Eckhard Platen

University of Technology, Sydney (UTS) - Finance Discipline Group

Professor

Broadway

GPO Box 123

Sydney, NSW 2007, 2007

Australia

http://datasearch.uts.edu.au/business/finance/staff/StaffDetails.cfm?UnitStaffId=90

University of Technology Sydney, School of Mathematical and Physical Sciences

Professor

P.O. Box 123

Broadway

Sydney, New South Wales 2007

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

46

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Top 24,673

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34

CROSSREF CITATIONS

14

Scholarly Papers (46)

1.

The History of the Quantitative Methods in Finance Conference Series 1992-2007

Quantitative Finance Research Centre Working Paper No. 207
Number of pages: 113 Posted: 17 Mar 2008
Carl Chiarella and Eckhard Platen
University of Technology, Sydney - UTS Business School, Finance Discipline Group and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 701 (68,591)

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2.

Stochastic Modelling of the COVID-19 Epidemic

Number of pages: 27 Posted: 30 Apr 2020
Eckhard Platen
University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 589 (85,543)
Citation 1

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stochastic epidemic model, stochastic differential equations, squared Bessel process, COVID-19 epidemic, simulation

3.

A Benchmark Approach to Investing and Pricing

Research Paper Number: 253, Quantitative Finance Research Centre, University of Technology, Sydney
Number of pages: 20 Posted: 09 Nov 2012
Eckhard Platen
University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 254 (220,798)
Citation 2

Abstract:

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Kelly portfolio, real world pricing, numeraire portfolio, strong arbitrage, diversification

4.

A Top-Down Method for Long-Term Investing

Number of pages: 55 Posted: 18 Feb 2021
Dietmar Leisen and Eckhard Platen
Johannes Gutenberg University Mainz - Department of Banking and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 243 (232,573)

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Stochastic discount factor, optimal portfolio, growth optimal portfolio, long-term investing

5.

Pricing Currency Derivatives Under the Benchmark Approach

Number of pages: 25 Posted: 18 Sep 2013 Last Revised: 05 Oct 2013
Jan F. Baldeaux, Martino Grasselli and Eckhard Platen
Standard Chartered Bank, University of Padova - Department of Mathematics and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 235 (238,294)
Citation 2

Abstract:

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6.

Investing for the Long Run

Number of pages: 38 Posted: 11 May 2017 Last Revised: 29 Mar 2019
Dietmar Leisen, Eckhard Platen and Jin Sun
Johannes Gutenberg University Mainz - Department of Banking, University of Technology, Sydney (UTS) - Finance Discipline Group and University of Technology Sydney (UTS)
Downloads 225 (248,413)

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stochastic discount factor, minimum pricing, optimal portfolio, growth optimal portfolio, dynamic Kelly strategy

7.

Managing the Shortfall Risk of Target Date Funds by Overfunding

Journal of Pension Economics & Finance
Number of pages: 40 Posted: 22 Apr 2020 Last Revised: 12 Jan 2024
Giovanni Barone-Adesi, Eckhard Platen and Carlo Sala
University of Lugano, University of Technology, Sydney (UTS) - Finance Discipline Group and ESADE Business School
Downloads 208 (267,366)

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Hedging, target date funds, dynamic investment policies

8.

A Hybrid Model for Equity Indices and Stochastic Interest Rates

Number of pages: 32 Posted: 10 Nov 2012 Last Revised: 15 Sep 2013
Standard Chartered Bank, Commonwealth Bank of Australia, University of New South Wales (UNSW)University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 208 (267,366)

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growth optimal portfolio, time dependent constant elasticity of variance model, nonparametric kernel

9.

