Eckhard Platen : Citation Profile


Are you Eckhard Platen?

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

12

H index

14

i10 index

650

Citations

RESEARCH PRODUCTION:

63

Articles

151

Papers

3

Chapters

RESEARCH ACTIVITY:

   33 years (1985 - 2018). See details.
   Cites by year: 19
   Journals where Eckhard Platen has often published
   Relations with other researchers
   Recent citing documents: 48.    Total self citations: 143 (18.03 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppl10
   Updated: 2018-09-15    RAS profile: 2018-08-22    
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Relations with other researchers


Works with:

McWalter, Thomas (4)

Baldeaux, Jan (2)

Gnoatto, Alessandro (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)

Gnoatto, Alessandro (8)

Härdle, Wolfgang (5)

Gatfaoui, Hayette (5)

Jarrow, Robert (4)

Goncu, Ahmet (4)

Chernov, Mikhail (4)

Hamisultane, Helene (4)

El Qalli, Yassine (4)

Rogers, Leonard (3)

GAO, Jiti (3)

Cites to:

merton, robert (38)

Scholes, Myron (21)

Hulley, Hardy (15)

Bruti-Liberati, Nicola (14)

Jarrow, Robert (13)

Kreps, David (13)

Markowitz, Harry (13)

Fama, Eugene (10)

Duffie, Darrell (10)

Nikitopoulos-Sklibosios, Christina (10)

DA FONSECA, José (8)

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)7
Mathematics and Computers in Simulation (MATCOM)5
Monte Carlo Methods and Applications3
Applied Mathematical Finance3
Stochastic Processes and their Applications3
Journal of Banking & Finance2
Finance and Stochastics2

Working Papers Series with more than one paper published# docs
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney123
Papers / arXiv.org19
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes8

Recent works citing Eckhard Platen (2018 and 2017)


YearTitle of citing document
2017The Stochastic Solution to a Cauchy Problem for Degenerate Parabolic Equations. (2017). Zhu, Chao ; Huang, Yu-Jui ; Chen, Xiaoshan ; Song, Qingshuo . In: Papers. RePEc:arx:papers:1309.0046.

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2017Sensitivity analysis in a market with memory. (2017). Banos, David R. ; di Nunno, Giulia ; Proske, Frank . In: Papers. RePEc:arx:papers:1312.5116.

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2017Financial Models with Defaultable Num\eraires. (2017). Fisher, Travis ; Ruf, Johannes ; Pulido, Sergio. In: Papers. RePEc:arx:papers:1511.04314.

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2017Affine multiple yield curve models. (2017). Gnoatto, Alessandro ; Cuchiero, Christa ; Fontana, Claudio. In: Papers. RePEc:arx:papers:1603.00527.

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2017Hedging under generalized good-deal bounds and model uncertainty. (2017). Becherer, Dirk ; Kentia, Klebert . In: Papers. RePEc:arx:papers:1607.04488.

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2018A String Model of Liquidity in Financial Markets. (2018). Schellhorn, Henry ; Zhao, Ran . In: Papers. RePEc:arx:papers:1608.05900.

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2017Subdiffusive fractional Brownian motion regime for pricing currency options under transaction costs. (2017). Shokrollahi, Foad. In: Papers. RePEc:arx:papers:1612.06665.

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2018Optimal investment problem with M-CEV model: closed form solution and applications to the algorithmic trading. (2018). Muravey, Dmitry . In: Papers. RePEc:arx:papers:1703.01574.

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2017A note on the impact of management fees on the pricing of variable annuity guarantees. (2017). Sun, Jin ; Fung, Man Chung ; Shevchenko, Pavel V. In: Papers. RePEc:arx:papers:1705.03787.

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2017Quantization goes Polynomial. (2017). Callegaro, Giorgia ; Pallavicini, Andrea ; Fiorin, Lucio. In: Papers. RePEc:arx:papers:1710.11435.

