Eckhard Platen

Personal Home Page

http://datasearch.uts.edu.au/business/finance/staff/StaffDetails.cfm?UnitStaffId=90

Articles in Scholarly Journals [Incomplete List]

  1. Semiparametric diffusion estimation and application to a stock market index
    Quantitative Finance, vol. 8, no. 1, pp. 81–92, 2008
  2. Approximation of jump diffusions in finance and economics
    Computational Economics, vol. 29, no. 3-4, pp. 283–312, 2007
  3. A Benchmark Approach to Portfolio Optimization under Partial Information
    Asia-Pacific Financial Markets, vol. 14, no. 1-2, pp. 25–43, 2007
  4. Strong approximations of stochastic differential equations with jumps
    Journal of Computational and Applied Mathematics, vol. 205, no. 2, pp. 982–1001, 2007
  5. SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS
    International Journal of Theoretical and Applied Finance, vol. 10, no. 08, p. 1339, 2007
  6. Local volatility function models under a benchmark approach
    Quantitative Finance, vol. 6, no. 3, pp. 197–206, 2006
  7. A BENCHMARK APPROACH TO FINANCE
    Mathematical Finance, vol. 16, no. 1, pp. 131–151, 2006
  8. On the Distributional Characterization of Daily Log-Returns of a World Stock Index
    Applied Mathematical Finance, vol. 13, no. 1, pp. 19–38, 2006
  9. Comment on “Numerical methods for stochastic differential equations”
    Physical Review E, vol. 74, no. 6, 2006
  10. Portfolio selection and asset pricing under a benchmark approach
    Physica A: Statistical Mechanics and its Applications, vol. 370, no. 1, pp. 23–29, 2006
  11. Intraday Empirical Analysis and Modeling of Diversified World Stock Indices
    Asia-Pacific Financial Markets, vol. 12, no. 1, pp. 1–28, 2006
  12. A General Benchmark Model for Stochastic Jump Sizes
    Stochastic Analysis and Applications, vol. 23, no. 5, pp. 1017–1044, 2005
  13. Editorial
    Quantitative Finance, vol. 5, no. 3, pp. 235–235, 2005
  14. International Journal of Theoretical and Applied Finance, vol. 8, no. 6, p. 717, 2005
  15. International Journal of Theoretical and Applied Finance, vol. 8, no. 8, p. 1157, 2005
  16. International Journal of Theoretical and Applied Finance, vol. 7, no. 4, p. 511, 2004
  17. A class of complete benchmark models with intensity-based jumps
    Journal of Applied Probability, vol. 41, no. 1, pp. 19–34, 2004
  18. Estimation for discretely observed diffusions using transform functions
    Journal of Applied Probability, vol. 41A, pp. 99–118, 2004
  19. Symmetry group methods for fundamental solutions
    Journal of Differential Equations, vol. 207, no. 2, pp. 285–302, 2004
  20. Understanding the Implied Volatility Surface for Options on a Diversified Index
    Asia-Pacific Financial Markets, vol. 11, no. 1, pp. 55–77, 2004
  21. A Two-Factor Model for Low Interest Rate Regimes
    Asia-Pacific Financial Markets, vol. 11, no. 1, pp. 107–133, 2004
  22. A Fair Pricing Approach to Weather Derivatives
    Asia-Pacific Financial Markets, vol. 11, no. 1, pp. 23–53, 2004
  23. Diversified Portfolios with Jumps in a Benchmark Framework
    Asia-Pacific Financial Markets, vol. 11, no. 1, pp. 1–22, 2004
  24. A Benchmark Approach to Filtering in Finance
    Asia-Pacific Financial Markets, vol. 11, no. 1, pp. 79–105, 2004
  25. A Discrete Time Benchmark Approach for Insurance and Finance
    Astin Bulletin, vol. 33, no. 2, pp. 153–172, 2003
  26. Introduction to Selected Proceedings from Quantitative Methods in Finance 2002
    Quantitative Finance, vol. 3, no. 1, pp. C5–C5, 2003
  27. Pricing of index options under a minimal market model with log-normal scaling
    Quantitative Finance, vol. 3, no. 6, pp. 442–450, 2003
  28. International Journal of Theoretical and Applied Finance, vol. 5, no. 7, p. 757, 2002
