16
H index
37
i10 index
1371
Citations
Eckhard Platen : Citation Profile
University of Technology Sydney (50% share) | RESEARCH PRODUCTION: 68 Articles 195 Papers 4 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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37 years (1985 - 2022). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Eckhard Platen. | Is cited by:
| Cites to:
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Main data
Where Eckhard Platen has published?
Recent works citing Eckhard Platen (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2024 | Nonparametric Bayesian volatility learning under microstructure noise. (2018). Gugushvili, Shota ; Spreij, Peter ; Schauer, Moritz ; van der Meulen, Frank . In: Papers. RePEc:arx:papers:1805.05606. Full description at Econpapers || Download paper |
| 2024 | The 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. Full description at Econpapers || Download paper |
| 2023 | Bitcoin 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. Full description at Econpapers || Download paper |
| 2023 | Term structure modelling with overnight rates beyond stochastic continuity. (2022). Schmidt, Thorsten ; Grbac, Zorana ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2202.00929. Full description at Econpapers || Download paper |
| 2024 | Distance between closed sets and the solutions to stochastic partial differential equations. (2022). Tappe, Stefan ; Nakayama, Toshiyuki. In: Papers. RePEc:arx:papers:2205.00279. Full description at Econpapers || Download paper |
| 2023 | Invariant cones for jump-diffusions in infinite dimensions. (2022). Tappe, Stefan. In: Papers. RePEc:arx:papers:2206.13913. Full description at Econpapers || Download paper |
| 2024 | No-Arbitrage Pricing, Dynamics and Forward Prices of Collateralized Derivatives. (2022). Calvelli, Alessio. In: Papers. RePEc:arx:papers:2208.08746. Full description at Econpapers || Download paper |
| 2023 | GPU 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. Full description at Econpapers || Download paper |
| 2023 | Long-term option pricing with a lower reflecting barrier. (2023). Thomas, Guy R. In: Papers. RePEc:arx:papers:2302.05808. Full description at Econpapers || Download paper |
| 2023 | Pitmans Theorem, Black-Scholes Equation, and Derivative Pricing for Fundraisers. (2023). Tsuzuki, Yukihiro. In: Papers. RePEc:arx:papers:2303.13956. Full description at Econpapers || Download paper |
| 2023 | A 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. Full description at Econpapers || Download paper |
| 2023 | On 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. Full description at Econpapers || Download paper |
| 2023 | Kelvin Waves, Klein-Kramers and Kolmogorov Equations, Path-Dependent Financial Instruments: Survey and New Results. (2023). Lipton, Alexander. In: Papers. RePEc:arx:papers:2309.04547. Full description at Econpapers || Download paper |
| 2024 | Signature Methods in Stochastic Portfolio Theory. (2023). Moller, Janka ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:2310.02322. Full description at Econpapers || Download paper |
| 2023 | Robust 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. Full description at Econpapers || Download paper |
| 2024 | Calibrated rank volatility stabilized models for large equity markets. (2024). Larsson, Martin ; Itkin, David. In: Papers. RePEc:arx:papers:2403.04674. Full description at Econpapers || Download paper |
| 2024 | Hydrodynamics of Markets:Hidden Links Between Physics and Finance. (2024). Lipton, Alexander. In: Papers. RePEc:arx:papers:2403.09761. Full description at Econpapers || Download paper |
| 2024 | On Mertons Optimal Portfolio Problem under Sporadic Bankruptcy. (2024). Pokojovy, Michael ; Kopeliovich, Yaacov. In: Papers. RePEc:arx:papers:2403.15923. Full description at Econpapers || Download paper |
| 2024 | Enhancing path-integral approximation for non-linear diffusion with neural network. (2024). Knezevic, Anna. In: Papers. RePEc:arx:papers:2404.08903. Full description at Econpapers || Download paper |
| 2023 | Risk?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. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Strong 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. Full description at Econpapers || Download paper |
| 2023 | A 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. Full description at Econpapers || Download paper |
| 2024 | Construction 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. Full description at Econpapers || Download paper |
| 2024 | Cross-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. Full description at Econpapers || Download paper |
| 2023 | Probabilistic 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. Full description at Econpapers || Download paper |
| 2023 | A 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. Full description at Econpapers || Download paper |
| 2023 | Consensus 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. Full description at Econpapers || Download paper |
| 2023 | Non-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. Full description at Econpapers || Download paper |
| 2024 | Practical 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. Full description at Econpapers || Download paper |
| 2023 | Portfolio 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. Full description at Econpapers || Download paper |
| 2024 | On 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. Full description at Econpapers || Download paper |
| 2023 | Maximum 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. Full description at Econpapers || Download paper |
| 2023 | On 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. Full description at Econpapers || Download paper |
| 2023 | Numerical 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. Full description at Econpapers || Download paper |