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2017Option Pricing with Orthogonal Polynomial Expansions. (2017). Ackerer, Damien ; Filipovic, Damir. In: Papers. RePEc:arx:papers:1711.09193.

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2018A Unified Modeling Framework for Life and Non-Life Insurance. (2018). Biagini, Francesca ; Zhang, Yinglin . In: Papers. RePEc:arx:papers:1802.07741.

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2018The value of informational arbitrage. (2018). Chau, Huy N ; Fontana, Claudio ; Cosso, Andrea . In: Papers. RePEc:arx:papers:1804.00442.

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2018Optimal Investment and Derivative Demand Under Price Impact. (2018). Anthropelos, Michail ; Spiliopoulos, Konstantinos ; Robertson, Scott. In: Papers. RePEc:arx:papers:1804.09151.

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2018Nonparametric Bayesian volatility learning under microstructure noise. (2018). Gugushvili, Shota ; Spreij, Peter ; Schauer, Moritz ; van der Meulen, Frank . In: Papers. RePEc:arx:papers:1805.05606.

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2018Option Pricing with Heavy-Tailed Distributions of Logarithmic Returns. (2018). Basnarkov, Lasko ; Kocarev, Ljupco ; Utkovski, Zoran ; Stojkoski, Viktor. In: Papers. RePEc:arx:papers:1807.01756.

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2017NO-ARBITRAGE IN A NUMÉRAIRE-INDEPENDENT MODELING FRAMEWORK. (2017). Herdegen, Martin. In: Mathematical Finance. RePEc:bla:mathfi:v:27:y:2017:i:2:p:568-603.

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2017THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL. (2017). Grasselli, Martino. In: Mathematical Finance. RePEc:bla:mathfi:v:27:y:2017:i:4:p:1013-1034.

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2018Pricing barrier options in the Heston model using the Heath–Platen estimator. (2018). Sema, Coskun ; Ralf, Korn. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:24:y:2018:i:1:p:29-41:n:4.

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2018Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates. (2018). Kang, Boda ; Ziveyi, Jonathan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:43-56.

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2017The composition of CMBS risk. (2017). Christopoulos, Andreas D. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:76:y:2017:i:c:p:215-239.

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2018Stratified regression-based variance reduction approach for weak approximation schemes. (2018). Belomestny, D ; Hafner, S ; Urusov, M. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:143:y:2018:i:c:p:125-137.

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2017Conditional dependence between international stock markets: A long memory GARCH-copula model approach. (2017). Mokni, Khaled ; Mansouri, Faysal. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:42-43:y:2017:i::p:116-131.

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2017Anchoring effect on first passage process in Taiwan financial market. (2017). Liu, Hsing ; Lih, Jiann-Shing ; Ko, Jing-Yuan ; Liao, Chi-Yo . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:477:y:2017:i:c:p:114-127.

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2017Change of measure up to a random time: Details. (2017). Kreher, Dorte . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:5:p:1565-1598.

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2017On future drawdowns of Lévy processes. (2017). Baurdoux, E J ; Pistorius, M R ; Palmowski, Z. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:8:p:2679-2698.

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2017Strict local martingales: Examples. (2017). Li, Xue-Mei . In: Statistics & Probability Letters. RePEc:eee:stapro:v:129:y:2017:i:c:p:65-68.

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2017Continuous Time Modelling Based on an Exact Discrete Time Representation. (2017). Chambers, Marcus ; Thornton, MA ; McCrorie, JR. In: Economics Discussion Papers. RePEc:esx:essedp:20497.

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2017Financial Models with Defaultable Numéraires. (2017). Fisher, Travis ; Ruf, Johannes ; Pulido, Sergio. In: Working Papers. RePEc:hal:wpaper:hal-01240736.

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2018Construction of an aggregate consistent utility, without Pareto optimality. Application to Long-Term yield curve Modeling. (2018). el Karoui, Nicole ; Mrad, Mohamed ; Hillairet, Caroline. In: Working Papers. RePEc:hal:wpaper:hal-01721441.

