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A benchmark approach to quantitative finance

Platen, Eckhard; Heath, David C. - 2010 - Corr., 2. print.

Persistent link: https://www.econbiz.de/10008779415

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

Pricing of index options under a minimal market model with lognormal scalling

Heath, David C.; Platen, Eckhard - 2003

Persistent link: https://www.econbiz.de/10002250887

Understanding the implied volatility surface for options on a diversified index

Heath, David C.; Platen, Eckhard - 2004

Persistent link: https://www.econbiz.de/10002253953

Understanding the implied volatility surface for options on a diversified index

Heath, David C.; Platen, Eckhard - In: Asia-Pacific financial markets 11 (2004) 1, pp. 55-77

Persistent link: https://www.econbiz.de/10003084162

A benchmark approach to quantitative finance

Platen, Eckhard; Heath, David C. - 2006 - Softcover reprint of th hardcover 1st edition 2006

Persistent link: https://www.econbiz.de/10003042060

A comparison of two quadratic approaches to hedging in incomplete markets

Heath, David C.; Platen, Eckhard; Schweizer, Martin - In: Mathematical finance : an international journal of … 11 (2001) 4, pp. 385-413

Persistent link: https://www.econbiz.de/10001620447

Numerical inversion of Laplace transforms : a survey of techniques with applications to derivative pricing

Craddock, Mark; Heath, David C.; Platen, Eckhard - In: The journal of computational finance 4 (2000) 1, pp. 57-81

Persistent link: https://www.econbiz.de/10001528157

Valuation of FX barrier options under stochastic volatility

Heath, David C. - In: Financial engineering and the Japanese markets 3 (1996) 3, pp. 195-215

Persistent link: https://www.econbiz.de/10001215397

Optimal Strategies with Option Compensation Under Mean Reverting Returns or Volatilities

Herzel, Stefano - 2018

We study the problem of a fund manager whose contractual incentive is given by the sum of a constant and a variable term. The manager has a power utility function and the continuous time stochastic processes driving the dynamics of the market prices exhibit mean reversion either in the...

Persistent link: https://www.econbiz.de/10012930916