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Search: subject:"benchmark approach"
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benchmark approach
40
Benchmark approach
26
Portfolio selection
19
Portfolio-Management
19
growth optimal portfolio
16
Theorie
15
Theory
15
Benchmarking
14
Stochastic process
11
Stochastischer Prozess
11
Option pricing theory
9
Optionspreistheorie
9
Volatility
9
Volatilität
9
minimal market model
8
Derivat
7
Derivative
7
numeraire portfolio
7
Martingal
6
Martingale
6
fair pricing
6
CAPM
5
Growth optimal portfolio
5
real-world pricing
5
Anleihe
4
Bond
4
Börsenkurs
4
Forward price
4
GOP
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4
Life insurance
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Markov chain
4
Markov-Kette
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Risiko
4
Risk
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Share price
4
Term structure
4
Yield curve
4
Zinsstruktur
4
bond
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Free
38
Undetermined
22
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Book / Working Paper
35
Article
33
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Article in journal
19
Aufsatz in Zeitschrift
19
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10
Arbeitspapier
9
Graue Literatur
9
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9
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Undetermined
36
English
32
Author
All
Platen, Eckhard
49
Baldeaux, Jan
7
Fergusson, Kevin
6
Biagini, Francesca
5
Grasselli, Martino
5
Cretarola, Alessandra
4
Bruti-Liberati, Nicola
3
Du, Ke
3
Gnoatto, Alessandro
3
Heath, David
3
Miller, Shane
3
Rendek, Renata
3
Ceci, Claudia
2
Chan, Leunglung
2
Colaneri, Katia
2
El Qalli, Yassine
2
Fontana, Claudio
2
Ignatieva, Ekaterina
2
PLATEN, ECKHARD
2
Runggaldier, Wolfgang
2
West, Jason
2
Widenmann, Jan
2
Yassine, El Qalli
2
BIAGINI, FRANCESCA
1
Buhlmann, Hans
1
FONTANA, CLAUDIO
1
GUO, ZHI JUN
1
Groll, Andreas
1
Guo, Zhi
1
Guo, Zhi Jun
1
Heath, David C.
1
Hu, Shan
1
Hulley, Hardy
1
Jaschke, S.
1
Jiang, Yi
1
MILLER, SHANE M.
1
Marquardt, T.
1
Miller, Shane M
1
Nikeghbali, Ashkan
1
Nikitopoulos-Sklibosios, Christina
1
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Institution
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Finance Discipline Group, Business School
23
Economics and Econometrics Research Institute (EERI)
1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
1
Published in...
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Research Paper Series / Finance Discipline Group, Business School
23
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
7
International Journal of Theoretical and Applied Finance (IJTAF)
5
International journal of theoretical and applied finance
4
ASTIN bulletin : the journal of the International Actuarial Association
2
Asia-Pacific Financial Markets
2
EERI Research Paper Series
2
Insurance / Mathematics & economics
2
Insurance: Mathematics and Economics
2
Journal of banking & finance
2
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
1
Applied Mathematical Finance
1
Asia-Pacific financial markets
1
Computational Economics
1
Decisions in economics and finance : a journal of applied mathematics
1
EERI research paper series
1
Ecological economics : the transdisciplinary journal of the International Society for Ecological Economics
1
Finance and stochastics
1
International journal of financial engineering and risk management
1
Journal of Banking & Finance
1
MPRA Paper
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Mathematics and financial economics
1
Operations research letters
1
Physica A: Statistical Mechanics and its Applications
1
Quantitative Finance
1
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RePEc
39
ECONIS (ZBW)
28
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
Dynamic asset allocation for target date funds under the
benchmark
approach
Sun, Jin
;
Zhu, Dan
;
Platen, Eckhard
- In:
ASTIN bulletin : the journal of the International …
51
(
2021
)
2
,
pp. 449-474
Persistent link: https://www.econbiz.de/10012523252
Saved in:
7
Approximating the growth optimal portfolio and stock price bubbles
Platen, Eckhard
;
Rendek, Renata
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-33
Persistent link: https://www.econbiz.de/10012496905
Saved in:
8
Less-expensive valuation and reserving of long-dated variable annuities when interest rates and mortality rates are stochastic
Fergusson, Kevin
- In:
ASTIN bulletin : the journal of the International …
50
(
2020
)
2
,
pp. 381-417
Persistent link: https://www.econbiz.de/10012243342
Saved in:
9
A penny saved is a penny earned : less expensive zero coupon bonds
Gnoatto, Alessandro
;
Grasselli, Martino
;
Platen, Eckhard
-
2016
Persistent link: https://www.econbiz.de/10011778099
Saved in:
10
Detecting money market bubbles
Baldeaux, Jan
;
Ignatieva, Ekaterina
;
Platen, Eckhard
-
2016
Persistent link: https://www.econbiz.de/10011778131
Saved in:
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