Browsing by Author Platen, E

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Issue DateTitleAuthor(s)
2014Hedging long-dated interest rate derivatives for Australian pension funds and life insurersFergusson, K; Platen, E; Evans, J; Asher, A; Browne, B; Kyng, T; Musulin, R; Pitt, D
2014The affine nature of aggregate wealth dynamicsPlaten, E
1-Dec-2013Computing Functionals of Square Root and Wishart Processes Under the Benchmark Approach via Exact SimulationBaldeaux, J; Platen, E
1-Jul-2013A reading guide for last passage times with financial applications in viewNikeghbali, A; Platen, E
1-Feb-2013On the numerical stability of simulation methods for SDEs under multiplicative noise in financePlaten, E; Shi, L
1-Jan-2013Functionals of multidimensional diffusions with applications to FinanceBaldeaux, J; Platen, E
1-Jan-2013Multiplicative approximation of wealth processes involving no-short-sales strategies via simple tradingKardaras, C; Platen, E
2013Alternative term structure models for reviewing the expectations puzzleNikitopoulos Sklibosios, C; Platen, E
Dec-2012The small and large time implied volatilities in the minimal market modelGuo, ZJ; Platen, E
1-Oct-2012On the dybvig-ingersoll-ross theoremKardaras, C; Platen, E
1-Jun-2012Estimating the diffusion coefficient function for a diversified world stock indexIgnatieva, K; Platen, E
1-May-2012Hedging for the long runHulley, H; Platen, E
1-Feb-2012Approximating the numéraire portfolio by naive diversificationPlaten, E; Rendek, R
1-Jan-2012The Small And Large Time Implied Volatilities In The Minimal Market ModelGuo, ZJ; Platen, E
Jan-2012A dynamic portfolio approach to asset markets and monetary policyPlaten, E; Semmler, W; Cohen, SN; Madan, D; Siu, TK; Yang, H
Jan-2012On weak predictor-corrector schemes for jump-diffusion processes in financeBruti Liberati, N; Platen, E; Cummins, M; Murphy, F; Miller, JJH
Jan-2012Simulation of diversified portfolios in a continuous financial marketsPlaten, E; Rendek, RJ; Zhang, T; Zhou, X
2012Processes of class sigma, last passage times, and drawdownsCheridito, P; Nikeghbali, A; Platen, E
2012The Small And Large Time Implied Volatilities In The Minimal Market ModelGuo, Z; Platen, E
Nov-2011On the semimartingale property of discounted asset-price processesKardaras, C; Platen, E