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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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Hedging for the Long Run
Platen, Eckhard; Hulley, Hardy - Finance Discipline Group, Business School - 2008
pricing and hedging equity derivatives. Prominent examples include stochastic volatility models, jump diffusion models, and …
Persistent link: https://www.econbiz.de/10004984487
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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
Cover Image
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
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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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Alternative Defaultable Term Structure Models
Bruti-Liberati, Nicola - 2012
extra modelling freedom. In addition, for certain volatility specifications, finite dimensional Markovian defaultable term …
Persistent link: https://www.econbiz.de/10013098072