| 2024 | Different 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. Full description at Econpapers || Download paper |
| 2023 | W2 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. Full description at Econpapers || Download paper |
| 2023 | Uniqueness 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. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Risk management of stock portfolios with jumps at exogenous default events. (2023). Herbertsson, Alexander. In: Working Papers in Economics. RePEc:hhs:gunwpe:0836. Full description at Econpapers || Download paper |
| 2023 | An ‘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. Full description at Econpapers || Download paper |
| 2024 | Hedging 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. Full description at Econpapers || Download paper |
| 2023 | Utility 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. Full description at Econpapers || Download paper |
| 2023 | A 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. Full description at Econpapers || Download paper |
| 2023 | Pricing 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. Full description at Econpapers || Download paper |
| 2023 | Identifying scenarios for the own risk and solvency assessment of insurance companies. (2023). Aigner, Philipp. In: ICIR Working Paper Series. RePEc:zbw:icirwp:4823. Full description at Econpapers || Download paper |
Works by Eckhard Platen:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2009 | On the semimartingale property of discounted asset-price processes In: Papers. [Full Text][Citation analysis] | paper | 27 |
| 2011 | On the semimartingale property of discounted asset-price processes.(2011) In: Stochastic Processes and their Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | article | |
| 2008 | On honest times in financial modeling In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2008 | On Honest Times in Financial Modeling.(2008) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2010 | Multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2008 | Multiplicative Approximation of Wealth Processes Involving No-Short-Sale Strategies.(2008) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2010 | On the Dybvig-Ingersoll-Ross Theorem In: Papers. [Full Text][Citation analysis] | paper | 9 |
| 2009 | Minimizing the expected market time to reach a certain wealth level In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2008 | Minimizing the Expected Market Time to Reach a Certain Wealth Level.(2008) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2011 | Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2011 | The Small and Large Time Implied Volatilities in the Minimal Market Model In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2011 | The Small and Large Time Implied Volatilities in the Minimal Market Model.(2011) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2012 | THE SMALL AND LARGE TIME IMPLIED VOLATILITIES IN THE MINIMAL MARKET MODEL.(2012) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2012 | Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | The numeraire property and long-term growth optimality for drawdown-constrained investments In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2017 | THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS.(2017) In: Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2017 | The numéraire property and long-term growth optimality for drawdown-constrained investments.(2017) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2012 | Local Risk-Minimization under the Benchmark Approach In: Papers. [Full Text][Citation analysis] | paper | 11 |
| 2012 | Local Risk-Minimization under the Benchmark Approach.(2012) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2018 | A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2016 | A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds.(2016) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2016 | Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2016 | Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts.(2016) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2017 | Recursive Marginal Quantization of Higher-Order Schemes In: Papers. [Full Text][Citation analysis] | paper | 14 |
| 2018 | Recursive marginal quantization of higher-order schemes.(2018) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
| 2017 | Fast Quantization of Stochastic Volatility Models In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2017 | Fast Quantization of Stochastic Volatility Models.(2017) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2017 | Investing for the Long Run In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2017 | Investing for the Long Run.(2017) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2017 | Market Efficiency and Growth Optimal Portfolio In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Market Efficiency and the Growth Optimal Portfolio.(2017) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2019 | On the existence of sure profits via flash strategies In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2017 | Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2018 | Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2019 | Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Real-world forward rate dynamics with affine realizations In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2015 | Real-World Forward Rate Dynamics With Affine Realizations.(2015) In: Published Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2021 | No-arbitrage concepts in topological vector lattices In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2020 | No-Arbitrage Concepts in Topological Vector Lattices.(2020) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2022 | No arbitrage and multiplicative special semimartingales In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Existence of equivalent local martingale deflators in semimartingale market models In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Existence of Equivalent Local Martingale Deflators in Semimartingale Market Models.(2020) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2020 | Robust Product Markovian Quantization In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Exploiting arbitrage requires short selling In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2005 | ON THE ROLE OF THE GROWTH OPTIMAL PORTFOLIO IN FINANCE In: Australian Economic Papers. [Full Text][Citation analysis] | article | 14 |
