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The law of minimum price

Platen, Eckhard - 2008

Persistent link: https://www.econbiz.de/10003856792

Pricing currency derivatives under the benchmark approach

Baldeaux, Jan; Grasselli, Martino; Platen, Eckhard - In: Journal of banking & finance 53 (2015), pp. 34-48

Persistent link: https://www.econbiz.de/10011377682

Local risk-minimization under the benchmark approach

Biagini, Francesca; Cretarola, Alessandra; Platen, Eckhard - In: Mathematics and financial economics 8 (2014) 2, pp. 109-134

Persistent link: https://www.econbiz.de/10010341774

A tractable model for indices approximating the growth optimal portfolio

Baldeaux, Jan; Ignatieva, Ekaterina; Platen, Eckhard - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10010347344

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

Fair pricing of weather derivatives

Platen, Eckhard; West, Jason - 2003

Persistent link: https://www.econbiz.de/10002250908

Understanding the implied volatility surface for options on a diversified index

Heath, David C.; Platen, Eckhard - 2004

Persistent link: https://www.econbiz.de/10002253953

A fair pricing approach to weather derivatives

Platen, Eckhard; West, Jason - In: Asia-Pacific financial markets 11 (2004) 1, pp. 23-53

Persistent link: https://www.econbiz.de/10003084151

Understanding the implied volatility surface for options on a diversified index

Heath, David C.; Platen, Eckhard - In: Asia-Pacific financial markets 11 (2004) 1, pp. 55-77

Persistent link: https://www.econbiz.de/10003084162

Hedging Long-Dated Interest Rate Derivatives for Australian Pension Funds and Life Insurers

Fergusson, Kevin - 2015

Many pension funds and life insurers seek to hedge their exposure to low interest rates using long-dated interest rate derivatives. This paper extends an approach of Platen and Heath 2006 to price and hedge long-dated interest rate derivatives using a combination of Australian cash, bonds and...

Persistent link: https://www.econbiz.de/10013012294