Browsing by Author Platen, E

Showing results 1 to 20 of 116  next >
Issue DateTitleAuthor(s)
Jan-2017The numéraire property and long-term growth optimality for drawdown-constrained investmentsKardaras, C; Oblłój, J; Platen, E
1-Jul-2016Recovering the real-world density and liquidity premia from option dataBarkhagen, M; Blomvall, J; Platen, E
Jul-2016Benchmarked Risk MinimizationPlaten, E; Du, K
Jul-2016Benchmarked Risk MinimizationDu, K; Platen, E
3-Mar-2016Pricing of long dated equity-linked life insurance contractsChan, L; Platen, E
18-Jun-2015Pricing volatility derivatives under the modified constant elasticity of variance modelChan, L; Platen, E
16-Jun-2015A Hybrid Model for Pricing and Hedging of Long-dated BondsBaldeaux, J; Fung, MC; Ignatieva, K; Platen, E
15-Apr-2015Pricing and hedging of long dated variance swaps under a 3/2 volatility modelChan, L; Platen, E
5-Apr-2015Credit Derivative Evaluation and CVA Under the Benchmark ApproachBaldeaux, J; Platen, E
1-Jan-2015Real-World Forward Rate Dynamics With Affine RealizationsPlaten, E; Tappe, S
2015Pricing currency derivatives under the benchmark approachBaldeaux, JF; Grasselli, M; Platen, E
31-Oct-2014Natural Disasters, Insurance Stocks and the Numeraire PortfolioWest, J; Platen, E
Jan-2014Local risk-minimization under the benchmark approachBiagini, F; Cretarola, A; Platen, E
Jan-2014A tractable model for indices approximating the growth optimal portfolioBaldeaux, JF; Ignatieva, K; Platen, E
2014A benchmark approach to financePlaten, E
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
2014Numerical solution of stochastic differential equations with jumps in financePlaten, E
2014Numerical solution of stochastic differential equations in financePlaten, E
2014The affine nature of aggregate wealth dynamicsPlaten, E
2014Beyond the classical paradigmPlaten, E