Eckhard Platen

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

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

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

39

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CITATIONS
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22

Scholarly Papers (39)

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) - School of Finance and Economics
Downloads 569 (34,461)

Abstract:

2.

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) - School of Finance and Economics
Downloads 114 (155,532)

Abstract:

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

3.

A Hybrid Model for Equity Indices and Stochastic Interest Rates

Number of pages: 32 Posted: 10 Nov 2012 Last Revised: 15 Sep 2013
University of Technology, Sydney, CSIRO, University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - School of Finance and Economics
Downloads 107 (157,386)

Abstract:

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

4.

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
University of Technology, Sydney, University of Padova - Department of Mathematics and University of Technology, Sydney (UTS) - School of Finance and Economics
Downloads 85 (175,726)

Abstract:

5.

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) - School of Finance and Economics and affiliation not provided to SSRN
Downloads 58 (246,603)

Abstract:

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

6.

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
Jan F. Baldeaux, Katja Ignatieva and Eckhard Platen
University of Technology, Sydney, University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - School of Finance and Economics
Downloads 53 (299,084)

Abstract:

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

7.

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 and Eckhard Platen
University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - School of Finance and Economics
Downloads 51 (294,032)
Citation 1

Abstract:

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

8.

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) - School of Finance and Economics
Downloads 44 (299,084)

Abstract:

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

9.

Asset Markets and Monetary Policy

Number of pages: 27 Posted: 08 Oct 2009 Last Revised: 07 Dec 2009
Eckhard Platen and Willi Semmler Sr.
University of Technology, Sydney (UTS) - School of Finance and Economics and The New School - Department of Economics
Downloads 41 (318,354)

Abstract:

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

10.

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) - School of Finance and Economics
Downloads 40 (324,109)

Abstract:

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

11.

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) - School of Finance and Economics
Downloads 39 (294,032)
Citation 1

Abstract:

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

12.

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) - School of Finance and Economics
Downloads 35 (336,226)
Citation 1

Abstract:

13.

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) - School of Finance and Economics and affiliation not provided to SSRN
Downloads 34 (327,117)
Citation 1

Abstract:

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

14.

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
University of Technology, Sydney, CSIRO, University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - School of Finance and Economics
Downloads 32 (304,395)

Abstract:

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

15.

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 and Eckhard Platen
University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - School of Finance and Economics
Downloads 30 (352,609)

Abstract:

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

16.

The Numeraire Property and Long-Term Growth Optimality for Drawdown-Constrained Investments

Number of pages: 32 Posted: 30 Oct 2012
Constantinos Kardaras, Jan Obłój and Eckhard Platen
Boston University, University of Oxford - Mathematical Institute and University of Technology, Sydney (UTS) - School of Finance and Economics
Downloads 27 (345,772)

Abstract:

drawdown constraints, numeraire property, asymptotic growth, portfolio risk management

17.

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) - School of Finance and Economics and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 25 (366,926)

Abstract:

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

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) - School of Finance and Economics
Downloads 13 (480,144)

Abstract:

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) - School of Finance and Economics
Downloads 11 (491,430)

Abstract:

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

19.

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) - School of Finance and Economics
Downloads 22 (396,001)

Abstract:

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

20.

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
Katja Ignatieva, Eckhard Platen and Renatak Rendek
University of New South Wales - Australian School of Business, University of Technology, Sydney (UTS) - School of Finance and Economics and affiliation not provided to SSRN
Downloads 20 (420,404)

Abstract:

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

21.

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) - School of Finance and Economics and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 20 (400,633)

Abstract:

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

22.

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) - School of Finance and Economics
Downloads 19 (410,304)

Abstract:

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

23.

On the Role of the Growth Optimal Portfolio in Finance

Australian Economic Papers, Vol. 44, No. 4, pp. 365-388, December 2005
Number of pages: 24 Posted: 07 Jan 2006
Eckhard Platen
University of Technology, Sydney (UTS) - School of Finance and Economics
Downloads 19 (430,700)
Citation 3

Abstract:

24.

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) - School of Finance and Economics and affiliation not provided to SSRN
Downloads 16 (425,530)

Abstract:

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

25.

A Benchmark Approach to Finance

Mathematical Finance, Vol. 16, No. 1, pp. 131-151, January 2006
Number of pages: 21 Posted: 21 Jun 2006
Eckhard Platen
University of Technology, Sydney (UTS) - School of Finance and Economics
Downloads 15 (450,904)
Citation 15

Abstract:

26.

