Eckhard Platen

Q: What Schools Are Affiliated With Eckhard Platen

Eckhard Platen is affiliated with the following schools: University of Cape Town, University of Technology Sydney, University of Technology, Jamaica

Eckhard Platen's AcademicInfluence.com Rankings

Eckhard Platen

Economics

#2462

World Rank

#2812

Historical Rank

Mathematical Economics

World Rank

Historical Rank

Financial Economics

#25

World Rank

#25

Historical Rank

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Economics

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Eckhard Platen's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

The numerical solution of stochastic differential equations (1977) (4163)
Numerical Solution of Sde Through Computer Experiments (1993) (423)
A Benchmark Approach to Quantitative Finance (2006) (380)
Numerical Solutions of Stochastic Differential Equations (1995) (330)
An introduction to numerical methods for stochastic differential equations (1999) (260)
Balanced Implicit Methods for Stiff Stochastic Systems (1998) (228)
Strong discrete time approximation of stochastic differential equations with time delay (2000) (165)
Option Pricing under Incompleteness and Stochastic Volatility (1992) (163)
On Feedback Effects from Hedging Derivatives (1998) (151)
A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets (2001) (147)
Higher-order implicit strong numerical schemes for stochastic differential equations (1992) (140)
A BENCHMARK APPROACH TO FINANCE (2006) (134)
Arbitrage in continuous complete markets (2002) (134)
The approximation of multiple stochastic integrals (1992) (99)
A survey of numerical methods for stochastic differential equations (1989) (91)
A minimal financial market model (2001) (89)
Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices (2007) (86)
On the Distributional Characterization of Daily Log‐Returns of a World Stock Index (2006) (81)
Option pricing for a logstable asset price model (1999) (80)
About secretary problems (1980) (76)
Strong approximations of stochastic differential equations with jumps (2007) (75)
Time Discrete Taylor Approximations for Itǒ Processes with Jump Component (1988) (73)
Symmetry group methods for fundamental solutions (2004) (69)
Subordinated Market Index Models: A Comparison (1997) (68)
On effects of discretization on estimators of drift parameters for diffusion processes (1996) (62)
The marginal distributions of returns and volatility (1997) (62)
Estimation for discretely observed diffusions using transform functions (2003) (62)
Approximation of itô integral equations (1980) (60)
A Fair Pricing Approach to Weather Derivatives (2004) (56)
Stratonovich and Ito Stochastic Taylor Expansions (1991) (51)
Diversified Portfolios with Jumps in a Benchmark Framework (2004) (51)
Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing (1999) (50)
Approximating the numéraire portfolio by naive diversification (2010) (50)
A Benchmark Framework for Risk Management (2003) (41)
Local volatility function models under a benchmark approach (2006) (40)
On the semimartingale property of discounted asset-price processes (2008) (40)
Consistent pricing and hedging for a modified constant elasticity of variance model (2002) (38)
Stochastic Differential Equations with Jumps (2010) (38)
Functionals of Multidimensional Diffusions with Applications to Finance (2013) (37)
Modeling the Volatility and Expected Value of a Diversified World Index (2004) (37)
Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps (2002) (36)
Processes of Class Sigma, Last Passage Times, and Drawdowns (2009) (36)
Principles for modelling financial markets (1996) (35)
The Numerical Solution of Nonlinear Stochastic Dynamical Systems: a Brief Introduction (1991) (35)
A Discrete Time Benchmark Approach for Insurance and Finance (2003) (34)
