Similar Search Results

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

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

Benchmarked risk minimization

Du, Ke; Platen, Eckhard - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 617-637

Persistent link: https://www.econbiz.de/10011583786

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

A benchmark model for financial markets

Platen, Eckhard - 2001

This paper introduces a benchmark model for financial markets, which is based on the unique characterization of a benchmark portfolio that is chosen to be the growth optimal portfolio. The general structure of risk premia for asset prices and portfolios is derived. Furthermore, the short rate is...

Persistent link: https://www.econbiz.de/10009614289