Eckhard Platen : Citation Profile

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

16

H index

37

i10 index

1390

Citations

RESEARCH PRODUCTION:

68

Articles

196

Papers

4

Chapters

RESEARCH ACTIVITY:

   37 years (1985 - 2022). See details.
   Cites by year: 37
   Journals where Eckhard Platen has often published
   Relations with other researchers
   Recent citing documents: 42.    Total self citations: 169 (10.84 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppl10
   Updated: 2025-05-17    RAS profile: 2022-07-29    
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Relations with other researchers

Works with:

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:

Gnoatto, Alessandro (22)

Cretarola, Alessandra (13)

Fabozzi, Frank (13)

Lleo, Sebastien (7)

Wang, Xingchun (6)

Gatfaoui, Hayette (6)

Artzner, Philippe (6)

Hamisultane, Helene (5)

Schenk-Hoppé, Klaus (5)

El Qalli, Yassine (5)

Gerig, Austin (5)

Cites to:

merton, robert (45)

Scholes, Myron (25)

Hulley, Hardy (18)

Kreps, David (16)

Jarrow, Robert (16)

Nikitopoulos-Sklibosios, Christina (13)

Markowitz, Harry (13)

Кабанов, Юрий (12)

Duffie, Darrell (12)

Fama, Eugene (10)

DA FONSECA, José (10)

Main data

Where Eckhard Platen has published?

Journals with more than one article published# docs
Asia-Pacific Financial Markets11
Quantitative Finance10
International Journal of Theoretical and Applied Finance (IJTAF)8
Mathematical Finance8
Mathematics and Computers in Simulation (MATCOM)5
Monte Carlo Methods and Applications3
Applied Mathematical Finance3
Stochastic Processes and their Applications3
ASTIN Bulletin2
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 (2025 and 2024)

YearTitle of citing document
2024Nonparametric Bayesian volatility learning under microstructure noise. (2024). Gugushvili, Shota ; Spreij, Peter ; Schauer, Moritz ; van der Meulen, Frank. In: Papers. RePEc:arx:papers:1805.05606.

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2024The American put with finite-time maturity and stochastic interest rate. (2024). de Angelis, Tiziano ; Palczewski, Jan ; Cai, Cheng. In: Papers. RePEc:arx:papers:2104.08502.

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2024Distance between closed sets and the solutions to stochastic partial differential equations. (2024). Nakayama, Toshiyuki ; Tappe, Stefan. In: Papers. RePEc:arx:papers:2205.00279.

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2024No-Arbitrage Pricing, Dynamics and Forward Prices of Collateralized Derivatives. (2024). Calvelli, Alessio. In: Papers. RePEc:arx:papers:2208.08746.

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2025Pitmans Theorem, Black-Scholes Equation, and Derivative Pricing for Fundraisers. (2025). Tsuzuki, Yukihiro. In: Papers. RePEc:arx:papers:2303.13956.

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2024Signature Methods in Stochastic Portfolio Theory. (2024). Moller, Janka ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:2310.02322.

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2024Asymptotic Error Distribution of the Euler Scheme for Fractional Stochastic Delay Differential Equations with Additive Noise. (2024). Sauri, Orimar. In: Papers. RePEc:arx:papers:2402.08513.

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2024Calibrated rank volatility stabilized models for large equity markets. (2024). Larsson, Martin ; Itkin, David. In: Papers. RePEc:arx:papers:2403.04674.

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2024Hydrodynamics of Markets:Hidden Links Between Physics and Finance. (2024). Lipton, Alexander. In: Papers. RePEc:arx:papers:2403.09761.

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2024On Mertons Optimal Portfolio Problem with Sporadic Bankruptcy for Isoelastic Utility. (2024). Kopeliovich, Yaacov ; Pokojovy, Michael. In: Papers. RePEc:arx:papers:2403.15923.

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2024Enhancing path-integral approximation for non-linear diffusion with neural network. (2024). Knezevic, Anna. In: Papers. RePEc:arx:papers:2404.08903.

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2024Benchmark-Neutral Pricing. (2024). Platen, Eckhard. In: Papers. RePEc:arx:papers:2407.01542.

