MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX

DOI10.1142/S0219024904002499MaRDI QIDQ3022107zbMATH OpenOpenAlexFDO

Authors Eckhard Platen

Publication date 22 June 2005

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024904002499

zbMATH Keywords

benchmark modeldiversified world stock indexgrowth optimal portfoliomarket activitysquare root processstochastic volatility

Mathematics Subject Classification ID

Continuity and singularity of induced measures (60G30) Applications of statistics to economics (62P20) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• A theory of the term structure of interest rates
• scientific article; zbMATH DE number 1869269 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.

Cited in

(17)

• Empirical evidence on Student-t log-returns of diversified world stock indices
• Understanding the implied volatility surface for options on a diversified index
• A two-factor model for low interest rate regimes
• A fair pricing approach to weather derivatives
• Diversified portfolios with jumps in a benchmark framework
• A benchmark approach to filtering in finance
• No Arbitrage and the Growth Optimal Portfolio
• Semiparametric diffusion estimation and application to a stock market index
• Real-world jump-diffusion term structure models
• A tractable model for indices approximating the growth optimal portfolio
• A BENCHMARK APPROACH TO FINANCE
• Local volatility function models under a benchmark approach
• On the Distributional Characterization of Daily Log‐Returns of a World Stock Index
• CURRENCY DERIVATIVES UNDER A MINIMAL MARKET MODEL WITH RANDOM SCALING
• A General Benchmark Model for Stochastic Jump Sizes
• AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL
• Intraday empirical analysis and modeling of diversified world stock indices

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