Approximation of jump diffusions in finance and economics (2007) (34)
Hedging of Options under Discrete Observation on Assets with Stochastic Volatility (1995) (32)
A variance reduction technique based on integral representations (2002) (30)
Fair Pricing of Weather Derivatives (2003) (30)
Modeling Stochastic Volatility (2006) (30)
On the Role of the Growth Optimal Portfolio in Finance (2005) (29)
Option Pricing, Interest Rates and Risk Management: Numerical Comparison of Local Risk-Minimisation and Mean-Variance Hedging (2001) (29)
Stability of weak numerical schemes for stochastic differential equations (1994) (28)
Weak discrete time approximation of stochastic differential equations with time delay (2002) (27)
Extrapolation methods for the weak approximation of Ito diffusions (1995) (27)
Comment on "Numerical methods for stochastic differential equations". (2006) (26)
Numerical solution of stochastic differential equations in finance (2014) (26)
Approximating the Growth Optimal Portfolio with a Diversified World Stock Index (2006) (26)
On Smile and Skewness (1994) (25)
APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS (2015) (25)
Pricing Currency Derivatives Under the Benchmark Approach (2013) (24)
On the Distributional Characterization of Log-returns of a World Stock Index (2005) (24)
On weak implicit and predictor-corrector methods (1995) (24)
BENCHMARKED RISK MINIMIZATION (2016) (24)
A General Benchmark Model for Stochastic Jump Sizes (2004) (23)
On the Strong Approximation of Jump-Diffusion Processes (2005) (23)
A Benchmark Approach to Filtering in Finance (2004) (22)
Recursive marginal quantization of higher-order schemes (2017) (22)
Hedging for the long run (2012) (21)
A class of complete benchmark models with intensity-based jumps (2004) (21)
A Benchmark Approach to Investing and Pricing (2009) (21)
PERFECT HEDGING OF INDEX DERIVATIVES UNDER A MINIMAL MARKET MODEL (2002) (20)
WEAK CONVERGENCE OF SEMIMARTINGALES AND DISCRETISATION METHODS (1985) (20)
Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae (2009) (20)
A short term interest rate model (1999) (19)
Relations between multiple ito and stratonovich integrals (1991) (19)
A Two-Factor Model for Low Interest Rate Regimes (2004) (19)
A Benchmark Approach to Portfolio Optimization under Partial Information (2007) (19)
Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations (2008) (19)
A Structure for General and Specific Market Risk (2003) (18)
Pricing and Hedging of Index Derivatives under an Alternative Asset Price Model with Endogenous Stochastic Volatility (2001) (18)
CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH (2009) (17)
ON THE DYBVIG‐INGERSOLL‐ROSS THEOREM (2009) (16)
Simulation studies on time discrete diffusion approximations (1987) (16)
Investing for the Long Run (2017) (16)
Exact Scenario Simulation for Selected Multi-Dimensional Stochastic Processes (2009) (16)
Currency Derivatives under a Minimal Market Model with Random Scaling (2005) (16)
Minimizing the Expected Market Time to Reach a Certain Wealth Level (2009) (16)
A Visual Criterion for Identifying Ito Diffusions as Martingales or Strict Local Martingales (2009) (16)
Local risk-minimization under the benchmark approach (2012) (16)
Intraday Empirical Analysis and Modeling of Diversified World Stock Indices (2005) (15)
Stochastic Differential Equations (2006) (15)
Real-world jump-diffusion term structure models (2010) (15)
Pricing and hedging for incomplete jump diffusion benchmark models (2003) (15)
Estimating the Diffusion Coefficient Function for a Diversified World Stock Index (2011) (14)
A reading guide for last passage times with financial applications in view (2013) (14)
Derivative free numerical methods for stochastic differential equations (1987) (14)
Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities (2007) (14)
