Renatak Rendek

affiliation not provided to SSRN

SCHOLARLY PAPERS

4

DOWNLOADS

180

CITATIONS

1

Scholarly Papers (4)

1.

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 (247,705)

Abstract:

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

2.

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 (336,385)
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

3.

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 (441,598)

Abstract:

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

4.

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 (441,598)

Abstract:

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