| 2005 | On the Role of the Growth Optimal Portfolio in Finance.(2005) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2000 | Approximating Large Diversified Portfolios In: Mathematical Finance. [Full Text][Citation analysis] | article | 6 |
| 2001 | A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets In: Mathematical Finance. [Full Text][Citation analysis] | article | 64 |
| 2006 | A BENCHMARK APPROACH TO FINANCE In: Mathematical Finance. [Full Text][Citation analysis] | article | 173 |
| 2004 | A Benchmark Approach to Finance.(2004) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 173 | paper | |
| 2009 | CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH In: Mathematical Finance. [Full Text][Citation analysis] | article | 13 |
| 2007 | Consistent Market Extensions under the Benchmark Approach.(2007) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
| 2016 | BENCHMARKED RISK MINIMIZATION In: Mathematical Finance. [Full Text][Citation analysis] | article | 4 |
| 1992 | Option Pricing Under Incompleteness and Stochastic Volatility In: Mathematical Finance. [Full Text][Citation analysis] | article | 49 |
| 1998 | On Feedback Effects from Hedging Derivatives In: Mathematical Finance. [Full Text][Citation analysis] | article | 76 |
| 1997 | On Feedback Effects from Hedging Derivatives.(1997) In: SFB 373 Discussion Papers. [Citation analysis] This paper has nother version. Agregated cites: 76 | paper | |
| 2006 | First Order Strong Approximations of Jump Diffusions In: Monte Carlo Methods and Applications. [Full Text][Citation analysis] | article | 3 |
| 1999 | Applications of the balanced method to stochastic differential equations in filtering In: Monte Carlo Methods and Applications. [Full Text][Citation analysis] | article | 3 |
| 1999 | Applications of the Balanced Method to Stochastic Differential Equations in Filtering.(1999) In: Research Paper Series. [Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2002 | Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps In: Monte Carlo Methods and Applications. [Full Text][Citation analysis] | article | 8 |
| 2001 | Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps.(2001) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2014 | A tractable model for indices approximating the growth optimal portfolio In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2012 | A Tractable Model for Indices Approximating the Growth Optimal Portfolio.(2012) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2003 | A Discrete Time Benchmark Approach for Insurance and Finance In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 8 |
| 2021 | DYNAMIC ASSET ALLOCATION FOR TARGET DATE FUNDS UNDER THE BENCHMARK APPROACH In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 0 |
| 2012 | Estimating the diffusion coefficient function for a diversified world stock index In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 2 |
| 2015 | Pricing currency derivatives under the benchmark approach In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 7 |
| 2018 | Detecting money market bubbles In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 4 |
| 2016 | Detecting Money Market Bubbles.(2016) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 1987 | Simulation studies on time discrete diffusion approximations In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 3 |
| 1995 | On weak implicit and predictor-corrector methods In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 4 |
| 2000 | Strong discrete time approximation of stochastic differential equations with time delay In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 13 |
| 2000 | Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay.(2000) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
| 1999 | Strong discrete time approximation of Stochastic Differential Equations with Time Delay.(1999) In: SFB 373 Discussion Papers. [Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
| 2002 | Weak discrete time approximation of stochastic differential equations with time delay In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 2 |
| 2001 | Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay.(2001) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2001 | Weak discrete time approximation of stochastic differential equations with time delay.(2001) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2008 | A hardware generator of multi-point distributed random numbers for Monte Carlo simulation In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 3 |
| 2005 | A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation.(2005) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2006 | Portfolio selection and asset pricing under a benchmark approach In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 1 |
| 1985 | Weak convergence of semimartingales and discretisation methods In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 10 |
| 1989 | A law of large numbers for wide range exclusion processes in random media In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 0 |
| 2004 | Diversified Portfolios with Jumps in a Benchmark Framework In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 13 |