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2025Macroscopic properties of equity markets: stylized facts and portfolio performance. (2025). Wong, Ting-Kam Leonard ; Campbell, Steven ; Song, Qien. In: Papers. RePEc:arx:papers:2409.10859.

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2024Financial Stochastic Models Diffusion: From Risk-Neutral to Real-World Measure. (2024). Sarr, Djibril ; Kebaier, Ahmed ; ben Alaya, Mohamed. In: Papers. RePEc:arx:papers:2409.12783.

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2025Real-world models for multiple term structures: a unifying HJM semimartingale framework. (2025). Tappe, Stefan ; Platen, Eckhard ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2411.01983.

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2025Multi-Layer Deep xVA: Structural Credit Models, Measure Changes and Convergence Analysis. (2025). Andersson, Kristoffer ; Gnoatto, Alessandro. In: Papers. RePEc:arx:papers:2502.14766.

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2024Insurance–finance arbitrage. (2024). Artzner, Philippe ; Schmidt, Thorsten ; Eisele, Karltheodor. In: Mathematical Finance. RePEc:bla:mathfi:v:34:y:2024:i:3:p:739-773.

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2025Major Conundrums and Possible Solutions in DeFi Insurance. (2025). Zhou, Peng ; Zhang, Ying. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2025/5.

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2024Conditional moments of the first-passage time of a crowed population. (2024). Villa-Morales, Jose ; de Jesus, Gabriela. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:470:y:2024:i:c:s0096300324000419.

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2024Construction and mean-square stability analysis of a new family of stochastic Runge-Kutta methods. (2024). Ballestra, Luca Vincenzo ; Rahimi, Vaz'He ; Ahmadian, Davood. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:470:y:2024:i:c:s0096300324000420.

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2025Improved algorithm for the optimal quantization of single- and multivariate random functions. (2025). Bocchini, Paolo ; Huang, Wei-Min ; Conus, Daniel ; Ma, Liyang. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:486:y:2025:i:c:s0096300324004892.

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2024Cross-regional green certificate transaction strategies based on a double-layer game model. (2024). Zhao, YI ; Li, Xiaozhu ; Wang, Weiqing ; Yan, Sizhe ; Maimaiti, Pakezhati. In: Applied Energy. RePEc:eee:appene:v:356:y:2024:i:c:s0306261923015878.

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2024Practical stability of the analytical and numerical solutions of stochastic delay differential equations driven by G-Brownian motion via some novel techniques. (2024). Zhu, Quanxin ; Yuan, Haiyan. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:183:y:2024:i:c:s0960077924004727.

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2024Stability of stochastic delay Hopfield neural network with Poisson jumps. (2024). Fan, Xu-Qian ; Xu, Hongjie ; Luo, Huantian. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:187:y:2024:i:c:s0960077924009561.

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2024A conjugate method for simulating the dynamics of stochastic urban spatial network models. (2024). Muoz, M ; de la Cruz, H. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:187:y:2024:i:c:s0960077924009822.

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2024Gamma positioning and market quality. (2024). Verschoor, Willem ; Pieterse-Bloem, Mary ; Buis, Boyd. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:164:y:2024:i:c:s0165188924000721.

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2024On the separation of estimation and control in risk-sensitive investment problems under incomplete observation. (2024). Lleo, Sebastien ; Runggaldier, Wolfgang J. In: European Journal of Operational Research. RePEc:eee:ejores:v:316:y:2024:i:1:p:200-214.

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2024Quantization of stochastic volatility models: Numerical tests and an open source implementation. (2024). Picarelli, Athena ; Gnoatto, Alessandro ; Fina, Alessandro. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:225:y:2024:i:c:p:29-51.

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2025Strong convergence of a class of adaptive numerical methods for SDEs with jumps. (2025). Sun, Fandi ; Lord, Gabriel J ; Kelly, Conall. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:227:y:2025:i:c:p:461-476.

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2024Different methods for RUL prediction considering sensor degradation. (2024). Fouladirad, Mitra ; Hachem, Hassan ; Vu, Hai Canh. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:243:y:2024:i:c:s0951832023008116.

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2024On the weak rate of convergence for the Euler–Maruyama scheme with Hölder drift. (2024). Holland, Teodor. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:174:y:2024:i:c:s0304414924000851.

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2024Speeding up the Euler scheme for killed diffusions. (2024). Cetin, Umut ; Hok, Julien. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:120789.

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2024Stochastic integration with respect to arbitrary collections of continuous semimartingales and applications to mathematical finance. (2024). Kardaras, Constantinos. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:121057.

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2024Enhancing Sustainability through Weather Derivative Option Contracts: A Risk Management Tool in Greek Agriculture. (2024). Bournaris, Thomas ; Nastis, Stefanos ; Vlontzos, George ; Moulogianni, Christina ; Prentzas, Angelos. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:17:p:7372-:d:1464987.

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2024Right and Duty: Investment Risk Under Different Renewable Energy Support Policies. (2024). Alcorta, Peio ; Pizarro-Irizar, Cristina ; Espinosa, Maria Paz. In: Environmental & Resource Economics. RePEc:kap:enreec:v:87:y:2024:i:12:d:10.1007_s10640-024-00909-3.

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2024Hedging goals. (2024). Krabichler, Thomas ; Wunsch, Marcus. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:38:y:2024:i:1:d:10.1007_s11408-023-00437-y.

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2024Multivariate stochastic modeling for transcriptional dynamics with cell-specific latent time using SDEvelo. (2024). Kang, Lican ; Liao, XU ; Xie, Peng ; Chai, Xiaoran ; Peng, Yihao ; Liu, Jin ; Jiao, Yuling ; Lin, Chengqi. In: Nature Communications. RePEc:nat:natcom:v:15:y:2024:i:1:d:10.1038_s41467-024-55146-5.

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2025What are asset price bubbles? A survey on definitions of financial bubbles. (2025). Baumann, Michael Heinrich ; Janischewski, Anja. In: MPRA Paper. RePEc:pra:mprapa:123676.

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2024CBI-time-changed Lévy processes for multi-currency modeling. (2024). Szulda, Guillaume ; Gnoatto, Alessandro ; Fontana, Claudio. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04982-z.

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2024The geometry of risk adjustments. (2024). Holm, Magnus ; Bermin, Hans-Peter. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:47:y:2024:i:1:d:10.1007_s10203-023-00421-1.

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2024Speeding up the Euler scheme for killed diffusions. (2024). Etin, Umut ; Hok, Julien. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:3:d:10.1007_s00780-024-00534-4.

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2024Convergence of Weak Euler Approximation for Nondegenerate Stochastic Differential Equations Driven by Point and Martingale Measures. (2024). Zhang, Changyong ; Mikuleviius, Remigijus. In: Journal of Theoretical Probability. RePEc:spr:jotpro:v:37:y:2024:i:1:d:10.1007_s10959-023-01260-x.

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Works by Eckhard Platen:

YearTitleTypeCited
2009On the semimartingale property of discounted asset-price processes In: Papers.
[Full Text][Citation analysis]		paper27
2011On the semimartingale property of discounted asset-price processes.(2011) In: Stochastic Processes and their Applications.
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This paper has nother version. Agregated cites: 27		article
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 nother version. Agregated cites: 2		paper
2010Multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading In: Papers.
[Full Text][Citation analysis]		paper5
2008Multiplicative Approximation of Wealth Processes Involving No-Short-Sale Strategies.(2008) In: Research Paper Series.
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This paper has nother version. Agregated cites: 5		paper
2010On the Dybvig-Ingersoll-Ross Theorem In: Papers.
[Full Text][Citation analysis]		paper9
2009Minimizing the expected market time to reach a certain wealth level In: Papers.
[Full Text][Citation analysis]		paper6
2008Minimizing the Expected Market Time to Reach a Certain Wealth Level.(2008) In: Research Paper Series.
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This paper has nother version. Agregated cites: 6		paper
2011Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model In: Papers.
[Full Text][Citation analysis]		paper3
2011The Small and Large Time Implied Volatilities in the Minimal Market Model In: Papers.
[Full Text][Citation analysis]		paper1
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.
[Full Text][Citation analysis]		paper6
2017THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS.(2017) In: Mathematical Finance.
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This paper has nother version. Agregated cites: 6		article
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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This paper has nother version. Agregated cites: 4		paper
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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This paper has nother version. Agregated cites: 1		paper
2017Recursive Marginal Quantization of Higher-Order Schemes In: Papers.
[Full Text][Citation analysis]		paper16
2018Recursive marginal quantization of higher-order schemes.(2018) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 16		article
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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This paper has nother version. Agregated cites: 4		paper
2017Investing for the Long Run In: Papers.
[Full Text][Citation analysis]		paper1
2017Investing for the Long Run.(2017) In: Research Paper Series.
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This paper has nother version. Agregated cites: 1		paper
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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This paper has nother version. Agregated cites: 0		paper
2019On the existence of sure profits via flash strategies In: Papers.
[Full Text][Citation analysis]		paper5
2017Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity In: Papers.
[Full Text][Citation analysis]		paper3
2018Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts In: Papers.
[Full Text][Citation analysis]		paper1
2019Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach In: Papers.
[Full Text][Citation analysis]		paper0
2019Real-world forward rate dynamics with affine realizations In: Papers.
[Full Text][Citation analysis]		paper7
2015Real-World Forward Rate Dynamics With Affine Realizations.(2015) In: Published Paper Series.
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This paper has nother version. Agregated cites: 7		paper
2021No-arbitrage concepts in topological vector lattices In: Papers.
[Full Text][Citation analysis]		paper1
2020No-Arbitrage Concepts in Topological Vector Lattices.(2020) In: Research Paper Series.
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This paper has nother version. Agregated cites: 1		paper
2022No arbitrage and multiplicative special semimartingales In: Papers.
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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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2022Exploiting 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.
[Full Text][Citation analysis]		article6
2001A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets In: Mathematical Finance.
[Full Text][Citation analysis]		article65
2006A BENCHMARK APPROACH TO FINANCE In: Mathematical Finance.
[Full Text][Citation analysis]		article175
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.
[Full Text][Citation analysis]		article4
1992Option Pricing Under Incompleteness and Stochastic Volatility In: Mathematical Finance.
[Full Text][Citation analysis]		article48
1998On Feedback Effects from Hedging Derivatives In: Mathematical Finance.
[Full Text][Citation analysis]		article76
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.
[Full Text][Citation analysis]		article3
1999Applications of the balanced method to stochastic differential equations in filtering In: Monte Carlo Methods and Applications.
[Full Text][Citation analysis]		article3
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.
[Full Text][Citation analysis]		article9
2001Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps.(2001) In: Research Paper Series.
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This paper has nother version. Agregated cites: 9		paper
2014A tractable model for indices approximating the growth optimal portfolio In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article1
2012A Tractable Model for Indices Approximating the Growth Optimal Portfolio.(2012) In: Research Paper Series.
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2020On the Use of Equities in Target Date Funds In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2003A Discrete Time Benchmark Approach for Insurance and Finance In: ASTIN Bulletin.
[Full Text][Citation analysis]		article9
2021DYNAMIC ASSET ALLOCATION FOR TARGET DATE FUNDS UNDER THE BENCHMARK APPROACH In: ASTIN Bulletin.
[Full Text][Citation analysis]		article0
2012Estimating the diffusion coefficient function for a diversified world stock index In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article2
2015Pricing currency derivatives under the benchmark approach In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article8
2018Detecting money market bubbles In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article4
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).
[Full Text][Citation analysis]		article3
1995On weak implicit and predictor-corrector methods In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article4
2000Strong discrete time approximation of stochastic differential equations with time delay In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article13
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).
[Full Text][Citation analysis]		article3
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.
[Full Text][Citation analysis]		article10
1989A law of large numbers for wide range exclusion processes in random media In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article0
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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2005AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL.(2005) In: International Journal of Theoretical and Applied Finance (IJTAF).
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2002PERFECT HEDGING OF INDEX DERIVATIVES UNDER A MINIMAL MARKET MODEL In: International Journal of Theoretical and Applied Finance (IJTAF).
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2020APPROXIMATING THE GROWTH OPTIMAL PORTFOLIO AND STOCK PRICE BUBBLES In: International Journal of Theoretical and Applied Finance (IJTAF).
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2001Pricing and Hedging of Index Derivatives under an Alternative Asset Price Model with Endogenous Stochastic Volatility In: World Scientific Book Chapters.
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