Ke Du

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

Haymarket

Sydney, NSW 2007

Australia

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

SCHOLARLY PAPERS

2

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182

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1

Scholarly Papers (2)

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1.

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 103 (573,756)
Citation 1

Abstract:

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

2.

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 79 (678,351)

Abstract:

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