Eckhard Platen : Citation Profile


Are you Eckhard Platen?

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

16

H index

37

i10 index

1366

Citations

RESEARCH PRODUCTION:

68

Articles

195

Papers

4

Chapters

RESEARCH ACTIVITY:

   37 years (1985 - 2022). See details.
   Cites by year: 36
   Journals where Eckhard Platen has often published
   Relations with other researchers
   Recent citing documents: 58.    Total self citations: 169 (11.01 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppl10
   Updated: 2024-11-04    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)

Fabozzi, Frank (13)

Cretarola, Alessandra (13)

Lleo, Sebastien (7)

Gatfaoui, Hayette (6)

Wang, Xingchun (6)

Hamisultane, Helene (5)

Schenk-Hoppé, Klaus (5)

El Qalli, Yassine (5)

Gerig, Austin (5)

Hafner, Christian (4)

Cites to:

merton, robert (45)

Scholes, Myron (25)

Hulley, Hardy (18)

Kreps, David (16)

Jarrow, Robert (16)

Markowitz, Harry (13)

Nikitopoulos-Sklibosios, Christina (13)

Duffie, Darrell (12)

Кабанов, Юрий (12)

Fama, Eugene (10)

Gnoatto, Alessandro (10)

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
Stochastic Processes and their Applications3
Monte Carlo Methods and Applications3
Journal of Asset Management2
Journal of Banking & Finance2
Finance and Stochastics2
ASTIN Bulletin2

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 (2024 and 2023)


YearTitle of citing document
2024Nonparametric 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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2024The 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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2023Bitcoin 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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2023Term structure modelling with overnight rates beyond stochastic continuity. (2022). Schmidt, Thorsten ; Grbac, Zorana ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2202.00929.

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2024Distance between closed sets and the solutions to stochastic partial differential equations. (2022). Tappe, Stefan ; Nakayama, Toshiyuki. In: Papers. RePEc:arx:papers:2205.00279.

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2023Invariant cones for jump-diffusions in infinite dimensions. (2022). Tappe, Stefan. In: Papers. RePEc:arx:papers:2206.13913.

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2024No-Arbitrage Pricing, Dynamics and Forward Prices of Collateralized Derivatives. (2022). Calvelli, Alessio. In: Papers. RePEc:arx:papers:2208.08746.

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2023GPU acceleration of the Seven-League Scheme for large time step simulations of stochastic differential equations. (2023). Oosterlee, Cornelis W ; Grzelak, Lech A ; Colonna, Graziana ; Liu, Shuaiqiang. In: Papers. RePEc:arx:papers:2302.05170.

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2023Long-term option pricing with a lower reflecting barrier. (2023). Thomas, Guy R. In: Papers. RePEc:arx:papers:2302.05808.

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2023Pitmans Theorem, Black-Scholes Equation, and Derivative Pricing for Fundraisers. (2023). Tsuzuki, Yukihiro. In: Papers. RePEc:arx:papers:2303.13956.

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2023A stochastic control perspective on term structure models with roll-over risk. (2023). Runggaldier, Wolfgang J ; Pavarana, Simone ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2304.04453.

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2023On the Separation of Estimation and Control in Risk-Sensitive Investment Problems under Incomplete Observation. (2023). Runggaldier, Wolfgang J ; Lleo, S'Ebastien. In: Papers. RePEc:arx:papers:2304.08910.

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2023Kelvin Waves, Klein-Kramers and Kolmogorov Equations, Path-Dependent Financial Instruments: Survey and New Results. (2023). Lipton, Alexander. In: Papers. RePEc:arx:papers:2309.04547.

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2024Signature Methods in Stochastic Portfolio Theory. (2023). Moller, Janka ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:2310.02322.

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2023Robust discrete-time super-hedging strategies under AIP condition and under price uncertainty. (2023). Lepinette, Emmanuel ; el Mansour, Meriam. In: Papers. RePEc:arx:papers:2311.08847.

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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 under Sporadic Bankruptcy. (2024). Pokojovy, Michael ; Kopeliovich, Yaacov. 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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2023Risk?sensitive benchmarked asset management with expert forecasts. (2021). Lleo, Sebastien. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:4:p:1162-1189.

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2023Strong convergence and almost sure exponential stability of balanced numerical approximations to stochastic delay Hopfield neural networks. (2023). Mayavel, Pichamuthu ; Rathinasamy, Anandaraman. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:438:y:2023:i:c:s0096300322006476.

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2023A fully quantization-based scheme for FBSDEs. (2023). Grasselli, Martino ; Gnoatto, Alessandro ; Callegaro, Giorgia. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:441:y:2023:i:c:s0096300322007251.

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

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

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2023Probabilistic solutions of fractional differential and partial differential equations and their Monte Carlo simulations. (2023). Arrubla, H ; Suazo, E ; Oraby, T. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:166:y:2023:i:c:s0960077922010803.