| 2004 | Diversified Portfolios with Jumps in a Benchmark Framework.(2004) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
| 2004 | A Two-Factor Model for Low Interest Rate Regimes In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 3 |
| 2004 | Two-Factor Model for Low Interest Rate Regimes.(2004) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2004 | A Fair Pricing Approach to Weather Derivatives In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 29 |
| 2003 | Fair Pricing of Weather Derivatives.(2003) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
| 2004 | Understanding the Implied Volatility Surface for Options on a Diversified Index In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 4 |
| 2004 | Understanding the Implied Volatility Surface for Options on a Diversified Index.(2004) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2004 | A Benchmark Approach to Filtering in Finance In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 8 |
| 2002 | A Benchmark Approach to Filtering in Finance.(2002) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2005 | Intraday Empirical Analysis and Modeling of Diversified World Stock Indices In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 4 |
| 2004 | Intraday Empirical Analysis and Modeling of Diversified World Stock Indices.(2004) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2007 | A Benchmark Approach to Portfolio Optimization under Partial Information In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 6 |
| 2007 | A Benchmark Approach to Portfolio Optimization under Partial Information.(2007) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2009 | Alternative Defaultable Term Structure Models In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 0 |
| 2009 | Alternative Defaultable Term Structure Models.(2009) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2010 | Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 15 |
| 2009 | Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae.(2009) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
| 2015 | Credit Derivative Evaluation and CVA Under the Benchmark Approach In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 0 |
| 2013 | Credit Derivative Evaluation and CVA under the Benchmark Approach.(2013) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 1997 | Subordinated Market Index Models: A Comparison In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 28 |
| 2007 | Approximation of jump diffusions in finance and economics In: Computational Economics. [Full Text][Citation analysis] | article | 8 |
| 2006 | Approximation of Jump Diffusions in Finance and Economics.(2006) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2012 | Approximating the numéraire portfolio by naive diversification In: Journal of Asset Management. [Full Text][Citation analysis] | article | 10 |
| 2010 | Approximating the Numeraire Portfolio by Naive Diversification.(2010) In: Research Paper Series. [Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2006 | A benchmark approach to asset management In: Journal of Asset Management. [Full Text][Citation analysis] | article | 3 |
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| 2003 | A Structure for General and Specific Market Risk In: Computational Statistics. [Full Text][Citation analysis] | article | 8 |
| 2003 | A Structure for General and Specific Market Risk.(2003) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2022 | Calibration to FX triangles of the 4/2 model under the benchmark approach In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 3 |
| 2021 | Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2009 | Empirical behavior of a world stock index from intra-day to monthly time scales In: The European Physical Journal B: Condensed Matter and Complex Systems. [Full Text][Citation analysis] | article | 2 |
| 2009 | Empirical Behavior of a World Stock Index from Intra-Day to Monthly Time Scales.(2009) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2013 | A reading guide for last passage times with financial applications in view In: Finance and Stochastics. [Full Text][Citation analysis] | article | 5 |
| 1999 | A short term interest rate model In: Finance and Stochastics. [Full Text][Citation analysis] | article | 4 |
| 2008 | Simulation Methods for Stochastic Differential Equations In: International Handbooks on Information Systems. [Citation analysis] | chapter | 0 |
| 2006 | On the Distributional Characterization of Daily Log-Returns of a World Stock Index In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 31 |
| 2005 | On the Distributional Characterization of Log-returns of a World Stock Index.(2005) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | paper | |
| 2010 | Real-World Pricing for a Modified Constant Elasticity of Variance Model In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 2 |
| 2008 | Real World Pricing for a Modified Constant Elasticity of Variance Model.(2008) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2015 | A Hybrid Model for Pricing and Hedging of Long-dated Bonds In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 4 |
| 2014 | A Hybrid Model for Pricing and Hedging of Long Dated Bonds.(2014) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2010 | Real-world jump-diffusion term structure models In: Quantitative Finance. [Full Text][Citation analysis] | article | 11 |
| 2013 | On the numerical stability of simulation methods for SDEs under multiplicative noise in finance In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
| 2016 | Recovering the real-world density and liquidity premia from option data In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
| 2015 | Recovering the Real-World Density and Liquidity Premia From Option Data.(2015) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2002 | A variance reduction technique based on integral representations In: Quantitative Finance. [Full Text][Citation analysis] | article | 10 |