A tractable model for indices approximating the growth optimal portfolio (2012) (13)
Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps (2007) (13)
Simulation of Diversified Portfolios in a Continuous Financial Market (2010) (12)
Detecting Money Market Bubbles (2016) (12)
Lamperti, J., Stochastic Processes. A Survey of the Mathematical Theory. Berlin‐Heidelberg‐New York. Springer‐Verlag. 1977. XVII, 266 S., DM 21,40. US $ 9.80. (Applied Mathematical Sciences 23) (1979) (12)
RUNG-KUTTA METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS (1994) (12)
Risken, H.: The Fokker‐Planck Equation. Methods of Solution and Applications. Springer Series in Synergetics, Vol. 18. Springer‐Verlag, Berlin — Heidelberg — New York — Tokyo 1984, XVI, 454 pp., 95 Figs., DM 125,‐. ISBN 3–540–13098–5 (1986) (11)
Higher Order Approximate Markov Chain Filters (1993) (11)
Pricing of index options under a minimal market model with log-normal scaling (2003) (11)
An Alternative Interest Rate Term Structure Model (2003) (11)
Approximating Large Diversified Portfolios (2000) (11)
On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance (2004) (11)
Pricing and hedging of long dated variance swaps under a 3/2 volatility model (2010) (10)
A Discrete Time Benchmark Approach for Finance and Insurance (2002) (10)
On the numerical stability of simulation methods for SDEs under multiplicative noise in finance (2008) (10)
Applications of the balanced method to stochastic differential equations in filtering (1999) (10)
A taylor formula for semimartingales solving a stochastic equation (1981) (9)
Semiparametric diffusion estimation and application to a stock market index (2008) (9)
Applications of Stochastic Differential Equations (1992) (9)
A Visual Classification of Local Martingales (2008) (9)
A hardware generator of multi-point distributed random numbers for Monte Carlo simulation (2008) (9)
Filtering and Parameter Estimation for a Mean Reverting Interest Rate Model (1999) (9)
Risk premia and financial modelling without measure transformation (2000) (9)
Understanding the Implied Volatility Surface for Options on a Diversified Index (2004) (9)
Real World Pricing of Long Term Contracts (2009) (9)
THE NUMÉRAIRE PROPERTY AND LONG‐TERM GROWTH OPTIMALITY FOR DRAWDOWN‐CONSTRAINED INVESTMENTS (2012) (9)
Diversified Portfolios in a Benchmark Framework (2003) (8)
On honest times in financial modeling (2008) (8)
Modelling the Stochastic Dynamics of Volatility for Equity Indices (1999) (8)
Benchmarking and fair pricing applied to two market models (2005) (8)
Capital Asset Pricing for Markets with Intensity Based Jumps (2006) (8)
A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds (2016) (8)
Laplace transform identities for diffusions, with applications to rebates and barrier options (2007) (7)
Monte Carlo Simulation for Stochastic Differential Equations (2010) (7)
Risk Minimizing Hedging Strategies Under Partial Observation (1999) (7)
ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE (2008) (7)
Asset Markets and Monetary Policy (2009) (7)
Real-World Forward Rate Dynamics With Affine Realizations (2015) (7)
On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance (2012) (7)
Weak Convergence of Approximations of I t?? Integral Equations (1980) (7)
A benchmark approach to asset management (2006) (7)
First Order Strong Approximations of Jump Diffusions (2006) (6)
The Affine Nature of Aggregate Wealth Dynamics (2012) (6)
A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model (2014) (6)
MULTIPLICATIVE APPROXIMATION OF WEALTH PROCESSES INVOLVING NO‐SHORT‐SALES STRATEGIES VIA SIMPLE TRADING (2008) (6)
Fast Quantization of Stochastic Volatility Models (2017) (6)
No-arbitrage concepts in topological vector lattices (2020) (6)
Approximation of First Exit Times of Diffusions and Approximate Solution of Parabolic Equations (1983) (6)