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2018Transnational Corporations and Business Networks in ASEAN: Building Partnership in the Asia– Pacific Region. (2018). Jankowiak, Anna H. In: International Business Research. RePEc:ibn:ibrjnl:v:11:y:2018:i:1:p:230-244.

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2017Modelling VIX and VIX derivatives with reducible diffusions. (2017). Tong, Zhigang. In: International Journal of Bonds and Derivatives. RePEc:ids:ijbder:v:3:y:2017:i:2:p:153-175.

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2018Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models. (2018). Bianchi, Michele Leonardo ; Fabozzi, Frank J ; Rachev, Svetlozar T. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:3:d:10.1007_s10614-016-9599-7.

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2018Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles). (2018). Feldman, David ; Xu, Xin. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-015-1972-8.

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2017A non-Gaussian option pricing model based on Kaniadakis exponential deformation. (2017). Moretto, Enrico ; Trivellato, Barbara ; Pasquali, Sara. In: The European Physical Journal B: Condensed Matter and Complex Systems. RePEc:spr:eurphb:v:90:y:2017:i:10:d:10.1140_epjb_e2017-80112-x.

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2017No-arbitrage up to random horizon for quasi-left-continuous models. (2017). Aksamit, Anna ; Jeanblanc, Monique ; Deng, Jun ; Choulli, Tahir. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0337-3.

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2018No-arbitrage under a class of honest times. (2018). Aksamit, Anna ; Jeanblanc, Monique ; Deng, Jun ; Choulli, Tahir. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0345-3.

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2018Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. (2018). Czichowsky, Christoph ; Yang, Junjian ; Schachermayer, Walter ; Peyre, Remi. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0351-5.

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2017Hedging under generalized good-deal bounds and model uncertainty. (2017). Becherer, Dirk ; Kentia, Klebert . In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:86:y:2017:i:1:d:10.1007_s00186-017-0588-y.

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2017Commodity currencies and commodity prices: modelling static and time-varying dependence. (2017). Ponomareva, Natalia ; Ignatieva, Katja. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:15:p:1491-1512.

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2017Valuing investment projects under interest rate risk: empirical evidence from European firms. (2017). Ballestra, Luca Vincenzo ; Radi, Davide ; Pacelli, Graziella. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:56:p:5662-5672.

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2017A pathwise inference method for the parameters of diffusion terms. (2017). Dokuchaev, Nikolai. In: Journal of Nonparametric Statistics. RePEc:taf:gnstxx:v:29:y:2017:i:4:p:731-743.

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2017Pricing and Hedging of Long-Dated Commodity Derivatives. (2017). Chun, Benjamin Tin. In: PhD Thesis. RePEc:uts:finphd:37.

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2017Integral Transform and Lie Symmetry Methods for Scalar and Multi-Dimensional Diffusions. (2017). Craddock, Mark . In: Research Paper Series. RePEc:uts:rpaper:380.

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2017ASYMPTOTICS OF BOND YIELDS AND VOLATILITIES FOR EXTENDED VASICEK MODELS UNDER THE REAL-WORLD MEASURE. (2017). Fergusson, K. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:12:y:2017:i:01:n:s2010495217500051.

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2017EXPLICIT FORMULAE FOR PARAMETERS OF STOCHASTIC MODELS OF A DISCOUNTED EQUITY INDEX USING MAXIMUM LIKELIHOOD ESTIMATION WITH APPLICATIONS. (2017). Fergusson, K. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:12:y:2017:i:02:n:s2010495217500105.

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2017COHERENT FOREIGN EXCHANGE MARKET MODELS. (2017). Gnoatto, Alessandro. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:01:n:s0219024917500078.

