Eckhard Platen : Citation Profile


Are you Eckhard Platen?

University of Technology Sydney (50% share)
University of Technology Sydney (50% share)

15

H index

29

i10 index

1135

Citations

RESEARCH PRODUCTION:

66

Articles

194

Papers

4

Chapters

RESEARCH ACTIVITY:

   36 years (1985 - 2021). See details.
   Cites by year: 31
   Journals where Eckhard Platen has often published
   Relations with other researchers
   Recent citing documents: 59.    Total self citations: 160 (12.36 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppl10
   Updated: 2021-10-16    RAS profile: 2021-03-19    
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Relations with other researchers


Works with:

McWalter, Thomas (4)

Gnoatto, Alessandro (2)

Pelger, Markus (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Eckhard Platen.

Is cited by:

Cretarola, Alessandra (12)

Fabozzi, Frank (11)

Gnoatto, Alessandro (11)

Climent Hernández, José (6)

Gatfaoui, Hayette (6)

Stein, Jerome (5)

Hamisultane, Helene (5)

Wang, Xingchun (5)

Černý, Aleš (4)

Härdle, Wolfgang (4)

Goncu, Ahmet (4)

Cites to:

merton, robert (41)

Scholes, Myron (25)

Hulley, Hardy (17)

Bruti-Liberati, Nicola (16)

Kreps, David (15)

Jarrow, Robert (15)

Markowitz, Harry (12)

Nikitopoulos-Sklibosios, Christina (12)

Duffie, Darrell (11)

Кабанов, Юрий (10)

DA FONSECA, José (9)

Main data


Where Eckhard Platen has published?


Journals with more than one article published# docs
Asia-Pacific Financial Markets11
Quantitative Finance10
Mathematical Finance8
International Journal of Theoretical and Applied Finance (IJTAF)8
Mathematics and Computers in Simulation (MATCOM)5
Applied Mathematical Finance3
Monte Carlo Methods and Applications3
Stochastic Processes and their Applications3
Journal of Asset Management2
Finance and Stochastics2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney130
Published Paper Series / Finance Discipline Group, UTS Business School, University of Technology, Sydney29
Papers / arXiv.org26
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes8

Recent works citing Eckhard Platen (2021 and 2020)


YearTitle of citing document
2021Bernoulli’s Number One Solution for Stochastic Equilibrium. (2021). Husain, Adil Sufian ; Mahmood, Kawar Badie. In: International Journal of Science and Business. RePEc:aif:journl:v:5:y:2021:i:8:p:194-201.

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2021Characterisation of honest times and optional semimartingales of class-($\Sigma$). (2019). Li, Libo. In: Papers. RePEc:arx:papers:1801.03873.

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2020No Arbitrage in Continuous Financial Markets. (2019). Criens, David. In: Papers. RePEc:arx:papers:1809.09588.

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2020Relatively growth optimal investment strategies in a market model with competition. (2019). Zhitlukhin, Mikhail ; Drokin, Yaroslav. In: Papers. RePEc:arx:papers:1908.01171.

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2020A multi-factor polynomial framework for long-term electricity forwards with delivery period. (2019). Regez, Markus ; Larsson, Martin ; Komaric, Vlatka ; Kleisinger-Yu, XI. In: Papers. RePEc:arx:papers:1908.08954.

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2020Mixed Levy Subordinated Market Model and Implied Probability Weighting Function. (2019). Fabozzi, Frank J ; Rachev, Svetlozar T ; Hu, Yuan ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:1910.05902.

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2020Stationary Heston model: Calibration and Pricing of exotics using Product Recursive Quantization. (2020). Pages, Gilles ; Montes, Thibaut ; Lemaire, Vincent. In: Papers. RePEc:arx:papers:2001.03101.

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2021Semimartingale price systems in models with transaction costs beyond efficient friction. (2020). Molitor, Alexander ; Kuhn, Christoph. In: Papers. RePEc:arx:papers:2001.03190.

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2021No arbitrage in insurance and the QP-rule. (2020). Schmidt, Thorsten ; Eisele, Karl-Theodor ; Artzner, Philippe. In: Papers. RePEc:arx:papers:2005.11022.

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2020Tempered Stable Processes with Time Varying Exponential Tails. (2020). Douady, Raphael ; Roh, Kum-Hwan ; Kim, Young Shin. In: Papers. RePEc:arx:papers:2006.07669.

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2020Arbitrage concepts under trading restrictions in discrete-time financial markets. (2020). Runggaldier, Wolfgang J ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2006.15563.

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2020Asymptotic minimization of expected time to reach a large wealth level in an asset market game. (2020). Zhitlukhin, Mikhail. In: Papers. RePEc:arx:papers:2007.04909.