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2023A numerical recipe for the computation of stationary stochastic processes’ autocorrelation function. (2023). Micciche, S. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:171:y:2023:i:c:s0960077923003594.

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2023Consensus based optimization with memory effects: Random selection and applications. (2023). Pareschi, Lorenzo ; Grassi, Sara ; Borghi, Giacomo. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:174:y:2023:i:c:s0960077923007609.

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2023Non-linear stochastic model for dopamine cycle. (2023). Uvak, Nenad ; Miloevi, Marija ; Orevi, Jasmina. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:177:y:2023:i:c:s0960077923011220.

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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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2023Portfolio liquidation with delayed information. (2023). Wong, Hoi Ying ; Chiu, Mei Choi ; Yan, Tingjin. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002109.

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

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2023Maximum likelihood estimation of the Hull–White model. (2023). Rus, Toma ; Kladivko, Kamil. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:227-247.

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2023On the information content of implied liquidity measure: Evidence from the S&P 500 index options. (2023). Eksi-Altay, Zehra ; Yerli, Cigdem ; Selcuk-Kestel, Sevtap A. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005366.

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2023Numerical analysis of the Linearly implicit Euler method with truncated Wiener process for the stochastic SIR model. (2023). Zhang, Chiping ; Yang, Zhanwen. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:208:y:2023:i:c:p:1-14.

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

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2023W2 barycenters for radially related distributions. (2023). Walker, S G ; Ghaffari, N. In: Statistics & Probability Letters. RePEc:eee:stapro:v:195:y:2023:i:c:s0167715223000123.

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2023Uniqueness in cauchy problems for diffusive real-valued strict local martingales. (2023). Larsen, Kasper ; Etin, Umut. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:118743.

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2023.

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2023Risk management of stock portfolios with jumps at exogenous default events. (2023). Herbertsson, Alexander. In: Working Papers in Economics. RePEc:hhs:gunwpe:0836.

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2023An ‘Eiopean’ Tool to Project Post Retirement Income in Portuguese Defined Contribution Pension Schemes. (2023). Simes, Onofre Alves ; Pinheiro, Frederico. In: Working Papers REM. RePEc:ise:remwps:wp02882023.

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2024Hedging goals. (2024). Wunsch, Marcus ; Krabichler, Thomas. 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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2023Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach. (2023). Zhang, Yumo. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:46:y:2023:i:1:d:10.1007_s10203-022-00374-x.

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2023A stochastic control perspective on term structure models with roll-over risk. (2023). Pavarana, Simone ; Fontana, Claudio ; Runggaldier, Wolfgang J. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:4:d:10.1007_s00780-023-00515-z.

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2023Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach. (2023). Yang, Xiao Guang ; Cui, Zhenyu ; Ding, Kailin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:2:p:217-241.

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2023Identifying scenarios for the own risk and solvency assessment of insurance companies. (2023). Aigner, Philipp. In: ICIR Working Paper Series. RePEc:zbw:icirwp:4823.

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Works by Eckhard Platen:


YearTitleTypeCited
2009On the semimartingale property of discounted asset-price processes In: Papers.
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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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paper2
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.
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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.
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paper9
2009Minimizing the expected market time to reach a certain wealth level In: Papers.
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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.
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paper3
2011The Small and Large Time Implied Volatilities in the Minimal Market Model In: Papers.
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paper1
2011The Small and Large Time Implied Volatilities in the Minimal Market Model.(2011) In: Research Paper Series.
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This paper has nother version. Agregated cites: 1
paper
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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This paper has nother version. Agregated cites: 1
article
2012Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods In: Papers.
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paper0
2012The numeraire property and long-term growth optimality for drawdown-constrained investments In: Papers.
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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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This paper has nother version. Agregated cites: 6
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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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This paper has nother version. Agregated cites: 11
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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
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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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This paper has nother version. Agregated cites: 1
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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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This paper has nother version. Agregated cites: 14
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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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This paper has nother version. Agregated cites: 4
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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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This paper has nother version. Agregated cites: 1
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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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This paper has nother version. Agregated cites: 0
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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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paper3
2018Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts In: Papers.
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paper1
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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This paper has nother version. Agregated cites: 6
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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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This paper has nother version. Agregated cites: 1
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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.
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2001A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets In: Mathematical Finance.
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article64
2006A BENCHMARK APPROACH TO FINANCE In: Mathematical Finance.
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article173
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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article49
1998On Feedback Effects from Hedging Derivatives In: Mathematical Finance.
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article75
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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article3
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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This paper has nother version. Agregated cites: 3
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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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This paper has nother version. Agregated cites: 8
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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.
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article8
2021DYNAMIC ASSET ALLOCATION FOR TARGET DATE FUNDS UNDER THE BENCHMARK APPROACH In: ASTIN Bulletin.
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2012Estimating the diffusion coefficient function for a diversified world stock index In: Computational Statistics & Data Analysis.
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article2
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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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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