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Search: subject:"benchmark approach"
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benchmark approach
27
growth optimal portfolio
11
Benchmark approach
9
Portfolio selection
9
Portfolio-Management
9
Option pricing theory
8
Optionspreistheorie
8
numeraire portfolio
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minimal market model
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fair pricing
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real world pricing
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22
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16
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Platen, Eckhard
33
Fergusson, Kevin
5
Baldeaux, Jan
3
Gnoatto, Alessandro
3
Grasselli, Martino
3
Bruti-Liberati, Nicola
2
Du, Ke
2
El Qalli, Yassine
2
Heath, David
2
Miller, Shane
2
Rendek, Renata
2
Yassine, El Qalli
2
Biagini, Francesca
1
Buhlmann, Hans
1
Chan, Leunglung
1
Cretarola, Alessandra
1
Fontana, Claudio
1
Guo, Zhi
1
Heath, David C.
1
Hulley, Hardy
1
Ignatieva, Ekaterina
1
Jaschke, S.
1
Marquardt, T.
1
Miller, Shane M
1
Nikeghbali, Ashkan
1
Nikitopoulos-Sklibosios, Christina
1
Pavarana, Simone
1
Runggaldier, Wolfgang
1
Runggaldier, Wolfgang J.
1
Semmler, Willi
1
Taylor, David
1
West, Jason
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Finance Discipline Group, Business School
23
Economics and Econometrics Research Institute (EERI)
1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
1
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Research Paper Series / Finance Discipline Group, Business School
23
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
7
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2
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
1
Decisions in economics and finance : a journal of applied mathematics
1
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1
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RePEc
25
ECONIS (ZBW)
12
EconStor
1
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A stochastic control perspective on term structure models with roll-over risk
Fontana, Claudio
;
Pavarana, Simone
;
Runggaldier, Wolfgang J.
- In:
Finance and stochastics
27
(
2023
)
4
,
pp. 903-932
Persistent link: https://www.econbiz.de/10014426396
Saved in:
2
Less-expensive long-term annuities linked to mortality, cash and equity
Fergusson, Kevin
;
Platen, Eckhard
- In:
Annals of actuarial science : publ. by the Institute of …
17
(
2023
)
1
,
pp. 170-207
Persistent link: https://www.econbiz.de/10014306947
Saved in:
3
Calibration to FX triangles of the 4/2 model under the
benchmark
approach
Gnoatto, Alessandro
;
Grasselli, Martino
;
Platen, Eckhard
- In:
Decisions in economics and finance : a journal of …
45
(
2022
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10013380525
Saved in:
4
Calibration to FX triangles of the 4/2 model under the
benchmark
approach
Gnoatto, Alessandro
;
Grasselli, Martino
;
Platen, Eckhard
-
2021
Persistent link: https://www.econbiz.de/10013347384
Saved in:
5
A penny saved is a penny earned : less expensive zero coupon bonds
Gnoatto, Alessandro
;
Grasselli, Martino
;
Platen, Eckhard
-
2016
Persistent link: https://www.econbiz.de/10011778099
Saved in:
6
Detecting money market bubbles
Baldeaux, Jan
;
Ignatieva, Ekaterina
;
Platen, Eckhard
-
2016
Persistent link: https://www.econbiz.de/10011778131
Saved in:
7
Loading pricing of catastrophe bonds and other long-dated, insurance-type contracts
Platen, Eckhard
;
Taylor, David
-
2016
Persistent link: https://www.econbiz.de/10011778139
Saved in:
8
Less Expensive Pricing and Hedging of Long-Dated Equity Index Options When Interest Rates are Stochastic
Fergusson, Kevin
;
Platen, Eckhard
-
Finance Discipline Group, Business School
-
2015
guarantees using longdated derivatives. This paper extends the
benchmark
approach
to price and hedge long-dated equity index …
Persistent link: https://www.econbiz.de/10011267814
Saved in:
9
Pricing volatility derivatives under the modified constant elasticity of variance model
Chan, Leunglung
;
Platen, Eckhard
-
2015
Persistent link: https://www.econbiz.de/10011344235
Saved in:
10
Less expensive pricing and hedging of long-dated equity index options when interest rates are stochastic
Fergusson, Kevin
;
Platen, Eckhard
-
2015
Persistent link: https://www.econbiz.de/10011344299
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