| 2002 | A Variance Reduction Technique Based on Integral Representations.(2002) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2002 | Consistent pricing and hedging for a modified constant elasticity of variance model In: Quantitative Finance. [Full Text][Citation analysis] | article | 9 |
| 2002 | Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model.(2002) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2003 | Pricing of index options under a minimal market model with log-normal scaling In: Quantitative Finance. [Full Text][Citation analysis] | article | 5 |
| 2003 | Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling.(2003) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
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| 2006 | Local volatility function models under a benchmark approach In: Quantitative Finance. [Full Text][Citation analysis] | article | 4 |
| 2004 | Local Volatility Function Models under a Benchmark Approach.(2004) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2008 | Semiparametric diffusion estimation and application to a stock market index In: Quantitative Finance. [Full Text][Citation analysis] | article | 3 |
| 2001 | Semiparametric Diffusion Estimation and Application to a Stock Market Index.(2001) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2001 | Semiparametric diffusion estimation and application to a stock market index.(2001) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 1988 | Time Discrete Taylor Approximations for Ito Processes with Jump Component In: Published Paper Series. [Full Text][Citation analysis] | paper | 9 |
| 1989 | A survey of numerical methods for stochastic differential equations In: Published Paper Series. [Full Text][Citation analysis] | paper | 8 |
| 1991 | Relations between multiple ito and stratonovich integrals In: Published Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 1991 | Stratonovich and Ito Stochastic Taylor Expansions In: Published Paper Series. [Full Text][Citation analysis] | paper | 4 |
| 1991 | Rate of Convergence of the Euler Approximation for Diffusion Processes In: Published Paper Series. [Full Text][Citation analysis] | paper | 11 |
| 1992 | Higher-order implicit strong numerical schemes for stochastic differential equations In: Published Paper Series. [Full Text][Citation analysis] | paper | 14 |
| 1992 | The approximation of multiple stochastic integrals In: Published Paper Series. [Full Text][Citation analysis] | paper | 6 |
| 1994 | Stability of weak numerical schemes for stochastic differential equations In: Published Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 1994 | Pricing via anticipative stochastic calculus In: Published Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 1995 | Extrapolation Methods For The Weak Approximation Of Ito Diffusions In: Published Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 1996 | Valuation of FX barrier options under stochastic volatility In: Published Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 1996 | On effects of discretization on estimators of drift parameters for diffusion processes In: Published Paper Series. [Full Text][Citation analysis] | paper | 21 |
| 1996 | Principles for modelling financial markets In: Published Paper Series. [Full Text][Citation analysis] | paper | 16 |
| 1998 | Balanced Implicit Methods for Stiff Stochastic Systems In: Published Paper Series. [Full Text][Citation analysis] | paper | 31 |
| 1999 | Option pricing for a logstable asset price model In: Published Paper Series. [Full Text][Citation analysis] | paper | 35 |
| 1999 | Axiomatic principles for a market model In: Published Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2001 | Numerical Comparison of Local Risk-Minimisation & Mean-Variance Hedging In: Published Paper Series. [Citation analysis] | paper | 10 |
| 2004 | A class of complete benchmark models with intensity-based jumps In: Published Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2004 | Symmetry group methods for fundamental solutions In: Published Paper Series. [Full Text][Citation analysis] | paper | 9 |
| 2003 | Symmetry Group Methods for Fundamental Solutions and Characteristic Functions.(2003) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2007 | Strong approximations of stochastic differential equations with jumps In: Published Paper Series. [Full Text][Citation analysis] | paper | 10 |
| 2009 | Memorandum on a new financial architecture and new regulations In: Published Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Financial market meltdown and a need for new financial regulations In: Published Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Processes of Class Sigma, Last Passage Times, and Drawdowns In: Published Paper Series. [Full Text][Citation analysis] | paper | 10 |
| 2014 | Hedging long-dated interest rate derivatives for Australian pension funds and life insurers In: Published Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Natural Disasters, Insurance Stocks and the Numeraire Portfolio In: Published Paper Series. [Citation analysis] | paper | 0 |
| 2015 | Pricing and hedging of long dated variance swaps under a 3/2 volatility model In: Published Paper Series. [Full Text][Citation analysis] | paper | 5 |
| 2016 | Pricing of long dated equity-linked life insurance contracts In: Published Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 1998 | Comparison of Some Key Approaches to Hedging in Incomplete Markets In: Research Paper Series. [Citation analysis] | paper | 2 |
| 2003 | Modeling the Volatility and Expected Value of a Diversified World Index In: Research Paper Series. [Full Text][Citation analysis] | paper | 11 |
| 2004 | MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX.(2004) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
