic process
11
Stochastischer Prozess
11
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9
Optionspreistheorie
9
Volatility
9
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9
minimal market model
8
Derivat
7
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7
numeraire portfolio
7
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6
fair pricing
6
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5
Growth optimal portfolio
5
real-world pricing
5
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4
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4
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4
bond
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Platen, Eckhard
15
Baldeaux, Jan
4
Grasselli, Martino
4
Biagini, Francesca
3
Cretarola, Alessandra
3
Ceci, Claudia
2
Colaneri, Katia
2
El Qalli, Yassine
2
Gnoatto, Alessandro
2
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2
Bruti-Liberati, Nicola
1
Chan, Leunglung
1
Fergusson, Kevin
1
Fontana, Claudio
1
Groll, Andreas
1
Guo, Zhi Jun
1
Heath, David
1
Hu, Shan
1
Ignatieva, Ekaterina
1
Jaschke, S.
1
Jiang, Yi
1
MILLER, SHANE M.
1
Marquardt, T.
1
Miller, Shane
1
PLATEN, ECKHARD
1
Pavarana, Simone
1
Runggaldier, Wolfgang J.
1
Widenmann, Jan
1
Yan, Da
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1
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Economics and Econometrics Research Institute (EERI)
1
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1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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EERI Research Paper Series
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Insurance / Mathematics & economics
2
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2
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1
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1
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1
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1
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1
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1
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1
International Journal of Theoretical and Applied Finance (IJTAF)
1
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1
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1
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ECONIS (ZBW)
14
RePEc
11
EconStor
1
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1
A stochastic control perspective on term structure models with roll-over risk
Fontana, Claudio
;
Pavarana, Simone
;
Runggaldier, Wolfgang J.
- In:
Finance and stochastics
27
(
2023
)
4
,
pp. 903-932
Persistent link: https://www.econbiz.de/10014426396
Saved in:
2
Less-expensive long-term annuities linked to mortality, cash and equity
Fergusson, Kevin
;
Platen, Eckhard
- In:
Annals of actuarial science : publ. by the Institute of …
17
(
2023
)
1
,
pp. 170-207
Persistent link: https://www.econbiz.de/10014306947
Saved in:
3
Calibration to FX triangles of the 4/2 model under the
benchmark
approach
Gnoatto, Alessandro
;
Grasselli, Martino
;
Platen, Eckhard
- In:
Decisions in economics and finance : a journal of …
45
(
2022
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10013380525
Saved in:
4
Calibration to FX triangles of the 4/2 model under the
benchmark
approach
Gnoatto, Alessandro
;
Grasselli, Martino
;
Platen, Eckhard
-
2021
Persistent link: https://www.econbiz.de/10013347384
Saved in:
5
Proposing a carbon emission responsibility allocation method with
benchmark
approach
Zhang, Yang
;
Hu, Shan
;
Yan, Da
;
Jiang, Yi
- In:
Ecological economics : the transdisciplinary journal of …
213
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014431503
Saved in:
6
Detecting money market bubbles
Baldeaux, Jan
;
Ignatieva, Ekaterina
;
Platen, Eckhard
- In:
Journal of banking & finance
87
(
2018
),
pp. 369-379
Persistent link: https://www.econbiz.de/10011962562
Saved in:
7
Polynomial diffusion models for life insurance liabilities
Biagini, Francesca
;
Zhang, Yinglin
- In:
Insurance / Mathematics & economics
71
(
2016
),
pp. 114-129
Persistent link: https://www.econbiz.de/10011630620
Saved in:
8
Pricing currency derivatives under the
benchmark
approach
Baldeaux, Jan
;
Grasselli, Martino
;
Platen, Eckhard
- In:
Journal of Banking & Finance
53
(
2015
)
C
,
pp. 34-48
currencies and find that the risk neutral approach fails for the calibrated model, while the
benchmark
approach
still works. …
Persistent link: https://www.econbiz.de/10011209855
Saved in:
9
Credit derivative evaluation and CVA under the
benchmark
approach
Baldeaux, Jan
;
Platen, Eckhard
- In:
Asia-Pacific financial markets
22
(
2015
)
3
,
pp. 305-331
Persistent link: https://www.econbiz.de/10011524811
Saved in:
10
Pricing volatility derivatives under the modified constant elasticity of variance model
Chan, Leunglung
;
Platen, Eckhard
- In:
Operations research letters
43
(
2015
)
4
,
pp. 419-422
Persistent link: https://www.econbiz.de/10011372401
Saved in:
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