Search Results - subject:"benchmark model"

An Intertemporal Benchmark Model for Turkey’s Current Account

Ogus, Ayla; Sohrabji, Niloufer - Ekonomi Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2006

In this paper, we analyze the Turkish current account between 1992 and 2004 within an intertemporal benchmark model … smoothing current account using the intertemporal benchmark model (IBM) and tests for intertemporal solvency of the current … changes in national cash flow as implied by the intertemporal benchmark model. However, we also find that the actual …

Persistent link: https://www.econbiz.de/10005558793

A Benchmark Approach to Finance

Platen, Eckhard - Finance Discipline Group, Business School - 2004

This paper derives a unified framework for portfolio optimization, derivative pricing, financial modeling and risk measurement. It is based on the natural assumption that investors prefer more or less, in the sense that the higher drift is preferred. Each such investor is shown to hold an...

Persistent link: https://www.econbiz.de/10004984454

Diversified Portfolios with Jumps in a Benchmark Framework

Platen, Eckhard - Finance Discipline Group, Business School - 2004

This paper considers diversifed portfolios in a sequence of jump diffusion market models. Conditions for the approximation of the growth optimal portfolio (GOP) by diversified portfolios are provided. Under realistic assumptions, it is shown that diversified portfolios approximate the GOP...

Persistent link: https://www.econbiz.de/10004984593

Capital Asset Pricing for Markets with Intensity Based Jumps

Platen, Eckhard - Finance Discipline Group, Business School - 2004

This paper proposes a unified framework for portfolio optimization, derivative pricing, modeling and risk measurement in financial markets with security price processes that exhibit intensity based jumps. It is based on the natural assumption that investors prefer more for less, in the sense...

Persistent link: https://www.econbiz.de/10005041751

Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models

Platen, Eckhard - Finance Discipline Group, Business School - 2003

This paper considers a class of incomplete financial market models with security price processes that exhibit intensity based jumps. The benchmark or numeraire is chosen to be the growth optimal portfolio. Portfolio values, when expressed in units of the benchmark, are local martingales. In...

Persistent link: https://www.econbiz.de/10004984464

A Benchmark Framework for Risk Management

Platen, Eckhard - Finance Discipline Group, Business School - 2003

The paper describes a general framework for contingent claim valuation for finance, insurance and general risk management. It considers security prices and portfolios with finite expected returns, where the growth optimal portfolio is taken as numeraire or benchmark. Benchmarked nonnegative...

Persistent link: https://www.econbiz.de/10004984512

Modeling the Volatility and Expected Value of a Diversified World Index

Platen, Eckhard - Finance Discipline Group, Business School - 2003

This paper considers a diversified world stock index in a continuous financial market with the growth optimal portfolio (GOP) as the reference unit or benchmark. Diversified broadly based portfolios, which include major world stock market indices, are shown to approximate the GOP. It is...

Persistent link: https://www.econbiz.de/10004984523

A Structure for General and Specific Market Risk

Platen, Eckhard; Stahl, Gerhard - Finance Discipline Group, Business School - 2003

market index reveals that these are likely to be Student t distributed. A corresponding discrete time benchmark model is then …

Persistent link: https://www.econbiz.de/10004984610

Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model

Heath, David; Platen, Eckhard - Finance Discipline Group, Business School - 2002

This paper considers a modification of the well-known constant elasticity of variance model where it is used to model the growth optimal portfolio. It is shown taht, for this application, there is no equivalent risk neutral pricing methodology fails. However, a consistent pricing and hedging...

Persistent link: https://www.econbiz.de/10004984496

Benchmark Model with Intensity Based Jumps

Platen, Eckhard - Finance Discipline Group, Business School - 2002

. Primary security account prices, when expressed in units of the benchmark, turn out to be local martingales. The benchmark … model exludes, so called, benchmark arbitrage but permits arbitrage amounts, which arise for benchmarked price processes …

Persistent link: https://www.econbiz.de/10004984539