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Dynamics of a Well-Diversified Equity Index
Platen, Eckhard - 2019
The paper derives a parsimonious model for the long-term dynamics of a well-diversified stock index, the S&P500. The index is modeled as growth optimal portfolio. Its normalized value evolves, in some market time, as a square root process. The derivative of market time is a linear function of...
Persistent link: https://www.econbiz.de/10012894745
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Credit Derivative Evaluation and CVA under the Benchmark Approach
Baldeaux, Jan; Platen, Eckhard - Finance Discipline Group, Business School - 2013
In this paper, we discuss how to model credit risk under the benchmark approach. Firstly we introduce an affine credit risk model. We then show how to price credit default swaps (CDSs) and introduce credit valuation adjustment (CVA) as an extension of CDSs. In particular, our model can capture...
Persistent link: https://www.econbiz.de/10010754094
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The Affine Nature of Aggregate Wealth Dynamics
Platen, Eckhard; Rendek, Renata - Finance Discipline Group, Business School - 2012
reproduces a list of major stylized empirical facts, including Student-t distributed log-returns and typical volatility …
Persistent link: https://www.econbiz.de/10010754096
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Modeling of Oil Prices
Du, Ke; Platen, Eckhard; Rendek, Renata - Finance Discipline Group, Business School - 2012
volatility of the numeraire portfolio denominated in crude oil, increases at major oil price upward moves. Furthermore, the log …
Persistent link: https://www.econbiz.de/10010754099
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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