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2021The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations. (2020). Oosterlee, Cornelis W ; Grzelak, Lech A ; Liu, Shuaiqiang. In: Papers. RePEc:arx:papers:2009.03202.

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2021Explicit solution simulation method for the 3/2 model. (2020). MacKay, Anne ; Kouritzin, Michael A ; Ren, Iro. In: Papers. RePEc:arx:papers:2009.09058.

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2021The American put with finite-time maturity and stochastic interest rate. (2021). Cai, Cheng ; Palczewski, Jan ; de Angelis, Tiziano. In: Papers. RePEc:arx:papers:2104.08502.

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2021Global Index on Financial Losses due to Crime in the United States. (2021). Mahanama, Thilini ; Rachev, Svetlozar ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2105.03514.

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2021Hedging Goals. (2021). Krabichler, Thomas ; Wunsch, Marcus. In: Papers. RePEc:arx:papers:2105.07915.

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2021A Fully Quantization-based Scheme for FBSDEs. (2021). Grasselli, Martino ; Gnoatto, Alessandro ; Callegaro, Giorgia. In: Papers. RePEc:arx:papers:2105.09276.

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2021Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes. (2021). Rachev, Svetlozar T ; Lindquist, Brent W ; Mittnik, Stefan ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2109.15051.

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2020Option pricing with orthogonal polynomial expansions. (2020). Filipovi, Damir ; Ackerer, Damien. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:1:p:47-84.

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2020Hedging of Variable Annuities under Basis Risk. (2020). Jan, Bauer. In: Asia-Pacific Journal of Risk and Insurance. RePEc:bpj:apjrin:v:14:y:2020:i:2:p:34:n:4.

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2021Fast maximum likelihood estimation of parameters for square root and Bessel processes. (2021). Kevin, Fergusson. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:4:p:143-170:n:5.

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2020LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC. (2020). Fergusson, Kevin. In: ASTIN Bulletin. RePEc:cup:astinb:v:50:y:2020:i:2:p:381-417_3.

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2020Multivariate Stochastic Dominance: A Parametric Approach. (2020). Lozza, Sergio Ortobelli ; Kouaissah, Noureddine. In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-00368.

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2020Almost sure exponential stability of the Milstein-type schemes for stochastic delay differential equations. (2020). Hu, Rong. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:131:y:2020:i:c:s096007791930445x.

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2021Simultaneous hedging strategy for price and volume risks in electricity businesses using energy and weather derivatives1. (2021). Yamada, Yuji ; Matsumoto, Takuji. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000062.

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2021Pricing volatility-equity options under the modified constant elasticity of variance model. (2021). Wang, Xingchun. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319310414.

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2021Improving the naive diversification: An enhanced indexation approach. (2021). Wu, Baiyi ; Huang, Qin ; Li, Helong. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320302579.

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2021The tail mean–variance optimal portfolio selection under generalized skew-elliptical distribution. (2021). Khaloozadeh, Hamid ; Eini, Esmat Jamshidi. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:98:y:2021:i:c:p:44-50.

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2021On the MS-stability of predictor–corrector schemes for stochastic differential equations. (2021). Senosiain, M J ; Zeghdane, R ; Tocino, A. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:180:y:2021:i:c:p:289-305.

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2021Arbitrage concepts under trading restrictions in discrete-time financial markets. (2021). Runggaldier, Wolfgang J ; Fontana, Claudio. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:92:y:2021:i:c:p:66-80.

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2020The balanced implicit method of preserving positivity for the stochastic SIQS epidemic model. (2020). Li, Yan ; Zhang, Qimin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:538:y:2020:i:c:s0378437119316826.

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2020Predicting the stock price of frontier markets using machine learning and modified Black–Scholes Option pricing model. (2020). Rahman, Arifur M ; al Quaderi, Golam Dastegir ; Alam, Tanisha Nourin ; Mahdy, M. R. C., ; Chowdhury, Reaz. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:555:y:2020:i:c:s0378437120301837.

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2020A quantization approach to the counterparty credit exposure estimation. (2020). di Persio, Luca ; Bonollo, Michele ; Oliva, Immacolata. In: International Review of Economics & Finance. RePEc:eee:reveco:v:70:y:2020:i:c:p:335-356.

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2020A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance. (2020). Zlinescu, Adrian ; Maticiuc, Lucian ; di Persio, Luca ; Cordoni, Francesco. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:3:p:1669-1712.

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2020Lie symmetry methods for local volatility models. (2020). Grasselli, Martino ; Craddock, Mark. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:6:p:3802-3841.

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2020Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire. (2020). Mostovyi, Oleksii. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:7:p:4444-4469.

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2020Probability density function of SDEs with unbounded and path-dependent drift coefficient. (2020). Tanaka, Akihiro ; Taguchi, Dai. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:9:p:5243-5289.

