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Credit derivatives pricing with stochastic volatility models
Chiarella, Carl; Chege Maina, Samuel; Nikitopoulos, … - In: International journal of theoretical and applied finance 16 (2013) 4, pp. 1-28
Persistent link: https://www.econbiz.de/10009779780
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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
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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/10009614289
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Pricing and hedging for incomplete jump diffusion benchmark models
Platen, Eckhard - 2003
Persistent link: https://www.econbiz.de/10002250936
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A benchmark framework for risk management
Platen, Eckhard - 2003
Persistent link: https://www.econbiz.de/10002250953
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Capital asset pricing for markets with intensity based jumps
Platen, Eckhard - 2004
Persistent link: https://www.econbiz.de/10002604969
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A benchmark approach to finance
Platen, Eckhard - 2004
Persistent link: https://www.econbiz.de/10002431786
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A benchmark model for financial markets
Platen, Eckhard - 2001
Persistent link: https://www.econbiz.de/10001619270
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A benchmark model for financial markets
Platen, Eckhard - 2001
Persistent link: https://www.econbiz.de/10001606224
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Benchmark model with intensity based jumps
Platen, Eckhard - 2002
Persistent link: https://www.econbiz.de/10001732762