Simulation of Diversified Portfolios in a Continuous Financial Market

Quantitative Finance Research Centre, University of Technology, Sydney, Research Paper Number 282
Number of pages: 29 Posted: 03 Nov 2012
Eckhard Platen and Renatak Rendek
University of Technology, Sydney (UTS) - Finance Discipline Group and affiliation not provided to SSRN
Downloads 197 (280,922)
Citation 7

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growth optimal portfolio, diversification theorem, diversified portfolios, market portfolio, equi-weighted index, almost exact simulation, minimal market model

10.

Fast Quantization of Stochastic Volatility Models

Number of pages: 28 Posted: 22 Apr 2017
The African Institute of Financial Markets and Risk Management, University of Cape Town (UCT), University of Wuppertal - Applied Mathematics and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 137 (382,207)
Citation 1

Abstract:

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quantization, option pricing, stochastic volatility

11.

A Hybrid Model for Pricing and Hedging of Long Dated Bonds

UNSW Business School Research Paper No. 2015ACTL06
Number of pages: 29 Posted: 13 Mar 2015 Last Revised: 30 Sep 2015
Standard Chartered Bank, Commonwealth Bank of Australia, University of New South Wales (UNSW)University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 127 (408,134)

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Long dated bond pricing, stochastic interest rate, growth optimal portfolio, nonparametric kernel

12.

Exact Scenario Simulation for Selected Multi-Dimensional Stochastic Processes

Quantitative Finance Research Centre, University of Technology, Sydney Research Paper No. 259
Number of pages: 29 Posted: 09 Nov 2012
Eckhard Platen and Renatak Rendek
University of Technology, Sydney (UTS) - Finance Discipline Group and affiliation not provided to SSRN
Downloads 125 (410,556)
Citation 1

Abstract:

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exact scenario simulation, multi-dimensional stochastic differential equations, multi-dimensional Ornstein-Uhlenbeck process, multi-dimensional square root process, multi-dimensional squared Bessel process, Wishart process, multi-dimensional Levy process

13.

Recursive Marginal Quantization of Higher-Order Schemes

Number of pages: 28 Posted: 09 Jan 2017
University of Cape Town (UCT), The African Institute of Financial Markets and Risk Management, University of Wuppertal - Applied Mathematics and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 113 (442,582)
Citation 3

Abstract:

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quantization, option pricing

14.

Detecting Money Market Bubbles

Number of pages: 33 Posted: 17 Oct 2016
Standard Chartered Bank, University of New South Wales (UNSW)University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 113 (442,582)

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money market bubbles; strict local martingales; Markov chain Monte Carlo; stochastic volatility models; benchmark approach

15.

Real World Pricing of Long Term Contracts

Quantitative Finance Research Centre Research Paper No. 262
Number of pages: 32 Posted: 09 Nov 2012
Eckhard Platen
University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 111 (448,529)
Citation 2

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long term contracts, real world pricing, actuarial pricing, risk neutral pricing, numeraire portfolio

16.

Asset Markets and Monetary Policy

Number of pages: 27 Posted: 08 Oct 2009 Last Revised: 07 Dec 2009
Eckhard Platen and Willi Semmler
University of Technology, Sydney (UTS) - Finance Discipline Group and The New School - Department of Economics
Downloads 102 (476,655)
Citation 3

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interest rates, portfolio optimization, consumption, inflation, monetary policy, benchmark approach

17.

A Visual Classification of Local Martingales

Research Paper Number: 238, Quantitative Finance Research Centre, University of Technology, Sydney
Number of pages: 35 Posted: 15 Nov 2012
Hardy Hulley and Eckhard Platen
University of Technology, Sydney (UTS) - Finance Discipline Group and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 98 (489,656)
Citation 4

Abstract:

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diffusions, first-passage times, Laplace transforms, local martingales, ordinary differential equations

18.

Dynamics of a Well-Diversified Equity Index

Number of pages: 34 Posted: 29 Jan 2019
Eckhard Platen and Renata Rendek
University of Technology, Sydney (UTS) - Finance Discipline Group and UNSW Sydney, School of Mathematics and Statistics
Downloads 93 (506,544)
Citation 1

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long-term index model, growth optimal portfolio, square root process, market time, leverage effect puzzle, benchmark approach

19.

