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Currency Derivatives under a Minimal Market Model with Random Scaling
Heath, David; Platen, Eckhard - Finance Discipline Group, Business School - 2005
This paper uses an alternative, parsimonious stochastic volatility model to describe the dynamics of a currency market … volatility surfaces that are typically observed in real markets. …
Persistent link: https://www.econbiz.de/10004984486
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A Benchmark Framework for Risk Management
Platen, Eckhard - Finance Discipline Group, Business School - 2003
The paper describes a general framework for contingent claim valuation for finance, insurance and general risk management. It considers security prices and portfolios with finite expected returns, where the growth optimal portfolio is taken as numeraire or benchmark. Benchmarked nonnegative...
Persistent link: https://www.econbiz.de/10004984512
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A Benchmark Framework for Integrated Risk Management
Platen, Eckhard - Finance Discipline Group, Business School - 2002
The paper describes a consistent, integrated framework for modeling and pricing in finance, insurance and other areas of risk management. The growth optimal portfolio is taken as a benchmark. In the resulting price system expected future benchmarked, nonnegative prices are not greater that the...
Persistent link: https://www.econbiz.de/10004984581
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Risk premia and financial modelling without measure transformation
Platen, Eckhard - 2000
This paper describes a financial market modelling framework that exploits the notion of a deflator . The denominations of the deflator measured in units of primary assets form a minimal set of basic financial quantities that completely specify the overall market dynamics, where deflated asset...
Persistent link: https://www.econbiz.de/10009612031
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Modeling the Volatility and Expected Value of a Diversified World Index
Platen, Eckhard - Finance Discipline Group, Business School - 2003
squared GOP volatility then follows a square root process of dimension four. …
Persistent link: https://www.econbiz.de/10004984523
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A minimal financial market model
Platen, Eckhard - 2000
The paper proposes a financial market model that generates stochastic volatility and stochastic interest rate using a … stochastic volatility with leptokurtic log-return distributions that c1osely match those observed in reality. The resulting index … of the market is negatively correlated with its volatility which models the well-known leverage effect. The average …
Persistent link: https://www.econbiz.de/10010310191
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Risk premia and financial modelling without measure transformation
Platen, Eckhard - 2000
This paper describes a financial market modelling framework that exploits the notion of a deflator . The denominations of the deflator measured in units of primary assets form a minimal set of basic financial quantities that completely specify the overall market dynamics, where deflated asset...
Persistent link: https://www.econbiz.de/10010310261
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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/10010310423
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A minimal financial market model
Platen, Eckhard - 2000
The paper proposes a financial market model that generates stochastic volatility and stochastic interest rate using a … stochastic volatility with leptokurtic log-return distributions that c1osely match those observed in reality. The resulting index … of the market is negatively correlated with its volatility which models the well-known leverage effect. The average …
Persistent link: https://www.econbiz.de/10009612032
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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