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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2,743

SSRN CITATIONS
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SSRN RANKINGS

Top 13,602

in Total Papers Citations

16

CROSSREF CITATIONS

48

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 611 (43,153)

Abstract:

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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) - Finance Discipline Group
Downloads 192 (158,885)
Citation 2

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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
Standard Chartered Bank, Commonwealth Bank of Australia, University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 166 (180,749)

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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
Standard Chartered Bank, University of Padova - Department of Mathematics and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 164 (182,601)
Citation 1

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5.

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 156 (190,527)

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

6.

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 103 (263,474)
Citation 7

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

7.

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 93 (281,827)

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quantization, option pricing, stochastic volatility

8.

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 86 (294,163)
Citation 1

Abstract:

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quantization, option pricing

9.

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 68 (336,903)
Citation 2

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

10.

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
Standard Chartered Bank, University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 66 (342,213)
Citation 4

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

11.

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) - Finance Discipline Group
Downloads 64 (347,767)

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

12.

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 - Australian School of Business and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 62 (353,415)

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

13.

Detecting Money Market Bubbles

Number of pages: 33 Posted: 17 Oct 2016
Jan F. Baldeaux, Katja Ignatieva and Eckhard Platen
Standard Chartered Bank, University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 61 (356,322)

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

14.

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 59 (362,275)
Citation 1

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

15.

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 59 (362,275)
Citation 1

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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

16.

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 53 (381,208)
Citation 1

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

17.

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 53 (381,208)
Citation 3

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

18.

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) - Finance Discipline Group
Downloads 51 (387,804)
Citation 2

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

19.

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 50 (391,172)

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

20.

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 48 (398,036)

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

21.

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 43 (415,955)

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

22.

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 43 (415,955)

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23.

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
Université Paris VII Denis Diderot, Stanford University - Management Science & Engineering and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 39 (431,564)
Citation 2

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

24.

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 37 (439,751)
Citation 2

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

25.

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 33 (456,836)

Abstract:

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

26.

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 32 (461,320)

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

27.

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 29 (475,698)

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

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 15 (576,780)

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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 13 (590,502)

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

29.

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 23 (508,214)

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

30.

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) - Finance Discipline Group and affiliation not provided to SSRN
Downloads 23 (508,214)
Citation 1

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

31.

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 22 (514,189)

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

32.

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) - Finance Discipline Group
Downloads 19 (531,802)
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33.

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 17 (543,521)

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

34.

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 16 (549,417)

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

35.

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 16 (549,417)

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

36.

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 16 (549,417)
Citation 7

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

37.

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) - Finance Discipline Group
Downloads 16 (549,417)
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38.

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 11 (580,291)

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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.

39.

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 7 (606,251)
Citation 3

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40.

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
Downloads 5 (619,664)

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

41.

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) - Finance Discipline Group
Downloads 3 (634,649)
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42.

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) - Finance Discipline Group
Downloads 0 (673,801)
Citation 1
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drawdown constraints, numéraire property, asymptotic growth, portfolio risk management

43.

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) - Finance Discipline Group
Downloads 0 (673,801)
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risk minimization, incomplete market, pricing, hedging, numéraire portfolio, benchmark approach

44.

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
London School of Economics & Political Science (LSE) - Department of Statistics and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 0 (673,801)
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semimartingales, buy‐and‐hold strategies, stochastic integral, arbitrages of the first kind, utility maximization

45.

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
London School of Economics & Political Science (LSE) - Department of Statistics and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 0 (673,801)
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long maturities, forward rates, Dybvig‐Ingersoll‐Ross

46.

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) - Finance Discipline Group

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