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) - School of Finance and Economics and affiliation not provided to SSRN
Downloads 14 (445,874)

Abstract:

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

27.

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) - School of Finance and Economics and affiliation not provided to SSRN
Downloads 12 (456,060)

Abstract:

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

28.

Multiplicative Approximation of Wealth Processes Involving No-Short-Sale Strategies

Research Paper Number: 240, Quantitative Finance Research Centre, University of Technology, Sydney
Number of pages: 11 Posted: 14 Nov 2012
Constantinos Kardaras and Eckhard Platen
Boston University and University of Technology, Sydney (UTS) - School of Finance and Economics
Downloads 5 (486,243)

Abstract:

semimartingales, buy-and-hold strategies, stochastic integral, unbounded profit with bounded risk, utility maximization

29.

Consistent Market Extensions under the Benchmark Approach

Mathematical Finance, Vol. 19, Issue 1, pp. 41-52, January 2009
Number of pages: 12 Posted: 17 Jan 2009
Damir Filipović and Eckhard Platen
Ecole Polytechnique Fédérale de Lausanne and University of Technology, Sydney (UTS) - School of Finance and Economics
Downloads 2 (514,269)

Abstract:

30.

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) - School of Finance and Economics and African Institute of Financial Markets & Risk Management
Downloads 0 (481,321)

Abstract:

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

31.

The Numéraire Property and Long‐Term Growth Optimality for Drawdown‐Constrained Investments

Mathematical Finance, Vol. 27, Issue 1, pp. 68-95, 2017
Number of pages: 28 Posted: 15 Jan 2017
Constantinos Kardaras, Jan Obłój and Eckhard Platen
London School of Economics & Political Science (LSE), University of Oxford and University of Technology, Sydney (UTS) - School of Finance and Economics
Downloads 0 (532,307)

Abstract:

drawdown constraints, numéraire property, asymptotic growth, portfolio risk management

32.

Recursive Marginal Quantization of Higher-Order Schemes

Number of pages: 28 Posted: 09 Jan 2017
University of Cape Town (UCT), University of Cape Town (UCT) - Department of Actuarial Science, University of Cape Town (UCT) and University of Technology, Sydney (UTS) - School of Finance and Economics
Downloads 0 (324,109)

Abstract:

quantization, option pricing

33.

Detecting Money Market Bubbles

Number of pages: 33 Posted: 17 Oct 2016
Jan F. Baldeaux, Katja Ignatieva and Eckhard Platen
University of Technology, Sydney, University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - School of Finance and Economics
Downloads 0 (370,631)

Abstract:

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

34.

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

Number of pages: 42 Posted: 18 Aug 2016
Independent, University of Padova - Department of Mathematics and University of Technology, Sydney (UTS) - School of Finance and Economics
Downloads 0 (400,633)

Abstract:

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

35.

Benchmarked Risk Minimization

Mathematical Finance, Vol. 26, Issue 3, pp. 617-637, 2016
Number of pages: 21 Posted: 10 Jun 2016
Ke Du and Eckhard Platen
Institute of Financial Studies (IFS), Southwestern University of Finance and Economics (SWUFE) and University of Technology, Sydney (UTS) - School of Finance and Economics
Downloads 0 (532,307)

Abstract:

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

36.

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) - School of Finance and Economics
Downloads 0 (386,894)

Abstract:

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

37.

Multiplicative Approximation of Wealth Processes Involving No‐Short‐Sales Strategies Via Simple Trading

Mathematical Finance, Vol. 23, Issue 3, pp. 579-590, 2013
Number of pages: 12 Posted: 09 Jun 2013
Constantinos Kardaras and Eckhard Platen
Boston University and University of Technology, Sydney (UTS) - School of Finance and Economics
Downloads 0 (532,307)

Abstract:

semimartingales, buy‐and‐hold strategies, stochastic integral, arbitrages of the first kind, utility maximization

38.

On the Dybvig‐Ingersoll‐Ross Theorem

Mathematical Finance, Vol. 22, Issue 4, pp. 729-740, 2012
Number of pages: 12 Posted: 23 Aug 2012
Constantinos Kardaras and Eckhard Platen
Boston University and University of Technology, Sydney (UTS) - School of Finance and Economics
Downloads 0 (532,307)
Citation 1

Abstract:

long maturities, forward rates, Dybvig‐Ingersoll‐Ross

39.

A Short Term Interest Rate Model

Finance and Stochastics, Vol. 3, Issue 2, 1999
Posted: 19 Feb 1999
Eckhard Platen
University of Technology, Sydney (UTS) - School of Finance and Economics

Abstract: