Eckhard Platen

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Person:354199

Available identifiers

zbMath Open platen.eckhardDBLP56/6439WikidataQ30073179 ScholiaQ30073179MaRDI QIDQ354199

List of research outcomes

PublicationDate of PublicationType
No arbitrage and multiplicative special semimartingales2023-12-15Paper
Exploiting arbitrage requires short selling2023-09-27Paper
Quantization methods for stochastic differential equations2022-10-07Paper
Calibration to FX triangles of the 4/2 model under the benchmark approach2022-06-17Paper
No-arbitrage concepts in topological vector lattices2021-12-02Paper
DYNAMIC ASSET ALLOCATION FOR TARGET DATE FUNDS UNDER THE BENCHMARK APPROACH2021-09-24Paper
Recovering the real-world density and liquidity premia from option data2021-07-16Paper
APPROXIMATING THE GROWTH OPTIMAL PORTFOLIO AND STOCK PRICE BUBBLES2021-03-16Paper
Existence of equivalent local martingale deflators in semimartingale market models2020-06-02Paper
Empirical evidence on Student-\(t\) log-returns of diversified world stock indices2019-09-13Paper
Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index2019-09-13Paper
On the existence of sure profits via flash strategies2019-07-31Paper
A variance reduction technique based on integral representations2019-01-14Paper
Consistent pricing and hedging for a modified constant elasticity of variance model2019-01-14Paper
Pricing of index options under a minimal market model with log-normal scaling2019-01-14Paper
Recursive marginal quantization of higher-order schemes2018-11-14Paper
Pricing volatility derivatives under the modified constant elasticity of variance model2018-09-28Paper
A Hybrid Model for Pricing and Hedging of Long-dated Bonds2018-09-18Paper
Quasi-Monte Carlo methods for derivatives on realised variance of an index under the benchmark approach2018-05-08Paper
Credit derivative evaluation and CVA under the benchmark approach2017-08-17Paper
THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS2017-03-13Paper
BENCHMARKED RISK MINIMIZATION2016-07-15Paper
Pricing of long dated equity-linked life insurance contracts2016-04-29Paper
https://portal.mardi4nfdi.de/entity/Q27875052016-03-04Paper
https://portal.mardi4nfdi.de/entity/Q27905182016-03-04Paper
https://portal.mardi4nfdi.de/entity/Q27905262016-03-04Paper
Real-World Forward Rate Dynamics With Affine Realizations2015-10-23Paper
Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model2014-11-27Paper
Computing Functionals of Square Root and Wishart Processes Under the Benchmark Approach via Exact Simulation2014-10-31Paper
On Weak Predictor–Corrector Schemes for Jump-Diffusion Processes in Finance2014-09-29Paper
Local risk-minimization under the benchmark approach2014-05-30Paper
A tractable model for indices approximating the growth optimal portfolio2014-03-21Paper
On the numerical stability of simulation methods for SDEs under multiplicative noise in finance2014-02-08Paper
MULTIPLICATIVE APPROXIMATION OF WEALTH PROCESSES INVOLVING NO-SHORT-SALES STRATEGIES VIA SIMPLE TRADING2013-09-04Paper
A reading guide for last passage times with financial applications in view2013-07-18Paper
Functionals of multidimensional diffusions with applications to finance2013-06-13Paper
https://portal.mardi4nfdi.de/entity/Q49257512013-06-12Paper
https://portal.mardi4nfdi.de/entity/Q49257792013-06-12Paper
ON THE DYBVIG‐INGERSOLL‐ROSS THEOREM2013-05-14Paper
THE SMALL AND LARGE TIME IMPLIED VOLATILITIES IN THE MINIMAL MARKET MODEL2013-03-12Paper
Hedging for the long run2013-02-26Paper
Processes of Class Sigma, Last Passage Times, and Drawdowns2013-01-25Paper
A Visual Criterion for Identifying Itô Diffusions as Martingales or Strict Local Martingales2012-08-24Paper
Estimating the diffusion coefficient function for a diversified world stock index2012-07-16Paper
Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods2012-04-05Paper
On the semimartingale property of discounted asset-price processes2011-10-11Paper