A Benchmark Model for Financial Markets (2001) (6)
On Explicit Probability Laws for Classes of Scalar Diffusions (2009) (6)
Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversified World Stock Index (2011) (6)
Pricing via anticipative stochastic calculus (1994) (5)
Comparison of Some Key Approaches to Hedging in Incomplete Markets (1998) (5)
Quasi-Monte Carlo methods for derivatives on realised variance of an index under the benchmark approach (2011) (5)
Hedging Long-Dated Interest Rate Derivatives for Australian Pension Funds and Life Insurers (2014) (5)
Stochastic Modelling of the COVID-19 Epidemic (2020) (5)
Law of the Minimal Price (2008) (5)
Real-World Pricing for a Modified Constant Elasticity of Variance Model (2010) (5)
On Financial Markets where only Buy-And-Hold Trading is Possible (2008) (5)
A Hybrid Model for Pricing and Hedging of Long Dated Bonds (2015) (5)
Strong Taylor Approximations (1992) (4)
Valuation of FX barrier options under stochastic volatility (1996) (4)
Liability Driven Investments under a Benchmark Based Approach (2013) (4)
Hidden Markov Chain Filtering for Generalised Bessel Processes (2001) (4)
Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities under a Benchmark Approach (2008) (4)
Three-Benchmarked Risk Minimization for Jump Diffusion Markets (2011) (4)
On the Strong Approximation of Pure Jump Processes (2005) (4)
Algorithms for Analyzing Nonstationary Time Series with Fractal Noise (1996) (4)
Benchmarked Risk Minimization for Jump Diffusion Markets (2011) (4)
On the existence of sure profits via flash strategies (2017) (4)
Benchmark Model with Intensity Based Jumps (2002) (4)
Axiomatic principles for a market model (1999) (3)
A law of large numbers for wide range exclusion processes in random media (1989) (3)
Alternative Defaultable Term Structure Models (2009) (3)
Introduction to Stochastic Time Discrete Approximation (1992) (3)
Empirical behavior of a world stock index from intra-day to monthly time scales (2009) (3)
Financial market meltdown and a need for new financial regulations (2009) (3)
Stochastic Differential Equations with Jumps: Simulation (2010) (3)
Memorandum on a new financial architecture and new regulations (2009) (3)
Pricing volatility derivatives under the modified constant elasticity of variance model (2015) (3)
Hidden Markov filtering for a mean reverting interest rate model (1999) (3)
Calibration to FX triangles of the 4/2 model under the benchmark approach (2021) (3)
Market Efficiency and Growth Optimal Portfolio (2017) (3)
Less Expensive Pricing and Hedging of Long-Dated Equity Index Options When Interest Rates are Stochastic (2015) (3)
A stochastic approach to hopping transport in semiconductors (1990) (3)
A Financial Market Model (1999) (3)
Probability and Statistics (1992) (3)
Modelling with Stochastic Differential Equations (1992) (3)
Quasi-Exact Approximation of Hidden Markov Chain Filters (2009) (3)
A Minimal Share Market Model with Stochastic Volatility (1999) (3)
Recovering the real-world density and liquidity premia from option data (2016) (3)
A Unifying Approach to Asset Pricing (2008) (3)
Lie Symmetry Group Methods (2013) (3)
Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity (2017) (3)
Variance Reduction Techniques (2010) (3)
On first exit times of diffusions (1985) (3)
Portfolio selection and asset pricing under a benchmark approach (2006) (3)
Modeling of Oil Prices (2012) (3)
Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts (2016) (2)
The fundamental theorem of asset pricing for self-financing portfolios (2020) (2)
DYNAMIC ASSET ALLOCATION FOR TARGET DATE FUNDS UNDER THE BENCHMARK APPROACH (2021) (2)
A dynamic portfolio approach to asset markets and monetary policy (2012) (2)
Multiplicative Approximation of Wealth Processes Involving No-Short-Sale Strategies (2008) (2)
A Stochaxtic Description of the Non-Equilibrium Charge Carrier Transport Process in Polymer Insulators (1987) (2)
Less-expensive long-term annuities linked to mortality, cash and equity (2022) (2)
A hardware generator for multi-point distributed random variables (2005) (2)
Honest Times in Financial Modelling (2008) (2)
On the Log-Return Distribution of Index Benchmarked Share Prices (1999) (2)
Symmetry Group Methods for Fundamental Solutions and Characteristic Functions (2003) (2)
A Benchmark Framework for Integrated Risk Management (2002) (2)
APPROXIMATING THE GROWTH OPTIMAL PORTFOLIO AND STOCK PRICE BUBBLES (2020) (2)
Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts (2018) (2)
Elektronenstruktur und stochastischer Hoppingtransport in polymeren Isolatoren (1987) (2)
Monte Carlo Simulation of SDEs (2010) (2)
Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models (2007) (2)
Benchmark Pricing of Credit Derivatives Under a Standard Market Model (2001) (2)
An approach to bond pricing. (2005) (1)
Editorial (2005) (1)
Dynamics of a Well-Diversified Equity Index (2019) (1)
Monte Carlo Simulation (2010) (1)
On a Wide Range Exclusion Process in Random Medium with Local Jump Intensity (1988) (1)
A Cautious Note on the Design of Volatility Derivatives (2010) (1)
On the Pricing and Hedging of Long Dated Zero Coupon Bonds (2006) (1)
Poor, H. V., An Introduction to Signal Detection and Estimation. New York etc., Springer-Verlag 1988. X, 549 pp., 47 figs., DM 118,-. ISBN 3–540-96667-6 (Springer Texts in Electrical Engineering) (1989) (1)
Exact Simulation of Solutions of SDEs (2010) (1)
Investments for the Short and Long Run (2005) (1)
The Small and Large Time Implied Volatilities in the Minimal Market Model (2011) (1)
Exploiting arbitrage requires short selling (2020) (1)
Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods (2012) (1)
Time Discrete Approximation of Deterministic Differential Equations (1992) (1)
Credit Derivative Evaluation and CVA Under the Benchmark Approach (2015) (1)
No arbitrage and multiplicative special semimartingales (2020) (1)
Appendix: Recursive Marginal Quantization of Higher-Order Schemes (2017) (1)
Weak Taylor Approximations (1992) (1)
Pollard, D.:Convergence of stochastic processes. (Springer series in statistics). Springer‐Verlag, New York ‐ Berlin ‐ Heidelberg ‐ Tokyo 1984, 216 pp., 36 illustr., DM 82 (1986) (1)
Credit Risk Under the Benchmark Approach (2013) (1)
Ito Stochastic Calculus (1992) (1)
Introduction to Discrete Time Approximation (1994) (1)
Perfect Hedging of Index Derivatives Under a Locally Arbitrage Free Minimal Market Model (2001) (1)
Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index (2010) (1)
On the Marginal Distribution of Trade Weighted Currency Indices (1999) (1)
Benchmarking and Fair Pricing Applied to Two (2005) (1)
Ikeda, N. / Watanabe, S., Stochastic Differential Equations and Diffusion Processes. North-Holland Mathematical Library 24. Amsterdam-New York, North-Holland Publ. Co. 1981. 480 S., US $ 85.25. Dfl. 175.00. ISBN 0-444-86172-6 (1982) (1)
Stochastic Taylor Expansions (2010) (1)
Sure profits via flash strategies and the impossibility of predictable jumps (2017) (1)
Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics (2011) (1)
Øksendal, B., Stochastic Differential Equations. An Introduction with Applications. Berlin‐Heidelberg‐New York‐Tokyo, Springer‐Verlag 1985. XIII, 205 S., DM 42,‐. ISBN 3‐540‐15 292‐X (Universitext) (1987) (1)
Elliott, R. J., Stochastic Calculus and Applications. Berlin‐Heidelberg‐New York, Springer‐Verlag 1982. IX, 302 S., DM 112,—. US $ 44.80. ISBN 3‐540‐90763‐7 (Applications of Mathematics 18) (1983) (0)
Existence of equivalent local martingale deflators in semimartingale market models (2020) (0)
Local risk-minimization under the benchmark approach (2014) (0)
Pricing Using Affine Diffusions (2013) (0)
Benchmark Approach to Finance and Insurance (2010) (0)
Natural Disasters, Insurance Stocks and the Numeraire Portfolio (2014) (0)
BINDER, KURT, DIETER M. HEERMANN: Monte Carlo Simulation in Statistical Physics. Springer-Verlag, Berlin — Heidelberg — New York — London — Paris — Tokyo — Hong Kong 1988, VIII, 127 pp., 34 Figs., DM 49,—. 3—540—19107—0 (2007) (0)
Monte Carlo simulations (2010) (0)
A Hybrid Model for Pricing and Hedging of Long-dated Bonds (2015) (0)
Computing Functionals of Square Root and Wishart Processes Under the Benchmark Approach via Exact Simulation (2013) (0)
2 Quantization of Single-factor Models (2017) (0)
Transition Densities via Lie Symmetry Methods (2013) (0)
Approximating the numéraire portfolio by naive diversification (2011) (0)
A Financial Market Model with Trading Volume and Stochastic Volatility (1999) (0)
Continuous Stochastic Processes (2013) (0)
Simulation Methods for Stochastic Differential Equations (2008) (0)
2 Incomplete Benchmark Model with Jumps 2 . 1 Modeling Uncertainty (2003) (0)
Introduction to Option Pricing (2006) (0)
Regular Weak Taylor Approximations (2010) (0)
Credit Derivative Evaluation and CVA Under the Benchmark Approach (2015) (0)
Modeling via Stochastic Processes (2006) (0)
Functionals of Squared Bessel Processes (2013) (0)
Minimal Market Model (2006) (0)
Martingales and Stochastic Integrals (2006) (0)
Jump-Adapted Strong Approximations (2010) (0)
The Law of Minimal Price (2008) (0)
Affine Diffusion Processes on the Euclidean Space (2013) (0)
Distributional Deviations in Random Number Generation in Finance (2008) (0)
Robust Product Markovian Quantization (2020) (0)
Perfect hedging on index derivatives under a minimal model (2002) (0)
KARATZAS, IOANNIS; SHREVE, STEVEN E.: Brownian Motion and Stochastic Calculus. Springer-Verlag, Berlin — Heidelberg — New York — London — Paris — Tokyo — Hong Kong 1988, XIII, 270 pp., 10 Figs, DM 138,—. 3—540—96535—1 (2007) (0)
A Hybrid Model for Equity Indices and Stochastic Interest Rates (2013) (0)
Loading Pricing of Long-Dated, Insurance-Type Contracts (2017) (0)
On the macroscopic nonequilibrium dynamics of an exclusion process (1989) (0)
On the Use of Equities in Target Date Funds (2020) (0)
Explicit and Implicit Weak Approximations (1992) (0)
Estimation for DiscretelyObserved Di usionsusing Transform Functions (2003) (0)
Shiryayev, A. N., Probability. Berlin‐Heidelberg‐New York‐Tokyo, Springer‐Verlag 1984. XI, 577 S., 54 Abb., DM 148,—. US $ 57.50. ISBN 3‐540‐90898‐6 (Graduate Texts in Mathematics 95) — Translation from the Russian (1985) (0)
Estimating Discretely Observed Diffusions (2010) (0)
Alternative Term Structure Models for Reviewing Expectations Puzzles (2012) (0)
Solutions for Exercises (2010) (0)
2 The Jump Diffusion Market Model 2 . 1 The Modeling of Uncertainty (2005) (0)
QUANTITATIVE FINANCE RESEARCH CENTRE (2004) (0)
Stochastic differential equations: Scenario simulation (2010) (0)
SCHMID, Erich W.; SPITZ, Gerhard; LÖSCH, Wolfgang: Theoretical Physics on the Personal Computer. Springer-Verlag, Berlin — Heidelberg — New York — London — Paris — Tokyo — Hong Kong 1988, XII, 211 pp., 152 Figs., DM 79,—. 3.540-18908-4 (2007) (0)
Properties of a Diversified World Stock Index (2007) (0)
Background on Probability and Statistics (1994) (0)
An Intraday Empirical Analysis of Electricity Price Behaviour (2004) (0)
An FPGA generator for multipoint distributed random variables (abstract only) (2005) (0)
Hedging for the long run (2012) (0)
A Unified Framework for Portfolio Optimization and Asset Pricing (2006) (0)
Selected Applications of Strong Approximations (1992) (0)
Germani, A. (ed.), Stochastic Modelling and Filtering. Proceedings, Rome, 1984. Berlin etc., Springer‐Verlag 1987. IV, 218 pp., DM 49,—. ISBN 3‐540‐17575‐X (Lecture Notes in Control and Information Sciences 91) (1988) (0)
Trees and Markov Chain Approximations (2010) (0)