| 2003 | Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2003 | A Benchmark Framework for Risk Management In: Research Paper Series. [Full Text][Citation analysis] | paper | 9 |
| 2004 | A Benchmark Framework for Risk Management.(2004) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | chapter | |
| 2004 | On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2004 | A General Benchmark Model for Stochastic Jump Sizes In: Research Paper Series. [Full Text][Citation analysis] | paper | 6 |
| 1999 | Pricing and Hedging in the Presence of Transaction Costs Under Local Risk Minimisation In: Research Paper Series. [Citation analysis] | paper | 0 |
| 2004 | An Intraday Empirical Analysis of Electricity Price Behaviour In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2004 | Capital Asset Pricing for Markets with Intensity Based Jumps In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 1999 | A Financial Market Model with Trading Volume and Stochastic Volatility In: Research Paper Series. [Citation analysis] | paper | 0 |
| 2005 | Currency Derivatives under a Minimal Market Model with Random Scaling In: Research Paper Series. [Full Text][Citation analysis] | paper | 5 |
| 2005 | CURRENCY DERIVATIVES UNDER A MINIMAL MARKET MODEL WITH RANDOM SCALING.(2005) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2005 | Benchmarking and Fair Pricing Applied to Two Market Models In: Research Paper Series. [Full Text][Citation analysis] | paper | 8 |
| 2005 | On the Strong Approximation of Jump-Diffusion Processes In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2005 | Investments for the Short and Long Run In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2005 | On the Strong Approximation of Pure Jump Processes In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 1999 | Filtering and Parameter Estimation for a Mean Reverting Interest Rate Model In: Research Paper Series. [Citation analysis] | paper | 4 |
| 2005 | Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2007 | SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS.(2007) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2006 | On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2006 | Approximating the Growth Optimal Portfolio with a Diversified World Stock Index In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2006 | Approximating the Growth Optimal Portfolio with a Diversified World Stock Index.(2006) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2006 | On the Pricing and Hedging of Long Dated Zero Coupon Bonds In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2007 | Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices In: Research Paper Series. [Full Text][Citation analysis] | paper | 35 |
| 2007 | Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities In: Research Paper Series. [Full Text][Citation analysis] | paper | 5 |
| 2007 | Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2007 | Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options In: Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
| 2007 | The History of the Quantitative Methods in Finance Conference Series. 1992-2007 In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 1999 | A Minimal Share Market Model with Stochastic Volatility In: Research Paper Series. [Citation analysis] | paper | 0 |
| 2008 | On Financial Markets where only Buy-And-Hold Trading is Possible In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2008 | Hedging for the Long Run In: Research Paper Series. [Full Text][Citation analysis] | paper | 13 |
| 2008 | The Law of Minimal Price In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2008 | Analytic Pricing of Contingent Claims Under the Real-World Measure In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2008 | ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE.(2008) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 1999 | On the Log-Return Distribution of Index Benchmarked Share Prices In: Research Paper Series. [Citation analysis] | paper | 0 |
| 2008 | Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities Under a Benchmark Approach In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2008 | A Unifying Approach to Asset Pricing In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2008 | Distributional Deviations in Random Number Generation in Finance In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 1999 | Hidden Markov Chain Filtering for Generalised Bessel Processes In: Research Paper Series. [Citation analysis] | paper | 0 |
| 2008 | On the Numerical Stability of Simulation Methods for SDES In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2008 | A Visual Classification of Local Martingales In: Research Paper Series. [Full Text][Citation analysis] | paper | 6 |
| 2009 | On Explicit Probability Laws for Classes of Scalar Diffusions In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2009 | Asset Markets and Monetary Policy In: Research Paper Series. [Full Text][Citation analysis] | paper | 6 |
| 2009 | A Benchmark Approach to Investing and Pricing In: Research Paper Series. [Full Text][Citation analysis] | paper | 11 |
| 2011 | A Benchmark Approach to Investing and Pricing.(2011) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | chapter | |
| 2009 | Quasi-exact Approximation of Hidden Markov Chain Filters In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2009 | Exact Scenario Simulation for Selected Multi-dimensional Stochastic Processes In: Research Paper Series. [Full Text][Citation analysis] | paper | 7 |
| 2009 | Real World Pricing of Long Term Contracts In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2009 | A Visual Criterion for Identifying Ito Diffusions as Martingales or Strict Local Martingales In: Research Paper Series. [Full Text][Citation analysis] | paper | 7 |
