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Three-Benchmarked Risk Minimization for Jump Diffusion Markets
Du, Ke; Platen, Eckhard - Finance Discipline Group, Business School - 2011
benchmarked risk minimization avoids these restrictive assumptions. It employs the real world probability measure as pricing … pricing and hedging for an increasing number of not fully replicable benchmarked contingent claims. …
Persistent link: https://www.econbiz.de/10009357762
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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 minimal number of factors that characterise the dynamics of the different denominations of the deflator. It models asset prices essentially as functionals of square root and...
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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Risk premia and financial modelling without measure transformation
Platen, Eckhard - 2000
. -- financial market modelling ; deflator ; risk premium ; contingent claim pricing ; incomplete market …
Persistent link: https://www.econbiz.de/10009612031
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A minimal financial market model
Platen, Eckhard - 2000
pricing ; square root process …
Persistent link: https://www.econbiz.de/10009612032
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A benchmark model for financial markets
Platen, Eckhard - 2001
contingent claim prices is derived. -- financial market model ; contingent claim pricing ; benchmark model ; growth optimal …
Persistent link: https://www.econbiz.de/10009614289
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A discrete time benchmark approach for insurance and finance
Bühlmann, Hans; Platen, Eckhard - 2003
This paper proposes a consistent approach to discrete time valuation in insurance and finance. This approach uses the growth optimal portfolio as references unit or benchmark. When used as benchmark, it is shown that all benchmarked price processes are supermartingales.
Persistent link: https://www.econbiz.de/10005847001
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Real World Pricing of Long Term Contracts
Platen, Eckhard - 2012
This paper proposes a paradigm shift in the valuation of long term contracts, away from classical no-arbitrage pricing … towards pricing under the real world probability measure. In contrast to risk neutral pricing, which is a form of relative … pricing, the long term average excess return of the equity market comes into play. Instead of the savings account, the …
Persistent link: https://www.econbiz.de/10013115192
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Alternative Defaultable Term Structure Models
Bruti-Liberati, Nicola - 2012
The objective of this paper is to consider defaultable term structure models in a general setting beyond standard risk-neutral models. Using as numeraire the growth optimal portfolio, defaultable interest rate derivatives are priced under the real-world probability measure. Therefore, the...
Persistent link: https://www.econbiz.de/10013098072