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Approximating the growth optimal portfolio and stock price bubbles

Platen, Eckhard; Rendek, Renata - In: International journal of theoretical and applied finance 23 (2020) 7, pp. 1-33

Persistent link: https://www.econbiz.de/10012496905

A tractable model for indices approximating the growth optimal portfolio

Baldeaux, Jan; Ignatieva, Ekaterina; Platen, Eckhard - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10010347344

A hybrid model for pricing and hedging of long-dated bonds

Baldeaux, Jan; Fung, Man Chung; Ignatieva, Ekaterina; … - In: Applied mathematical finance 22 (2015) 3/4, pp. 366-398

Persistent link: https://www.econbiz.de/10011436216

Detecting money market bubbles

Baldeaux, Jan; Ignatieva, Ekaterina; Platen, Eckhard - In: Journal of banking & finance 87 (2018), pp. 369-379

Persistent link: https://www.econbiz.de/10011962562

Estimating the diffusion coefficient function for a diversified world stock index

Ignatieva, Katja; Platen, Eckhard - In: Computational Statistics & Data Analysis 56 (2012) 6, pp. 1333-1349

This paper deals with the estimation of continuous-time diffusion processes which model the dynamics of a well diversified world stock index (WSI). We use the nonparametric kernel-based estimation to empirically identify a square root type diffusion coefficient function in the dynamics of the...

Persistent link: https://www.econbiz.de/10010574471

Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae

Ignatieva, Katja; Platen, Eckhard - In: Asia-Pacific Financial Markets 17 (2010) 3, pp. 261-302

Persistent link: https://www.econbiz.de/10008678550

Credit derivative evaluation and CVA under the benchmark approach

Baldeaux, Jan; Platen, Eckhard - In: Asia-Pacific financial markets 22 (2015) 3, pp. 305-331

Persistent link: https://www.econbiz.de/10011524811

Recursive marginal quantization of higher-order schemes

McWalter, Thomas A.; Rudd, Ralph; Kienitz, Jörg; … - In: Quantitative finance 18 (2018) 4, pp. 693-706

Persistent link: https://www.econbiz.de/10011906463

A note on Fergusson and Platen: "application of maximum likelihood estimation to stochastic short rate models"

Ballestra, Luca Vincenzo; Pacelli, Graziella; Radi, Davide - In: Annals of financial economics 11 (2016) 4, pp. 1-7

Persistent link: https://www.econbiz.de/10011686858

The numéraire property and long-term growth optimality for drawdown-constrained investments

Kardaras, Constantinos; Obłój, Jan; Platen, Eckhard - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 68-95

Persistent link: https://www.econbiz.de/10011739443

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