https://portal.mardi4nfdi.de/entity/Q30106402011-06-27Paper
Modelling co-movements and tail dependency in the international stock market via copulae2010-10-06Paper
Numerical solution of stochastic differential equations with jumps in finance2010-08-04Paper
Real-World Pricing for a Modified Constant Elasticity of Variance Model2010-05-27Paper
Real-world jump-diffusion term structure models2010-03-11Paper
Minimizing the Expected Market Time to Reach a Certain Wealth Level2010-02-03Paper
Alternative defaultable term structure models2009-09-18Paper
ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE2009-04-21Paper
CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH2009-03-06Paper
Valuation of FX barrier options under stochastic volatility2009-02-06Paper
Subordinated market index models: A comparison2009-02-06Paper
STRONG PREDICTOR–CORRECTOR EULER METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS2008-12-11Paper
https://portal.mardi4nfdi.de/entity/Q35347512008-11-04Paper
Semiparametric diffusion estimation and application to a stock market index2008-08-07Paper
https://portal.mardi4nfdi.de/entity/Q35116432008-07-11Paper
SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS2008-05-20Paper
A hardware generator of multi-point distributed random numbers for Monte Carlo simulation2008-03-26Paper
A benchmark approach to portfolio optimization under partial information2008-02-18Paper
Approximation of jump diffusions in finance and economics2007-08-17Paper
Strong approximations of stochastic differential equations with jumps2007-06-14Paper
First Order Strong Approximations of Jump Diffusions2007-04-10Paper
Higher-Order Weak Approximation of Ito Diffusions by Markov Chains2007-01-19Paper
Intraday empirical analysis and modeling of diversified world stock indices2006-11-17Paper
A benchmark approach to quantitative finance2006-10-18Paper
CURRENCY DERIVATIVES UNDER A MINIMAL MARKET MODEL WITH RANDOM SCALING2006-10-16Paper
On the Distributional Characterization of Daily Log‐Returns of a World Stock Index2006-09-25Paper
https://portal.mardi4nfdi.de/entity/Q54865702006-09-11Paper
Local volatility function models under a benchmark approach2006-08-21Paper
A BENCHMARK APPROACH TO FINANCE2006-06-12Paper
Computational Science - ICCS 20042005-12-23Paper
Understanding the implied volatility surface for options on a diversified index2005-12-09Paper
A two-factor model for low interest rate regimes2005-12-09Paper
A fair pricing approach to weather derivatives2005-12-09Paper
Diversified portfolios with jumps in a benchmark framework2005-12-09Paper
A benchmark approach to filtering in finance2005-12-09Paper
AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL2005-11-15Paper
A General Benchmark Model for Stochastic Jump Sizes2005-10-18Paper
PERFECT HEDGING OF INDEX DERIVATIVES UNDER A MINIMAL MARKET MODEL2005-06-22Paper
MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX2005-06-22Paper
A Discrete Time Benchmark Approach for Insurance and Finance2005-03-30Paper
Symmetry group methods for fundamental solutions2005-02-23Paper
https://portal.mardi4nfdi.de/entity/Q31605152005-02-09Paper
Estimation for discretely observed diffusions using transform functions2004-10-25Paper
A class of complete benchmark models with intensity-based jumps2004-09-24Paper
A structure for general and specific market risk2004-03-16Paper
A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets2004-03-16Paper
Modelling the stochastic dynamics of volatility for equity indices2003-12-09Paper
https://portal.mardi4nfdi.de/entity/Q47925292003-02-11Paper
https://portal.mardi4nfdi.de/entity/Q27411212003-02-03Paper
https://portal.mardi4nfdi.de/entity/Q27711152003-02-03Paper
Approximating Large Diversified Portfolios2003-02-02Paper
Weak discrete time approximation of stochastic differential equations with time delay2002-09-03Paper
https://portal.mardi4nfdi.de/entity/Q27076252002-08-14Paper
Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps2002-05-14Paper