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2018DETERMINISTIC CRITERIA FOR THE ABSENCE AND EXISTENCE OF ARBITRAGE IN MULTI-DIMENSIONAL DIFFUSION MARKETS. (2018). Criens, David. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:01:n:s0219024918500024.

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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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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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2010On the Dybvig-Ingersoll-Ross Theorem In: Papers.
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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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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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2018Sure profits via flash strategies and the impossibility of predictable jumps In: Papers.
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2017Sure Profits via Flash Strategies and the Impossibility of Predictable Jumps.(2017) In: Research Paper Series.
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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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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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2002Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps In: Monte Carlo Methods and Applications.
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2001Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps.(2001) In: Research Paper Series.
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2014A tractable model for indices approximating the growth optimal portfolio In: Studies in Nonlinear Dynamics & Econometrics.
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2012A Tractable Model for Indices Approximating the Growth Optimal Portfolio.(2012) In: Research Paper Series.
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2003A Discrete Time Benchmark Approach for Insurance and Finance In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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2012Estimating the diffusion coefficient function for a diversified world stock index In: Computational Statistics & Data Analysis.
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2015Pricing currency derivatives under the benchmark approach In: Journal of Banking & Finance.
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2018Detecting money market bubbles In: Journal of Banking & Finance.
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2016Detecting Money Market Bubbles.(2016) In: Research Paper Series.
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1987Simulation studies on time discrete diffusion approximations In: Mathematics and Computers in Simulation (MATCOM).
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1995On weak implicit and predictor-corrector methods In: Mathematics and Computers in Simulation (MATCOM).
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2000Strong discrete time approximation of stochastic differential equations with time delay In: Mathematics and Computers in Simulation (MATCOM).
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2000Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay.(2000) In: Research Paper Series.
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1999Strong discrete time approximation of Stochastic Differential Equations with Time Delay.(1999) In: SFB 373 Discussion Papers.
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2002Weak discrete time approximation of stochastic differential equations with time delay In: Mathematics and Computers in Simulation (MATCOM).
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2001Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay.(2001) In: Research Paper Series.
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2001Weak discrete time approximation of stochastic differential equations with time delay.(2001) In: SFB 373 Discussion Papers.
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2008A hardware generator of multi-point distributed random numbers for Monte Carlo simulation In: Mathematics and Computers in Simulation (MATCOM).
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2005A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation.(2005) In: Research Paper Series.
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2006Portfolio selection and asset pricing under a benchmark approach In: Physica A: Statistical Mechanics and its Applications.
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1985Weak convergence of semimartingales and discretisation methods In: Stochastic Processes and their Applications.
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1989A law of large numbers for wide range exclusion processes in random media In: Stochastic Processes and their Applications.
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2004Diversified Portfolios with Jumps in a Benchmark Framework In: Asia-Pacific Financial Markets.
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2004Diversified Portfolios with Jumps in a Benchmark Framework.(2004) In: Research Paper Series.
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2004A Two-Factor Model for Low Interest Rate Regimes In: Asia-Pacific Financial Markets.
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2004Two-Factor Model for Low Interest Rate Regimes.(2004) In: Research Paper Series.
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2004A Fair Pricing Approach to Weather Derivatives In: Asia-Pacific Financial Markets.
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2003Fair Pricing of Weather Derivatives.(2003) In: Research Paper Series.
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2004Understanding the Implied Volatility Surface for Options on a Diversified Index In: Asia-Pacific Financial Markets.
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2004Understanding the Implied Volatility Surface for Options on a Diversified Index.(2004) In: Research Paper Series.
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2004A Benchmark Approach to Filtering in Finance In: Asia-Pacific Financial Markets.
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2002A Benchmark Approach to Filtering in Finance.(2002) In: Research Paper Series.
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2005Intraday Empirical Analysis and Modeling of Diversified World Stock Indices In: Asia-Pacific Financial Markets.
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2004Intraday Empirical Analysis and Modeling of Diversified World Stock Indices.(2004) In: Research Paper Series.
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