Eckhard Platen - researchr alias

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Viewing Publication 1 - 17 from 17

2019

On the existence of sure profits via flash strategiesClaudio Fontana, Markus Pelger, Eckhard Platen. jap, 56(2):384-397, 2019. [doi]

2015

Pricing and hedging of long dated variance swaps under a 3/2 volatility modelLeunglung Chan, Eckhard Platen. jcam, 278:181-196, 2015. [doi]

Pricing volatility derivatives under the modified constant elasticity of variance modelLeunglung Chan, Eckhard Platen. orl, 43(4):419-422, 2015. [doi]

2013

A reading guide for last passage times with financial applications in viewAshkan Nikeghbali, Eckhard Platen. fs, 17(3):615-640, 2013. [doi]

2012

Processes of Class Sigma, Last Passage Times, and DrawdownsPatrick Cheridito, Ashkan Nikeghbali, Eckhard Platen. siamfm, 3(1):280-303, 2012. [doi]

Estimating the diffusion coefficient function for a diversified world stock indexKatja Ignatieva, Eckhard Platen. csda, 56(6):1333-1349, 2012. [doi]

2010

Minimizing the Expected Market Time to Reach a Certain Wealth LevelConstantinos Kardaras, Eckhard Platen. siamfm, 1(1):16-29, 2010. [doi]

2008

A hardware generator of multi-point distributed random numbers for Monte Carlo simulationNicola Bruti Liberati, Filippo Martini, Massimo Piccardi, Eckhard Platen. mcs, 77(1):45-56, 2008. [doi]

2006

First Order Strong Approximations of Jump DiffusionsNicola Bruti Liberati, Christina Nikitopoulos-Sklibosios, Eckhard Platen. mcma, 12(3):191-209, 2006. [doi]

2005

An FPGA generator for multipoint distributed random variables (abstract only)Nicola Bruti Liberati, Eckhard Platen, Filippo Martini, Massimo Piccardi. fpga 2005: 280 [doi]

A hardware generator for multi-point distributed random variablesNicola Bruti Liberati, Eckhard Platen, Filippo Martini, Massimo Piccardi. iscas 2005: 1702-1705 [doi]

2004

On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in FinanceNicola Bruti Liberati, Eckhard Platen. iccS 2004: 771-778 [doi]

2003

A Structure for General and Specific Market RiskEckhard Platen, Gerhard Stahl. cstat, 18(3):355-373, 2003. [doi]

2002

Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with JumpsKestutis Kubilius, Eckhard Platen. mcma, 8(1):83-96, 2002. [doi]

Weak discrete time approximation of stochastic differential equations with time delayUwe Küchler, Eckhard Platen. mcs, 59(6):497-507, 2002. [doi]

1999

Applications of the balanced method to stochastic differential equations in filteringPaul Fischer, Eckhard Platen. mcma, 5(1):19-38, 1999. [doi]

A short term interest rate modelEckhard Platen. fs, 3(2):215-225, 1999. [doi]

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