Option pricing for a logstable asset price model2002-05-05Paper
Axiomatic principles for a market model2002-04-23Paper
Arbitrage in continuous complete markets2002-01-01Paper
https://portal.mardi4nfdi.de/entity/Q49382282000-08-02Paper
https://portal.mardi4nfdi.de/entity/Q43786642000-06-14Paper
A short term interest rate model1999-09-14Paper
On Feedback Effects from Hedging Derivatives1998-11-29Paper
Balanced Implicit Methods for Stiff Stochastic Systems1998-05-12Paper
THE NUMERICAL SOLUTION OF NONLINEAR STOCHASTIC DYNAMICAL SYSTEMS: A BRIEF INTRODUCTION1997-12-04Paper
Option Pricing Under Incompleteness and Stochastic Volatility1997-08-31Paper
Extrapolation Methods for the Weak Approximation of Ito Diffusions1997-07-08Paper
On effects of discretization on estimators of drift parameters for diffusion processes1997-05-04Paper
https://portal.mardi4nfdi.de/entity/Q48905331996-12-05Paper
https://portal.mardi4nfdi.de/entity/Q47140651996-12-04Paper
Principles for modelling financial markets1996-11-19Paper
On weak implicit and predictor-corrector methods1996-05-20Paper
https://portal.mardi4nfdi.de/entity/Q48485271996-02-18Paper
https://portal.mardi4nfdi.de/entity/Q48398651995-08-14Paper
Stability of weak numerical schemes for stochastic differential equations1995-04-09Paper
Pricing via anticipative stochastic calculus1995-03-20Paper
https://portal.mardi4nfdi.de/entity/Q31386441994-03-14Paper
Numerical solution of SDE through computer experiments. Including floppy disk1994-01-16Paper
Higher-order implicit strong numerical schemes for stochastic differential equations1993-10-27Paper
The approximation of multiple stochastic integrals1993-01-16Paper
https://portal.mardi4nfdi.de/entity/Q40043251992-09-18Paper
Relations between multiple ito and stratonovich integrals1992-06-27Paper
Stratonovich and Ito Stochastic Taylor Expansions1991-01-01Paper
Rate of Convergence of the Euler Approximation for Diffusion Processes1991-01-01Paper
A stochastic approach to hopping transport in semiconductors1990-01-01Paper
A survey of numerical methods for stochastic differential equations1989-01-01Paper
A law of large numbers for wide range eclusion processes in random media1989-01-01Paper
https://portal.mardi4nfdi.de/entity/Q31988621989-01-01Paper
https://portal.mardi4nfdi.de/entity/Q42049411989-01-01Paper
Time Discrete Taylor Approximations for It?? Processes with Jump Component1988-01-01Paper
Simulation studies on time discrete diffusion approximations1987-01-01Paper
https://portal.mardi4nfdi.de/entity/Q37746701987-01-01Paper
Weak convergence of semimartingales and discretisation methods1985-01-01Paper
https://portal.mardi4nfdi.de/entity/Q36874541985-01-01Paper
Approximation of First Exit Times of Diffusions and Approximate Solution of Parabolic Equations1983-01-01Paper
https://portal.mardi4nfdi.de/entity/Q33088021982-01-01Paper
https://portal.mardi4nfdi.de/entity/Q37114091982-01-01Paper
https://portal.mardi4nfdi.de/entity/Q39598871982-01-01Paper
https://portal.mardi4nfdi.de/entity/Q39622701982-01-01Paper
https://portal.mardi4nfdi.de/entity/Q39117991981-01-01Paper
https://portal.mardi4nfdi.de/entity/Q39172621981-01-01Paper
https://portal.mardi4nfdi.de/entity/Q39287511981-01-01Paper
https://portal.mardi4nfdi.de/entity/Q38575221980-01-01Paper
https://portal.mardi4nfdi.de/entity/Q38848971980-01-01Paper
Weak Convergence of Approximations of I tǒ Integral Equations1980-01-01Paper
https://portal.mardi4nfdi.de/entity/Q39629051980-01-01Paper
https://portal.mardi4nfdi.de/entity/Q30480101979-01-01Paper
https://portal.mardi4nfdi.de/entity/Q30480091978-01-01Paper
https://portal.mardi4nfdi.de/entity/Q41840151978-01-01Paper
Sequentielle Rangauswahlprobleme - eine Erweiterung des „Secretary Problems”1977-01-01Paper
https://portal.mardi4nfdi.de/entity/Q40700751975-01-01Paper
https://portal.mardi4nfdi.de/entity/Q40664371974-01-01Paper

Research outcomes over time


Doctoral students

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