A Tractable Model for Indices Approximating the Growth Optimal Portfolio

Studies in Nonlinear Dynamics and Econometrics, Vol. 18, No. 1, 2014
Number of pages: 27 Posted: 17 Oct 2012 Last Revised: 22 Apr 2014
Standard Chartered Bank, University of New South Wales (UNSW)University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 93 (506,544)
Citation 1

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growth optimal portfolio, constant elasticity of variance model, kernel estimation, diffusion coeffcient function, derivative hedging

20.

Loading Pricing of Long-Dated, Insurance-Type Contracts

Number of pages: 29 Posted: 10 Feb 2017
Eckhard Platen and David Taylor
University of Technology, Sydney (UTS) - Finance Discipline Group and African Institute of Financial Markets & Risk Management
Downloads 92 (510,028)

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long-dated contracts, real world pricing, risk neutral pricing, loading pricing, benchmark approach, market-consistent valuation, CAT bonds

21.

A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds

Number of pages: 42 Posted: 18 Aug 2016
University of Verona - Department of Economics, University of Padova - Department of Mathematics and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 89 (520,775)
Citation 4

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Forex, benchmark approach, benchmarked risk minimization, stochastic volatility, long term securities

22.

On the Existence of Sure Profits via Flash Strategies

Number of pages: 16 Posted: 08 Aug 2017 Last Revised: 16 Sep 2018
Claudio Fontana, Markus Pelger and Eckhard Platen
University of Padova, Department of Mathematics, Stanford University - Department of Management Science & Engineering and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 88 (524,458)
Citation 4

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Arbitrage, predictable time, semimartingale; high-frequency trading, right-continuity

23.

Three-Benchmarked Risk Minimization for Jump Diffusion Markets

University of Technology, Sydney, Quantitative Finance Research Centre, Research Paper No. 296
Number of pages: 31 Posted: 04 Nov 2012
Ke Du and Eckhard Platen
University of Technology Sydney (UTS) - School of Finance and Economics and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 88 (524,458)
Citation 1

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incomplete market, pricing, hedging, numeraire portfolio, risk minimization, benchmark approach

24.

Modelling Co-Movements and Tail Dependency in the International Stock Market Via Copulae

Quantitative Finance Research Centre, University of Technology, Sydney, Research Paper Number 265
Number of pages: 40 Posted: 03 Nov 2012
Katja Ignatieva, Katja Ignatieva and Eckhard Platen
University of New South Wales (UNSW)University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 83 (543,514)

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international equity market indices, Student-t distribution, symmetric generalized hyperbolic distribution, time-varying copula, Value-at-Risk, world stock index

25.

Alternative Defaultable Term Structure Models

Quantitative Finance Research Centre Research Paper No. 242
Number of pages: 33 Posted: 13 Nov 2012
affiliation not provided to SSRN, University of Technology Sydney - Business School, University of Technology, Sydney (UTS) - Finance Discipline Group and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 81 (551,552)

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defaultable forward rates, jump-diffusion processes, growth optimal portfolio, real-world pricing

26.

Hedging Long-Dated Interest Rate Derivatives for Australian Pension Funds and Life Insurers

Australian Journal of Actuarial Practice 2014, 1, 29-44
Number of pages: 16 Posted: 11 Nov 2015
Kevin Fergusson and Eckhard Platen
Curtin University and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 77 (567,883)
Citation 1

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growth optimal portfolio, benchmark approach, long-dated zero coupon bonds, minimal market model

27.

