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A Monte Carlo method using PDE expansions for a diversifed equity index model
Heath, David C.; Platen, Eckhard - 2014
Persistent link: https://www.econbiz.de/10011344801
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On the efficiency of simplified weak Taylor schemes for Monte Carlo simulation in finance
Liberati, Nicola Bruti; Platen, Eckhard - 2004
Persistent link: https://www.econbiz.de/10002250960
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Numerical solution of stochastic differential equations with jumps in finance
Platen, Eckhard; Bruti-Liberati, Nicola - 2010 - 1. ed.
Persistent link: https://www.econbiz.de/10003934874
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A hardware generator of multi-point distributed random numbers for Monte Carlo simulation
Bruti-Liberati, Nicola; Martini, Filippo; Piccardi, Massimo - 2005
Persistent link: https://www.econbiz.de/10002863383
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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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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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A variance reduction technique based on integral representations
Heath, David C.; Platen, Eckhard - 2002
Persistent link: https://www.econbiz.de/10001732828
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Distributional deviations in random number generation in finance
Chavez, Sergio; Platen, Eckhard - 2008
Persistent link: https://www.econbiz.de/10003857127
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On the numerical stability of simulation methods for SDES
Platen, Eckhard; Shi, Lei - 2008
Persistent link: https://www.econbiz.de/10003857152
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Option pricing under incompleteness and stochastic volatility
Hofmann, Norbert - 1992
Persistent link: https://www.econbiz.de/10000834044