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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

Credit derivative evaluation and CVA under the benchmark approach

Baldeaux, Jan; Platen, Eckhard - 2013

Persistent link: https://www.econbiz.de/10009713743

Credit derivative evaluation and CVA under the benchmark approach

Baldeaux, Jan; Platen, Eckhard - In: Asia-Pacific financial markets 22 (2015) 3, pp. 305-331

Persistent link: https://www.econbiz.de/10011524811

A benchmark approach to finance

Platen, Eckhard - In: Mathematical finance : an international journal of … 16 (2006) 1, pp. 131-151

Persistent link: https://www.econbiz.de/10003336868

A benchmark approach to investing and pricing

Platen, Eckhard - 2009

Persistent link: https://www.econbiz.de/10008662367

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