On Explicit Probability Laws for Classes of Scalar Diffusions

Quantitative Finance Research Centre Research Paper No. 246
Number of pages: 30 Posted: 12 Nov 2012
Mark Craddock and Eckhard Platen
University of Technology Sydney (UTS) and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 77 (567,883)
Citation 2

Abstract:

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lie symmetry groups, fundamental solutions, transition probability densities, Ito diffusions

Alternative Term Structure Models for Reviewing Expectations Puzzles

Research Paper Number 305, Quantitative Finance Research Centre, University of Technology, Sydney
Number of pages: 28 Posted: 27 Oct 2012
University of Technology Sydney - Business School and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 39 (799,845)

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expectations hypothesis, time-varying term premiums, real-world probability measure, market price of risk

Alternative Term Structure Models for Reviewing Expectations Puzzles

Research Paper Number No. 305, Quantitative Finance Research Centre, University of Technology, Sydney
Number of pages: 28 Posted: 29 Oct 2012
University of Technology Sydney - Business School and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 37 (815,540)

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expectations hypothesis, time-varying term premiums, real-world probability measure, market price of risk

29.

Estimating the Diffusion Coefficient Function for a Diversified World Stock Index

Computational Statistic and Data Analysis, Forthcoming
Number of pages: 25 Posted: 06 Oct 2012 Last Revised: 22 Apr 2014
Katja Ignatieva, Katja Ignatieva and Eckhard Platen
University of New South Wales (UNSW)University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 75 (576,502)
Citation 2

Abstract:

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Diffusion coefficient function, diversified world stock index, square root process, nonparametric estimation, kernel density

30.

A Visual Criterion for Identifying Ito Diffusions as Martingales or Strict Local Martingales

Quantitative Finance Research Centre, University of Technology, Sydney, Research Paper Number 263
Number of pages: 12 Posted: 03 Nov 2012
Hardy Hulley and Eckhard Platen
University of Technology, Sydney (UTS) - Finance Discipline Group and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 71 (603,647)
Citation 1

Abstract:

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diffusions, first-passage times, Laplace transforms, local martingales, ordinary differential equations

31.

Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index

Quantitative Finance Research Centre, University of Technology, Sydney, Research Paper Number 284
Number of pages: 39 Posted: 03 Nov 2012
University of New South Wales (UNSW)University of New South Wales - Australian School of Business, University of Technology, Sydney (UTS) - Finance Discipline Group and affiliation not provided to SSRN
Downloads 71 (594,326)
Citation 1

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diversified world stock index, Student-t distribution, time-varying copula, Value-at-Risk, expected shortfall

32.

Empirical Behavior of a World Stock Index from Intra-Day to Monthly Time Scales

Research Paper Number: 250, Quantitative Finance Research Centre, University of Technology, Sydney
Number of pages: 27 Posted: 09 Nov 2012
Wolfgang Breymann, David Lüthi and Eckhard Platen
affiliation not provided to SSRN, affiliation not provided to SSRN and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 70 (598,940)

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33.

Benchmarked Risk Minimizing Hedging Strategies for Life Insurance Policies

Number of pages: 21 Posted: 24 Apr 2019
Jin Sun and Eckhard Platen
University of Technology Sydney (UTS) and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 65 (622,699)

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benchmark approach, benchmarked risk minimization, life insurance, mortality model

34.

Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach

Number of pages: 22 Posted: 13 Jun 2019
University of Technology Sydney (UTS), University of Melbourne - Centre for Actuarial Studies, University of Technology, Sydney (UTS) - Finance Discipline Group and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 59 (653,618)

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variable annuity guarantee, stochastic optimal control, stochastic reserve, benchmark approach

35.

Benchmarked Risk Minimization for Jump Diffusion Markets

Research Paper Number 296, Quantitative Finance Research Centre, University of Technology, Sydney, August 2011
Number of pages: 31 Posted: 29 Oct 2012
Eckhard Platen and Ke Du
University of Technology, Sydney (UTS) - Finance Discipline Group and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 59 (653,618)

Abstract:

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incomplete market, pricing, hedging; numeraire portfolio, risk minimization, benchmark approach

36.

Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts

Number of pages: 23 Posted: 01 Feb 2018
The African Institute of Financial Markets and Risk Management, University of Cape Town (UCT), University of Wuppertal - Applied Mathematics and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 53 (687,173)

Abstract:

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quantization, option pricing, benchmark approach, real-world measure

37.

Robust Product Markovian Quantization

Number of pages: 19 Posted: 21 Jul 2020
The African Institute of Financial Markets and Risk Management, University of Cape Town (UCT), University of Wuppertal - Applied Mathematics and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 48 (717,884)

Abstract:

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vector quantization, option pricing, stochastic volatility, calibration

38.

Quasi-Exact Approximation of Hidden Markov Chain Filters

Quantitative Finance Research Centre Research Paper No. 258
Number of pages: 17 Posted: 09 Nov 2012
Eckhard Platen and Renatak Rendek
University of Technology, Sydney (UTS) - Finance Discipline Group and affiliation not provided to SSRN
Downloads 48 (717,884)

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stochastic differential equations, Zakai equation, quasi-exact approximation, hidden Markov chain filtering

39.

Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity

Number of pages: 37 Posted: 09 Nov 2017
Kevin Fergusson and Eckhard Platen
University of Melbourne - Centre for Actuarial Studies and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 46 (730,665)

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long term contracts, annuities, real world valuation, actuarial valuation, risk neutral valuation, numeraire portfolio, law of the minimal price, strong arbitrage, hedge error, diversifi cation.

40.

The Small and Large Time Implied Volatilities in the Minimal Market Model

Research Paper Number: 297, Quantitative Finance Research Centre, University of Technology, Sydney
Number of pages: 21 Posted: 29 Oct 2012
Eckhard Platen and Zhi Guo
University of Technology, Sydney (UTS) - Finance Discipline Group and affiliation not provided to SSRN
Downloads 43 (750,771)
Citation 9

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small and large time implied volatility, benchmark approach, square-root process, the minimal market model

41.

Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics

Research Paper Number: 289, Quantitative Finance Research Centre, University of Technology, Sydney
Number of pages: 19 Posted: 04 Nov 2012
Eckhard Platen and Stefan Tappe
University of Technology, Sydney (UTS) - Finance Discipline Group and affiliation not provided to SSRN
Downloads 38 (786,478)

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Levy driven interest rate models, real-world forward rate dynamics, stochastic volatility, affine realizations

42.

Appendix: Recursive Marginal Quantization of Higher-Order Schemes

Number of pages: 9 Posted: 17 Nov 2017
University of Cape Town (UCT), The African Institute of Financial Markets and Risk Management, University of Wuppertal - Applied Mathematics and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 33 (825,142)
Citation 4

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43.

Benchmark-Neutral Pricing

Number of pages: 24 Posted: 16 Apr 2024
Eckhard Platen
University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 7

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long-term pricing, benchmark approach, change of numeraire, activity time, squared Bessel process, hedging

44.

Robust Product Markovian Quantization

Journal of Computational Finance, Vol. 25, No. 4, 2021
Number of pages: 24 Posted: 21 Mar 2022
University of Cape Town (UCT) - The African Institute of Financial Markets and Risk Management, University of Cape Town (UCT), University of Wuppertal - Applied Mathematics and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 1 (1,112,149)
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vector quantization, recursive marginal quantization, option pricing, stochastic volatility, calibration

45.

Entropy-Maximizing Dynamics of Continuous Markets

Posted: 04 Jan 2024
Eckhard Platen
University of Technology, Sydney (UTS) - Finance Discipline Group

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growth optimal portfolio, market price of risk, entropy maximization, conservation law, squared Bessel process, Radon-Nikodym density

46.

A Short Term Interest Rate Model

Posted: 19 Feb 1999
Eckhard Platen
University of Technology, Sydney (UTS) - Finance Discipline Group

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