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Real-world jump-diffusion term structure models
Bruti-Liberati, Nicola; Nikitopoulos-Sklibosios, Christina - In: Quantitative Finance 10 (2010) 1, pp. 23-37
This paper considers interest rate term structure models in a market attracting both continuous and discrete types of uncertainty. The event-driven noise is modelled by a Poisson random measure. Using as numeraire the growth optimal portfolio, interest rate derivatives are priced under the...
Persistent link: https://www.econbiz.de/10008609635
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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
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Detecting money market bubbles
Baldeaux, Jan; Ignatieva, Ekaterina; Platen, Eckhard - 2016
Persistent link: https://www.econbiz.de/10011778131
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Sure profits via flash strategies and the impossibility of predictable jumps
Fontana, Claudio; Pelger, Markus; Platen, Eckhard - 2017
Persistent link: https://www.econbiz.de/10011778192
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Detecting money market bubbles
Baldeaux, Jan; Ignatieva, Ekaterina; Platen, Eckhard - In: Journal of banking & finance 87 (2018), pp. 369-379
Persistent link: https://www.econbiz.de/10011962562
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On financial markets where only buy-and-hold trading is possible
Kardaras, Constantinos; Platen, Eckhard - 2008
Persistent link: https://www.econbiz.de/10003856783
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On honest times in financial modeling
Nikeghbali, Ashkan; Platen, Eckhard - 2008
Persistent link: https://www.econbiz.de/10003857128
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Minimizing the expected market time to reach a certain wealth level
Kardaras, Constantinos; Platen, Eckhard - 2008
Persistent link: https://www.econbiz.de/10003857129
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A visual classification of local martingales
Hulley, Hardy; Platen, Eckhard - 2008
Persistent link: https://www.econbiz.de/10003857178
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Multiplicative approximation of wealth processes involving no-short-sale strategies
Kardaras, Constantinos; Platen, Eckhard - 2008
Persistent link: https://www.econbiz.de/10003857179