| 2009 | Simulation of Diversified Portfolios in a Continuous Financial Market In: Research Paper Series. [Full Text][Citation analysis] | paper | 9 |
| 2010 | Simulation of Diversified Portfolios in a Continuous Financial Market.(2010) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 1999 | Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing In: Research Paper Series. [Citation analysis] | paper | 16 |
| 2010 | Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index In: Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
| 2011 | Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Three-Benchmarked Risk Minimization for Jump Diffusion Markets In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2012 | Alternative Term Structure Models for Reviewing Expectations Puzzles In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Modeling of Oil Prices In: Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
| 2012 | The Affine Nature of Aggregate Wealth Dynamics In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2013 | Liability Driven Investments under a Benchmark Based Approach In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2013 | Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2014 | A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Stylised Properties of the Interest Rate Term Structure Under The Benchmark Approach In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2015 | Less Expensive Pricing and Hedging of Long-Dated Equity Index Options When Interest Rates are Stochastic In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2015 | Pricing Volatility Derivatives Under the Modified Constant Elasticity of Variance Model In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2015 | Application of Maximum Likelihood Estimation to Stochastic Short Rate Models In: Research Paper Series. [Full Text][Citation analysis] | paper | 16 |
| 2015 | APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS.(2015) In: Annals of Financial Economics (AFE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | article | |
| 2017 | Sure Profits via Flash Strategies and the Impossibility of Predictable Jumps In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2019 | Dynamics of a Well-Diversified Equity Index In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Benchmarked Risk Minimizing Hedging Strategies for Life Insurance Policies In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Stochastic Modelling of the COVID-19 Epidemic In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2020 | The Fundamental Theorem of Asset Pricing for Self-Financing Portfolios In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2020 | On Using Equities to Produce Pension Payouts In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2000 | Risk Premia and Financial Modelling Without Measure Transformation In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2000 | Risk premia and financial modelling without measure transformation.(2000) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2001 | A Minimal Financial Market Model In: Research Paper Series. [Citation analysis] | paper | 16 |
| 2000 | A minimal financial market model.(2000) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
| 2001 | A Benchmark Model for Financial Markets In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2001 | A benchmark model for financial markets.(2001) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 1999 | An Introduction to Numerical Methods for Stochastic Differential Equations In: Research Paper Series. [Citation analysis] | paper | 25 |
| 2001 | Benchmark Pricing of Credit Derivatives Under a Standard Market Model In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2001 | Perfect Hedging of Index Derivatives Under a Locally Arbitrage Free Minimal Market Model In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 1999 | Modelling the Stochastic Dynamics of Volatility for Equity Indices In: Research Paper Series. [Citation analysis] | paper | 1 |
| 2001 | Arbitrage in Continuous Complete Markets In: Research Paper Series. [Full Text][Citation analysis] | paper | 25 |
| 2002 | A Discrete Time Benchmark Approach for Finance and Insurance In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 1999 | On the Marginal Distribution of Trade Weighted Currency Indices In: Research Paper Series. [Citation analysis] | paper | 2 |
| 2002 | Benchmark Model with Intensity Based Jumps In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2002 | A Benchmark Framework for Integrated Risk Management In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2003 | Diversified Portfolios in a Benchmark Framework In: Research Paper Series. [Citation analysis] | paper | 2 |
| 1999 | A Financial Market Model In: Research Paper Series. [Citation analysis] | paper | 1 |
| 2003 | Estimating for Discretely Observed Diffusions Using Transform Functions In: Research Paper Series. [Full Text][Citation analysis] | paper | 5 |
| 2003 | An Alternative Interest Rate Term Structure Model In: Research Paper Series. [Full Text][Citation analysis] | paper | 6 |
| 2005 | AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL.(2005) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2002 | PERFECT HEDGING OF INDEX DERIVATIVES UNDER A MINIMAL MARKET MODEL In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 7 |
| 2020 | APPROXIMATING THE GROWTH OPTIMAL PORTFOLIO AND STOCK PRICE BUBBLES In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 1 |
| 2001 | Pricing and Hedging of Index Derivatives under an Alternative Asset Price Model with Endogenous Stochastic Volatility In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 2 |
| 2001 | Über die stabilität des Euler-Schemas für eine Affine Stochastische Differentialgleichung mit Gedächtnis In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
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