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2021Inhomogeneous functionals and approximations of invariant distributions of ergodic diffusions: Central limit theorem and moderate deviation asymptotics. (2021). Sundar, P ; Ganguly, Arnab. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:133:y:2021:i:c:p:74-110.

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2021Customized yet Standardized Temperature Derivatives: A Non-Parametric Approach with Suitable Basis Selection for Ensuring Robustness. (2021). Yamada, Yuji ; Matsumoto, Takuji. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:11:p:3351-:d:570607.

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2020A Hypothesis Test Method for Detecting Multifractal Scaling, Applied to Bitcoin Prices. (2020). Maller, Ross A ; Dev, Priya ; Jiang, Chuxuan. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:5:p:104-:d:360729.

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2020New Weak Error bounds and expansions for Optimal Quantization. (2020). Pages, Gilles ; Montes, Thibaut ; Lemaire, Vincent. In: Post-Print. RePEc:hal:journl:hal-02361644.

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2020Stationary Heston model: Calibration and Pricing of exotics using Product Recursive Quantization. (2020). Pages, Gilles ; Montes, Thibaut ; Lemaire, Vincent. In: Working Papers. RePEc:hal:wpaper:hal-02434232.

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2021Leverage and risk relativity: how to beat an index. (2021). Holm, Magnus ; BERMIN, HANS-PETER . In: Knut Wicksell Working Paper Series. RePEc:hhs:luwick:2021_001.

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2020Relative growth optimal strategies in an asset market game. (2020). Zhitlukhin, Mikhail ; Drokin, Yaroslav. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:4:d:10.1007_s10436-020-00360-6.

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2020Financial Reporting Quality and Operational Efficiency in the Coastal Region of Romania. (2020). Munteanu, Ionela. In: Ovidius University Annals, Economic Sciences Series. RePEc:ovi:oviste:v:xx:y:2020:i:2:p:978-984.

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2021Modelling tail risk with tempered stable distributions: an overview. (2021). Loeper, Gregoire ; Fallahgoul, Hasan. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03204-3.

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2020Asset allocation under predictability and parameter uncertainty using LASSO. (2020). Rigamonti, Andrea ; Weissensteiner, Alex. In: Computational Management Science. RePEc:spr:comgts:v:17:y:2020:i:2:d:10.1007_s10287-020-00367-4.

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2020The value of a liability cash flow in discrete time subject to capital requirements. (2020). Lindskog, Filip ; Lindensjo, Kristoffer ; Engsner, Hampus. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:1:d:10.1007_s00780-019-00408-0.

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2020Term structure modelling for multiple curves with stochastic discontinuities. (2020). Fontana, Claudio ; Schmidt, Thorsten ; Gumbel, Sandrine ; Grbac, Zorana. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:2:d:10.1007_s00780-020-00416-5.

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2020The value of informational arbitrage. (2020). Chau, Huy N ; Fontana, Claudio ; Cosso, Andrea. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:2:d:10.1007_s00780-020-00418-3.

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2021Change of drift in one-dimensional diffusions. (2021). L. C. G. Rogers, ; Leobacher, Gunther ; Desmettre, Sascha. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:2:d:10.1007_s00780-021-00451-w.

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2020Stochastic Square of the Brennan-Schwartz Diffusion Process: Statistical Computation and Application. (2020). Gutierrez-Sanchez, Ramon ; Moutabir, Ghizlane ; Nafidi, Ahmed ; Ramos-Abalos, Eva. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:22:y:2020:i:2:d:10.1007_s11009-019-09714-8.

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2020First-Order Weak Balanced Schemes for Stochastic Differential Equations. (2020). Mora, C M ; Mardones, H A. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:22:y:2020:i:2:d:10.1007_s11009-019-09733-5.

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2021.

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2020Conic quantization: stochastic volatility and market implied liquidity. (2020). Schoutens, Wim ; Fiorin, Lucio. In: Quantitative Finance. RePEc:taf:quantf:v:20:y:2020:i:4:p:531-542.

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2020Forecasting inflation using univariate continuous‐time stochastic models. (2020). Fergusson, Kevin. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:1:p:37-46.

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2020Bilateral multiple gamma returns: Their risks and rewards. (2020). Wang, King ; Schoutens, Wim ; Madan, Dilip B. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:07:y:2020:i:01:n:s2424786320500085.

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2020GENERAL ANALYSIS OF LONG-TERM INTEREST RATES. (2020). Gnoatto, Alessandro ; Hartel, Maximilian ; Biagini, Francesca. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:23:y:2020:i:01:n:s0219024920500028.

