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Intrinsic prices of risk

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On estimation of volatility surface and precition of future spot volatility

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A short term interest rate model

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Modeling the volatility and expected value of a diversified world index

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Modeling the volatility and expected value of a diversified world index

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Risk premia and financial modelling without measure transformation

Platen, Eckhard - 2000

This paper describes a financial market modelling framework that exploits the notion of a deflator . The denominations of the deflator measured in units of primary assets form a minimal set of basic financial quantities that completely specify the overall market dynamics, where deflated asset...

Persistent link: https://www.econbiz.de/10009612031

Option pricing under incompleteness and stochastic volatility

Hofmann, Norbert - 1992

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On feedback effects from hedging derivatives

Platen, Eckhard - In: Mathematical finance : an international journal of … 8 (1998) 1, pp. 67-84

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Risk premia and financial modelling without measure transformation

Platen, Eckhard - 2000

Persistent link: https://www.econbiz.de/10001555317