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Platen, Eckhard


 SSRN Author Rank: 19,400 by Downloads
 Professor
 

University of Technology, Sydney (UTS) - School of Finance and Economics


 Haymarket
 Sydney, NSW 2007
 Australia
 +61 2 9514 7759 (Phone)
 +61 2 9514 7711 (Fax)
 HOME PAGE: http://datasearch.uts.edu.au/business/finance/staff/StaffDetails.cfm?UnitStaffId=90
 email address
 

University of Technology Sydney (UTS) - Department of Mathematical Sciences


 P.O. Box 123
 Broadway
 Sydney, New South Wales 2007
 Australia
 +61 (02) 9514 2271 (Phone)
 +61 (02) 9514 2248 (Fax)
 email address
 

Financial Research Network (FIRN)


 C/- University of Queensland Business School
 St Lucia, 4071 Brisbane
 Queensland
 Australia
 HOME PAGE: http://www.firn.org.au


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. Platen, Eckhard's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
1,325
Total
Citations
24
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
The History of the Quantitative Methods in Finance Conference Series 1992-2007 | Show Abstract | Download |
Quantitative Finance Research Centre Working Paper No. 207
Working Paper Series
Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Posted:
17 Mar 08
556
(26,443)
 

2.  
Baldeaux, Jan F.
University of Technology, Sydney
Fung, Man Chung
University of New South Wales (UNSW)
Ignatieva, Katja
University of New South Wales - Australian School of Business
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Posted:
10 Nov 12
Last Revised:
15 Sep 13
77
(186,547)
 

3.  
A Benchmark Approach to Investing and Pricing | Show Abstract | Download |
Research Paper Number: 253, Quantitative Finance Research Centre, University of Technology, Sydney
Working Paper Series
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Posted:
09 Nov 12
71
(195,574)
 

4.  
Baldeaux, Jan F.
University of Technology, Sydney
Grasselli, Martino
University of Padova - Department of Mathematics
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Posted:
18 Sep 13
Last Revised:
05 Oct 13
60
(213,870)
 

5.  
Modelling Co-Movements and Tail Dependency in the International Stock Market Via Copulae | Show Abstract | Download |
Quantitative Finance Research Centre, University of Technology, Sydney, Research Paper Number 265
Working Paper Series
Ignatieva, Katja
University of New South Wales - Australian School of Business
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Posted:
03 Nov 12
45
(244,127)
1

6.  
Simulation of Diversified Portfolios in a Continuous Financial Market | Show Abstract | Download |
Quantitative Finance Research Centre, University of Technology, Sydney, Research Paper Number 282
Working Paper Series
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Rendek, Renatak
affiliation not provided to SSRN
Posted:
03 Nov 12
43
(248,679)
 

7.  
A Tractable Model for Indices Approximating the Growth Optimal Portfolio | Show Abstract | Download |
Studies in Nonlinear Dynamics and Econometrics, Vol. 18, No. 1, 2014
Accepted Paper Series
Baldeaux, Jan F.
University of Technology, Sydney
Ignatieva, Katja
University of New South Wales - Australian School of Business
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Posted:
17 Oct 12
Last Revised:
22 Apr 14
42
(250,936)
 

8.  
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Semmler, Willi
The New School - Department of Economics
Posted:
08 Oct 09
Last Revised:
07 Dec 09
38
(260,498)
 

9.  
Three-Benchmarked Risk Minimization for Jump Diffusion Markets | Show Abstract | Download |
University of Technology, Sydney, Quantitative Finance Research Centre, Research Paper No. 296
Working Paper Series
Du, Ke
University of Technology Sydney (UTS) - School of Finance and Economics
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Posted:
04 Nov 12
36
(265,729)
 

10.  
A Visual Classification of Local Martingales | Show Abstract | Download |
Research Paper Number: 238, Quantitative Finance Research Centre, University of Technology, Sydney
Working Paper Series
Hulley, Hardy
University of Technology, Sydney (UTS) - Finance Discipline Group
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Posted:
15 Nov 12
34
(273,903)
 

11.  
Empirical Behavior of a World Stock Index from Intra-Day to Monthly Time Scales | Show Abstract | Download |
Research Paper Number: 250, Quantitative Finance Research Centre, University of Technology, Sydney
Working Paper Series
Breymann, Wolfgang
affiliation not provided to SSRN
Lüthi, David
affiliation not provided to SSRN
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Posted:
09 Nov 12
29
(285,936)
 

12.  
Real World Pricing of Long Term Contracts | Show Abstract | Download |
Quantitative Finance Research Centre Research Paper No. 262
Working Paper Series
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Posted:
09 Nov 12
28
(289,294)
1

13.  
Exact Scenario Simulation for Selected Multi-Dimensional Stochastic Processes | Show Abstract | Download |
Quantitative Finance Research Centre, University of Technology, Sydney Research Paper No. 259
Working Paper Series
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Rendek, Renatak
affiliation not provided to SSRN
Posted:
09 Nov 12
26
(296,319)
2

