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Benchmarked risk minimization
Du, Ke; Platen, Eckhard - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 617-637
Persistent link: https://www.econbiz.de/10011583786
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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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Sensitivity analysis of values at risk
Gouriéroux, Christian; Laurent, Jean-Paul; Scaillet, … - In: Journal of empirical finance 7 (2000) 3/4, pp. 225-245
Persistent link: https://www.econbiz.de/10001557715
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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
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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
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Pricing currency derivatives under the benchmark approach
Baldeaux, Jan; Grasselli, Martino; Platen, Eckhard - In: Journal of banking & finance 53 (2015), pp. 34-48
Persistent link: https://www.econbiz.de/10011377682
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Modeling the volatility and expected value of a diversified world index
Platen, Eckhard - In: International journal of theoretical and applied finance 7 (2004) 4, pp. 511-529
Persistent link: https://www.econbiz.de/10002108812
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Nonparametric estimation and sensitivity analysis of expected shortfall
Scaillet, Olivier - In: Mathematical finance : an international journal of … 14 (2004) 1, pp. 115-129
Persistent link: https://www.econbiz.de/10001917791
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Approximating large diversified portfolios
Hofmann, Norbert; Platen, Eckhard - In: Mathematical finance : an international journal of … 10 (2000) 1, pp. 77-88
Persistent link: https://www.econbiz.de/10002177158
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Nonparametric tests for positive quadrant dependence
Denuit, Michel; Scaillet, Olivier - In: Journal of financial econometrics : official journal of … 2 (2004) 3, pp. 422-450
Persistent link: https://www.econbiz.de/10002214466