  29. Arbitrage in continuous complete markets
    Advances in Applied Probability, vol. 34, no. 3, pp. 540–558, 2002
  30. A variance reduction technique based on integral representations
    Quantitative Finance, vol. 2, no. 5, pp. 362–369, 2002
  31. Consistent pricing and hedging for a modified constant elasticity of variance model
    Quantitative Finance, vol. 2, no. 6, pp. 459–467, 2002
  32. Weak discrete time approximation of stochastic differential equations with time delay
    Mathematics and Computers in Simulation, vol. 59, no. 6, pp. 497–507, 2002
  33. A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets
    Mathematical Finance, vol. 11, no. 4, pp. 385–413, 2001
  34. Strong discrete time approximation of stochastic differential equations with time delay
    Mathematics and Computers in Simulation, vol. 54, no. 1-3, pp. 189–205, 2000
  35. Option pricing for a logstable asset price model
    Mathematical and Computer Modelling, vol. 29, no. 10-12, pp. 105–119, 1999
  36. On Feedback Effects from Hedging Derivatives
    Mathematical Finance, vol. 8, no. 1, pp. 67–84, 1998
  37. Balanced Implicit Methods for Stiff Stochastic Systems
    SIAM Journal on Numerical Analysis, vol. 35, no. 3, p. 1010, 1998
  38. Algorithms for Analyzing Nonstationary Time Series with Fractal Noise
    Journal of Computational and Graphical Statistics, vol. 5, no. 4, p. 351, 1996
  39. On Effects of Discretization on Estimators of Drift Parameters for Diffusion Processes
    Journal of Applied Probability, vol. 33, no. 4, p. 1061, 1996
  40. Principles for Modelling Financial Markets
    Journal of Applied Probability, vol. 33, no. 3, p. 601, 1996
  41. Extrapolation Methods for the Weak Approximation of Ito Diffusions
    SIAM Journal on Numerical Analysis, vol. 32, no. 5, p. 1519, 1995
  42. On weak implicit and predictor-corrector methods
    Mathematics and Computers in Simulation, vol. 38, no. 1-3, pp. 69–76, 1995
  43. Stability of weak numerical schemes for stochastic differential equations
    Computers & Mathematics with Applications, vol. 28, no. 10-12, pp. 45–57, 1994
  44. Pricing via Anticipative Stochastic Calculus
    Advances in Applied Probability, vol. 26, no. 4, p. 1006, 1994
  45. The approximation of multiple stochastic integrals
    Stochastic Analysis and Applications, vol. 10, no. 4, pp. 431–441, 1992
  46. Relations between multiple ito and stratonovich integrals
    Stochastic Analysis and Applications, vol. 9, no. 3, pp. 311–321, 1991
  47. Stratonovich and Ito Stochastic Taylor Expansions
    Mathematische Nachrichten, vol. 151, no. 1, pp. 33–50, 1991
  48. Rate of Convergence of the Euler Approximation for Diffusion Processes
    Mathematische Nachrichten, vol. 151, no. 1, pp. 233–239, 1991
  49. International Journal of Bifurcation and Chaos [in Applied Sciences and Engineering], vol. 1, no. 2, p. 277, 1991
  50. A law of large numbers for wide range exclusion processes in random media
    Stochastic Processes and their Applications, vol. 31, no. 1, pp. 33–49, 1989
  51. Time Discrete Taylor Approximations for It?? Processes with Jump Component
    Mathematische Nachrichten, vol. 138, no. 1, pp. 93–104, 1988
  52. IEEE Transactions on Electrical Insulation, vol. EI-22, no. 3, pp. 245–248, 1987
  53. Simulation studies on time discrete diffusion approximations
    Mathematics and Computers in Simulation, vol. 29, no. 3-4, pp. 253–260, 1987
  54. Weak convergence of semimartingales and discretisation methods
    Stochastic Processes and their Applications, vol. 20, no. 1, pp. 41–58, 1985
  55. Approximation of First Exit Times of Diffusions and Approximate Solution of Parabolic Equations
    Mathematische Nachrichten, vol. 111, no. 1, pp. 127–146, 1983