14.  
Estimating the Diffusion Coefficient Function for a Diversified World Stock Index | Show Abstract | Download |
Computational Statistic and Data Analysis, Forthcoming
Accepted Paper Series
Ignatieva, Katja
University of New South Wales - Australian School of Business
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Posted:
06 Oct 12
Last Revised:
22 Apr 14
26
(296,319)
 

15.  
Kardaras, Constantinos
Boston University
Obloj, Jan K.
University of Oxford
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Posted:
30 Oct 12
23
(307,708)
 

16.   Incl. Electronic Paper
Nikitipoulos Sklibosios, Christina
University of Technology, Sydney - Faculty of Business
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Posted:
27 Oct 12
Last Revised:
29 Oct 12
22
(311,680)
 

17.  
A Visual Criterion for Identifying Ito Diffusions as Martingales or Strict Local Martingales | Show Abstract | Download |
Quantitative Finance Research Centre, University of Technology, Sydney, Research Paper Number 263
Working Paper Series
Hulley, Hardy
University of Technology, Sydney (UTS) - Finance Discipline Group
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Posted:
03 Nov 12
21
(320,018)
 

18.  
On the Role of the Growth Optimal Portfolio in Finance | Show Abstract | Download |
Australian Economic Papers, Vol. 44, No. 4, pp. 365-388, December 2005
Accepted Paper Series
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Posted:
07 Jan 06
19
(324,187)
3

19.  
Alternative Defaultable Term Structure Models | Show Abstract | Download |
Quantitative Finance Research Centre Research Paper No. 242
Working Paper Series
Bruti-Liberati, Nicola
affiliation not provided to SSRN
Nikitipoulos Sklibosios, Christina
University of Technology, Sydney - Faculty of Business
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Schlogl, Erik
University of Technology Sydney (UTS) - School of Finance and Economics
Posted:
13 Nov 12
18
(328,309)
 

20.  
Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index | Show Abstract | Download |
Quantitative Finance Research Centre, University of Technology, Sydney, Research Paper Number 284
Working Paper Series
Ignatieva, Katja
University of New South Wales - Australian School of Business
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Rendek, Renatak
affiliation not provided to SSRN
Posted:
03 Nov 12
18
(328,309)
 

21.  
Benchmarked Risk Minimization for Jump Diffusion Markets | Show Abstract | Download |
Research Paper Number 296, Quantitative Finance Research Centre, University of Technology, Sydney, August 2011
Working Paper Series
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Du, Ke
University of Technology Sydney (UTS) - School of Finance and Economics
Posted:
29 Oct 12
17
(332,448)
 

22.  
Quasi-Exact Approximation of Hidden Markov Chain Filters | Show Abstract | Download |
Quantitative Finance Research Centre Research Paper No. 258
Working Paper Series
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Rendek, Renatak
affiliation not provided to SSRN
Posted:
09 Nov 12
16
(336,537)
 

23.  
A Benchmark Approach to Finance | Show Abstract | Download |
Mathematical Finance, Vol. 16, No. 1, pp. 131-151, January 2006
Accepted Paper Series
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Posted:
21 Jun 06
15
(340,629)
16

24.  
On Explicit Probability Laws for Classes of Scalar Diffusions | Show Abstract | Download |
Quantitative Finance Research Centre Research Paper No. 246
Working Paper Series
Craddock, Mark
affiliation not provided to SSRN
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Posted:
12 Nov 12
14
(344,998)
 

25.  
Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics | Show Abstract | Download |
Research Paper Number: 289, Quantitative Finance Research Centre, University of Technology, Sydney
Working Paper Series
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Tappe, Stefan
affiliation not provided to SSRN
Posted:
04 Nov 12
12
(353,668)
 

26.  
The Small and Large Time Implied Volatilities in the Minimal Market Model | Show Abstract | Download |
Research Paper Number: 297, Quantitative Finance Research Centre, University of Technology, Sydney
Working Paper Series
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Guo, Zhi
affiliation not provided to SSRN
Posted:
29 Oct 12
12
(353,668)
 

27.  
Multiplicative Approximation of Wealth Processes Involving No-Short-Sale Strategies | Show Abstract | Download |
Research Paper Number: 240, Quantitative Finance Research Centre, University of Technology, Sydney
Working Paper Series
Kardaras, Constantinos
Boston University
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Posted:
14 Nov 12
5
(382,316)
 

28.  
Consistent Market Extensions under the Benchmark Approach | Show Abstract | Download |
Mathematical Finance, Vol. 19, Issue 1, pp. 41-52, January 2009
Accepted Paper Series
Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Posted:
17 Jan 09
2
(397,096)
 

29.  
Kardaras, Constantinos
Boston University
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Posted:
09 Jun 13
0
(416,059)
 

30.  
On the Dybvig‐Ingersoll‐Ross Theorem | Show Abstract | Download |
Mathematical Finance, Vol. 22, Issue 4, pp. 729-740, 2012
Accepted Paper Series
Kardaras, Constantinos
Boston University
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Posted:
23 Aug 12
0
(416,059)
1

31.  
A Short Term Interest Rate Model | Show Abstract |
Finance and Stochastics, Vol. 3, Issue 2, 1999
Accepted Paper Series
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Posted:
19 Feb 99
 


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