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Hedging for the Long Run
Platen, Eckhard; Hulley, Hardy - Finance Discipline Group, Business School - 2008
In the years following the publication of Black and Scholes [7], numerous alternative models have been proposed for pricing and hedging equity derivatives. Prominent examples include stochastic volatility models, jump diffusion models, and models based on Levy processes. These all have their own...
Persistent link: https://www.econbiz.de/10004984487
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A Penny Saved is a Penny Earned : Less Expensive Zero Coupon Bonds
Gnoatto, Alessandro - 2016
the risky assets. Long dated zero coupon bonds we derive, invest first primarily in risky securities and when approaching … when they approach retirement, is here made rigorous. The main reason for the existence of less expensive zero coupon bonds … supermartingale property. The less expensive zero coupon bonds provide only one first example that is indicative for the changes that …
Persistent link: https://www.econbiz.de/10012985084
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A benchmark model for financial markets
Platen, Eckhard - 2001
This paper introduces a benchmark model for financial markets, which is based on the unique characterization of a benchmark portfolio that is chosen to be the growth optimal portfolio. The general structure of risk premia for asset prices and portfolios is derived. Furthermore, the short rate is...
Persistent link: https://www.econbiz.de/10009614289
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Asset Markets and Monetary Policy
Platen, Eckhard; Semmler, Willi - 2009
Monetary policy has pursued the concept of inflation targeting. This has been implemented in many countries. Here interest rates are supposed to respond to an inflation gap and output gap. Yet, recently monetary policy, in particular in the US after the subprime and the credit crises, the...
Persistent link: https://www.econbiz.de/10014203097
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A minimal financial market model
Platen, Eckhard - 2000
The paper proposes a financial market model that generates stochastic volatility and stochastic interest rate using a minimal number of factors that characterise the dynamics of the different denominations of the deflator. It models asset prices essentially as functionals of square root and...
Persistent link: https://www.econbiz.de/10009612032
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Three-Benchmarked Risk Minimization for Jump Diffusion Markets
Du, Ke; Platen, Eckhard - Finance Discipline Group, Business School - 2011
The paper discusses the problem of hedging not perfectly replicable contingent claims by using a benchmark, the numerraire portfolio, as reference unit. The proposed concept of benchmarked risk minimization generalizes classical risk minimization, pioneered by Follmer, Sondermann and Schweizer....
Persistent link: https://www.econbiz.de/10009357762
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A minimal financial market model
Platen, Eckhard - Sonderforschungsbereich 373, Quantifikation und … - 2000
The paper proposes a financial market model that generates stochastic volatility and stochastic interest rate using a minimal number of factors that characterise the dynamics of the different denominations of the deflator. It models asset prices essentially as functionals of square root and...
Persistent link: https://www.econbiz.de/10010956399
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Risk premia and financial modelling without measure transformation
Platen, Eckhard - Sonderforschungsbereich 373, Quantifikation und … - 2000
This paper describes a financial market modelling framework that exploits the notion of a deflator . The denominations of the deflator measured in units of primary assets form a minimal set of basic financial quantities that completely specify the overall market dynamics, where deflated asset...
Persistent link: https://www.econbiz.de/10010956550
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A benchmark model for financial markets
Platen, Eckhard - Sonderforschungsbereich 373, Quantifikation und … - 2001
This paper introduces a benchmark model for financial markets, which is based on the unique characterization of a benchmark portfolio that is chosen to be the growth optimal portfolio. The general structure of risk premia for asset prices and portfolios is derived. Furthermore, the short rate is...
Persistent link: https://www.econbiz.de/10010956610
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A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model
Heath, David; Platen, Eckhard - Finance Discipline Group, Business School - 2014
This paper considers a new class of Monte Carlo methods that are combined with PDE expansions for the pricing and hedging of derivative securities for multidimensional diffusion models. The proposed method combines the advantages of both PDE and Monte Carlo methods and can be directly applied to...
Persistent link: https://www.econbiz.de/10010888484