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Diversified Portfolios with Jumps in a Benchmark Framework

Platen, Eckhard - Finance Discipline Group, Business School - 2004

This paper considers diversifed portfolios in a sequence of jump diffusion market models. Conditions for the approximation of the growth optimal portfolio (GOP) by diversified portfolios are provided. Under realistic assumptions, it is shown that diversified portfolios approximate the GOP...

Persistent link: https://www.econbiz.de/10004984593

Capital Asset Pricing for Markets with Intensity Based Jumps

Platen, Eckhard - Finance Discipline Group, Business School - 2004

This paper proposes a unified framework for portfolio optimization, derivative pricing, modeling and risk measurement in financial markets with security price processes that exhibit intensity based jumps. It is based on the natural assumption that investors prefer more for less, in the sense...

Persistent link: https://www.econbiz.de/10005041751

A Minimal Share Market Model with Stochastic Volatility

Platen, Eckhard - Finance Discipline Group, Business School - 1999

. In this framework stochastic volatility with properties that are similar to those actually observed arises naturally. The … volatility. It also incorporates possible default of an asset and thus models credit risk. …

Persistent link: https://www.econbiz.de/10004984514

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

A minimal financial market model

Platen, Eckhard - Sonderforschungsbereich 373, Quantifikation und … - 2000

Persistent link: https://www.econbiz.de/10010956399

A Minimal Financial Market Model

Platen, Eckhard - Finance Discipline Group, Business School - 2001

exhibit stochastic volatility with leptokurtic log-return distributions that closely match those observed in reality. The … benchmark portfolio is negatively correlated with its volatility which models the well-known leverage effect. The average growth …

Persistent link: https://www.econbiz.de/10004984598

Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model

Heath, David; Platen, Eckhard - Finance Discipline Group, Business School - 2002

This paper considers a modification of the well-known constant elasticity of variance model where it is used to model the growth optimal portfolio. It is shown taht, for this application, there is no equivalent risk neutral pricing methodology fails. However, a consistent pricing and hedging...

Persistent link: https://www.econbiz.de/10004984496

Fair Pricing of Weather Derivatives

Platen, Eckhard; West, Jason - Finance Discipline Group, Business School - 2003

This paper proposes a consistent benchmark approach to price weather derivatives. The growth optimal portfolio to price weather derivatives. The growth optimal portfolio is used as numeraire such that all benchmarked fair price processes are martingales. No measure transformation is needed for...

Persistent link: https://www.econbiz.de/10004984459

Arbitrage in Continuous Complete Markets

Platen, Eckhard - Finance Discipline Group, Business School - 2001

This paper introduces a benchmark approach for the modelling of continuous, complete financial markets when an equivalent risk neutral measure does not exist. This approach is based on the unique characterization of a benchmark portfolio, the growth optimal portfolio, which is obtained via a...

Persistent link: https://www.econbiz.de/10004984466

Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices

Platen, Eckhard; Rendek, Renata - Finance Discipline Group, Business School - 2007

The aim of this paper is to document some empirical facts related to log-returns of diversified world stock indices when these are denominated in different currencies. Motivated by earlier results, we have obtained the estimated distribution of log-returns for a range of world stock indices over...

Persistent link: https://www.econbiz.de/10004984480