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A Comparison of Implied and Re...
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growth optimal portfolio
39
Volatility
32
Volatilität
32
Theorie
24
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24
Stochastic process
21
Stochastischer Prozess
21
benchmark approach
21
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Platen, Eckhard
McAleer, Michael
449
Fernandez, Pablo
400
Caporale, Guglielmo Maria
382
Gupta, Rangan
304
Bollerslev, Tim
202
Bekaert, Geert
166
Madan, Dilip B.
163
Chang, Chia-Lin
159
Härdle, Wolfgang
158
Bali, Turan G.
155
Theissen, Erik
145
Diebold, Francis X.
143
Lucey, Brian M.
137
Zaremba, Adam
135
Ghysels, Eric
134
Jacobs, Kris
131
Schlag, Christian
130
Chiarella, Carl
126
Lux, Thomas
126
Harvey, Campbell R.
125
Prokopczuk, Marcel
122
McMillan, David G.
121
Pierdzioch, Christian
120
Schrimpf, Andreas
119
Bouri, Elie
117
Magni, Carlo Alberto
117
Hautsch, Nikolaus
115
Ang, Andrew
114
Pelizzon, Loriana
111
Spagnolo, Nicola
110
Yu, Jun
110
Caporin, Massimiliano
109
Velez-Pareja, Ignacio
108
Aizenman, Joshua
105
Branger, Nicole
105
Todorov, Viktor
105
Zhou, Guofu
105
Engle, Robert F.
104
Christoffersen, Peter
103
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Finance Discipline Group, Business School
65
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
4
Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
3
University of Bonn, Germany
1
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Research Paper Series / Finance Discipline Group, Business School
65
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
13
Discussion papers of interdisciplinary research project 373
4
SFB 373 Discussion Paper
3
SFB 373 Discussion Papers
3
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
2
International journal of theoretical and applied finance
2
Journal of banking & finance
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Quantitative Finance Research Centre Research Paper
2
ASTIN BULLETIN - The Journal of the ASTIN and AFIR Section of the International Actuarial Association - Vol.33 - No.2, 2003; 53-172
1
Casualty Actuarial Society - Astin Bulletin
1
Decisions in economics and finance : a journal of applied mathematics
1
Discussion Paper Serie B
1
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1
Finance and stochastics
1
Journal of Banking & Finance
1
Operations research letters
1
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Research Paper Number 296, Quantitative Finance Research Centre, University of Technology, Sydney, August 2011
1
Research Paper Number 305, Quantitative Finance Research Centre, University of Technology, Sydney
1
Research Paper Number: 250, Quantitative Finance Research Centre, University of Technology, Sydney
1
Research Paper Number: 253, Quantitative Finance Research Centre, University of Technology, Sydney
1
Research Paper Number: 297, Quantitative Finance Research Centre, University of Technology, Sydney
1
Research paper series / Swiss Finance Institute
1
Swiss Finance Institute Research Paper
1
The journal of computational finance
1
University of Technology, Sydney, Quantitative Finance Research Centre, Research Paper
1
Working paper series
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RePEc
70
ECONIS (ZBW)
54
EconStor
3
USB Cologne (business full texts)
1
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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
9
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
Saved in:
10
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
Saved in:
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