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Works by Eckhard Platen:


YearTitleTypeCited
2009On the semimartingale property of discounted asset-price processes In: Papers.
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2011On the semimartingale property of discounted asset-price processes.(2011) In: Stochastic Processes and their Applications.
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2008On honest times in financial modeling In: Papers.
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2008On Honest Times in Financial Modeling.(2008) In: Research Paper Series.
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This paper has another version. Agregated cites: 2
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2010Multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading In: Papers.
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2008Multiplicative Approximation of Wealth Processes Involving No-Short-Sale Strategies.(2008) In: Research Paper Series.
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This paper has another version. Agregated cites: 5
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2010On the Dybvig-Ingersoll-Ross Theorem In: Papers.
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paper9
2009Minimizing the expected market time to reach a certain wealth level In: Papers.
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2008Minimizing the Expected Market Time to Reach a Certain Wealth Level.(2008) In: Research Paper Series.
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2011Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model In: Papers.
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2011The Small and Large Time Implied Volatilities in the Minimal Market Model In: Papers.
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2011The Small and Large Time Implied Volatilities in the Minimal Market Model.(2011) In: Research Paper Series.
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2012THE SMALL AND LARGE TIME IMPLIED VOLATILITIES IN THE MINIMAL MARKET MODEL.(2012) In: International Journal of Theoretical and Applied Finance (IJTAF).
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2012Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods In: Papers.
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2012The numeraire property and long-term growth optimality for drawdown-constrained investments In: Papers.
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2017THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS.(2017) In: Mathematical Finance.
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2017The numéraire property and long-term growth optimality for drawdown-constrained investments.(2017) In: LSE Research Online Documents on Economics.
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2012Local Risk-Minimization under the Benchmark Approach In: Papers.
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2012Local Risk-Minimization under the Benchmark Approach.(2012) In: Research Paper Series.
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2018A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds In: Papers.
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2016A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds.(2016) In: Research Paper Series.
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2016Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts In: Papers.
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2016Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts.(2016) In: Research Paper Series.
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2017Recursive Marginal Quantization of Higher-Order Schemes In: Papers.
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2018Recursive marginal quantization of higher-order schemes.(2018) In: Quantitative Finance.
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2017Fast Quantization of Stochastic Volatility Models In: Papers.
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2017Fast Quantization of Stochastic Volatility Models.(2017) In: Research Paper Series.
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2017Investing for the Long Run In: Papers.
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2017Investing for the Long Run.(2017) In: Research Paper Series.
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2017Market Efficiency and Growth Optimal Portfolio In: Papers.
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2017Market Efficiency and the Growth Optimal Portfolio.(2017) In: Research Paper Series.
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2019On the existence of sure profits via flash strategies In: Papers.
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2017Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity In: Papers.
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2018Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts In: Papers.
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2019Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach In: Papers.
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2019Real-world forward rate dynamics with affine realizations In: Papers.
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2015Real-World Forward Rate Dynamics With Affine Realizations.(2015) In: Published Paper Series.
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2021No-arbitrage concepts in topological vector lattices In: Papers.
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2020No-Arbitrage Concepts in Topological Vector Lattices.(2020) In: Research Paper Series.
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2021The fundamental theorem of asset pricing for self-financing portfolios In: Papers.
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2020The Fundamental Theorem of Asset Pricing for Self-Financing Portfolios.(2020) In: Research Paper Series.
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2020Existence of equivalent local martingale deflators in semimartingale market models In: Papers.
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2020Existence of Equivalent Local Martingale Deflators in Semimartingale Market Models.(2020) In: Research Paper Series.
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2020Robust Product Markovian Quantization In: Papers.
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2021Exploiting arbitrage requires short selling In: Papers.
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2005ON THE ROLE OF THE GROWTH OPTIMAL PORTFOLIO IN FINANCE In: Australian Economic Papers.
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2005On the Role of the Growth Optimal Portfolio in Finance.(2005) In: Research Paper Series.
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2000Approximating Large Diversified Portfolios In: Mathematical Finance.
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2001A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets In: Mathematical Finance.
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2006A BENCHMARK APPROACH TO FINANCE In: Mathematical Finance.
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2004A Benchmark Approach to Finance.(2004) In: Research Paper Series.
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2009CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH In: Mathematical Finance.
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2007Consistent Market Extensions under the Benchmark Approach.(2007) In: Research Paper Series.
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2016BENCHMARKED RISK MINIMIZATION In: Mathematical Finance.
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1992Option Pricing Under Incompleteness and Stochastic Volatility In: Mathematical Finance.
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1998On Feedback Effects from Hedging Derivatives In: Mathematical Finance.
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1997On Feedback Effects from Hedging Derivatives.(1997) In: SFB 373 Discussion Papers.
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2006First Order Strong Approximations of Jump Diffusions In: Monte Carlo Methods and Applications.
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1999Applications of the balanced method to stochastic differential equations in filtering In: Monte Carlo Methods and Applications.
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1999Applications of the Balanced Method to Stochastic Differential Equations in Filtering.(1999) In: Research Paper Series.
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