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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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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
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Pricing volatility derivatives under the modified constant elasticity of variance model
Chan, Leunglung; Platen, Eckhard - In: Operations research letters 43 (2015) 4, pp. 419-422
Persistent link: https://www.econbiz.de/10011372401
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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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Local risk-minimization under the benchmark approach
Biagini, Francesca; Cretarola, Alessandra; Platen, Eckhard - In: Mathematics and financial economics 8 (2014) 2, pp. 109-134
Persistent link: https://www.econbiz.de/10010341774
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Currency derivatives under a minimal market model with random scaling
Heath, David C.; Platen, Eckhard - In: International journal of theoretical and applied finance 8 (2005) 8, pp. 1157-1177
Persistent link: https://www.econbiz.de/10003280050
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A fair pricing approach to weather derivatives
Platen, Eckhard; West, Jason - In: Asia-Pacific financial markets 11 (2004) 1, pp. 23-53
Persistent link: https://www.econbiz.de/10003084151
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Understanding the implied volatility surface for options on a diversified index
Heath, David C.; Platen, Eckhard - In: Asia-Pacific financial markets 11 (2004) 1, pp. 55-77
Persistent link: https://www.econbiz.de/10003084162
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On the Dybvig-Ingersoll-Ross theorem
Kardaras, Constantinos; Platen, Eckhard - In: Mathematical finance : an international journal of … 22 (2012) 4, pp. 729-740
Persistent link: https://www.econbiz.de/10009614938
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Benchmarks for the benchmark approach to valuing long-term insurance liabilities : comment on Fergusson & Platen (2023)
Bauer, Daniel - In: Annals of actuarial science : publ. by the Institute of … 17 (2023) 1, pp. 208-211
Persistent link: https://www.econbiz.de/10014306953