Ruymgaart, P. A./Soong, T. T., Mathematics of Kalman‐Bucy Filtering. Berlin‐Heidelberg‐New York‐Tokyo, Springer‐Verlag 1985. X, 170 S., 19 Abb., DM 84,—. ISBN 3‐540‐13508‐1 (Springer‐Series in Information Sciences 14) (1986) (0)
On bond price dynamics. (2005) (0)
Benchmarked Risk Minimizing Hedging Strategies for Life Insurance Policies (2019) (0)
Exact and Almost Exact Simulation (2013) (0)
Jacod, Jean; Shiryaev, Albert N.: Limit theorems for stochastic processes. Springer‐Verlag, Berlin – Heidelberg – New York (1987), ISBN 3‐540‐17882‐1, Grundlehren der mathematischen Wissenschaften 288, XVII, 600 pp., DM 198,– (1989) (0)
Various Approaches to Asset Pricing (2006) (0)
2 Continuous Benchmark Model 2 . 1 Primary Security Accounts (2005) (0)
Martingale Representations and Hedge Ratios (2010) (0)
Time-Homogeneous Scalar Diffusions (2013) (0)
BRÉMAUD, PIERRE: An Introduction to Probabilistic Modeling. Springer-Verlag, Berlin — Heidelberg — New York — London — Paris — Tokyo — Hong Kong 1988, XVI, 207 pp., 90 Figs., DM 74,—. 3—540—96460—6 (2007) (0)
Solvable Affine Processes on the Euclidean State Space (2013) (0)
Regular Strong Taylor Approximations with Jumps (2010) (0)
Regular Strong Itô Approximations (2010) (0)
The History of the Quantitative Methods in Finance Conference Series 1992-2007 (2007) (0)
Dynamics of a Well-Diversified Equity Index January 17 , 2019 (2019) (0)
Stochastic hopping transport in disordered polymers (1988) (0)
Introduction to Selected Proceedings from Quantitative Methods in Finance 2002 (2003) (0)
A Top-Down Method for Long-Term Investing (2021) (0)
Introduction to Scenario Simulation (2010) (0)
Preliminaries from Probability Theory (2006) (0)
Rao, M. M., Stochastic Processes and Integration. Alphen aan den Rijn, Sijthoff & Noordhoff 1979. XI, 456 S., Dfl. 110.00, US $55.00. ISBN 90-286-0438-3 (1980) (0)
Ibragimov, I. A./Rozanov, Y. A., Gaussian Random Processes. Applications of Mathematics 9. Transl. from the Russian Original of 1970 by Aries, A. B., Berlin-Heidelberg-New York, Springer-Verlag 1978. X, 275 S., 2 Abb., DM 49,60 US $ 27,30. ISBN 3-540-90302-X (1980) (0)
Variance Reduction Methods (1992) (0)
Pricing of long dated equity-linked life insurance contracts (2016) (0)
Selected Applications of Weak Approximations (1992) (0)
An Introduction to Matrix Variate Stochastics (2013) (0)
The Itô Formula (2006) (0)
Exact Scenario Simulation for Selected Multi-dimensional (2009) (0)
Pricing and Hedging in the Presence of Transaction Costs Under Local Risk Minimisation (1999) (0)
Explicit Strong Approximations (1992) (0)
Continuous Financial Markets (2006) (0)
A reading guide for last passage times with financial applications in view (2013) (0)
ANU volume 8 issue 1 Cover and Front matter (1999) (0)
Beyond the classical paradigm (2014) (0)
Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach (2019) (0)
Approximation of Jump Difiusions in Finance and Economics (2007) (0)
Jump-Adapted Weak Approximations (2010) (0)
Markets with Event Risk (2006) (0)
Davis, M. H. A., Lectures on Stochastic Control and Nonlinear Filtering. Lect. delivered at the Indian Institute of Sciences, Bangalore. Berlin‐Heidelberg‐New York‐Tokyo, Springer‐Verlag, 1984. IV, 109 S., DM 20,—. ISBN 3‐540‐13343‐7 (1986) (0)
Monte Carlo and Quasi-Monte Carlo Methods (2013) (0)
Stylised Properties of the Interest Rate Term Structure Under The Benchmark Approach (2014) (0)
Probability Theory and Stochastic Processes (1992) (0)
Functionals of Wiener Processes (2013) (0)
Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees (2013) (0)
Detecting Strict Local Martingales (2013) (0)
On Using Equities to Produce Pension Payouts (2020) (0)

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Published Works

What Schools Are Affiliated With Eckhard Platen?

Eckhard Platen's AcademicInfluence.com Rankings