Eckhard Platen

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A reading guide for last passage times with financial applications in view

Ashkan Nikeghbali, Eckhard Platen, E. Platen, 2013, Finance Stochastics.

Functionals of Wiener Processes

Eckhard Platen, Jan Baldeaux, E. Platen, 2013 .

First Order Strong Approximations of Jump Diffusions

Eckhard Platen, Nicola Bruti Liberati, Christina Nikitopoulos-Sklibosios, 2006, Monte Carlo Methods Appl..

Stochastic Modelling of the COVID-19 Epidemic

Eckhard Platen, 2020 .

Local risk-minimization under the benchmark approach

Eckhard Platen, Francesca Biagini, Alessandra Cretarola, 2012, 1210.2337.

Risk Minimizing Hedging Strategies Under Partial Observation

Wolfgang J. Runggaldier, Eckhard Platen, Paul Fischer, 1999 .

Quasi-exact approximation of hidden Markov chain filters

Eckhard Platen, Renata Rendek, 2010 .

A hardware generator of multi-point distributed random numbers for Monte Carlo simulation

Massimo Piccardi, Eckhard Platen, Nicola Bruti Liberati, 2008, Math. Comput. Simul..

Monte Carlo and Quasi-Monte Carlo Methods

Eckhard Platen, Jan Baldeaux, E. Platen, 2013 .

Weak discrete time approximation of stochastic differential equations with time delay

Eckhard Platen, Uwe Küchler, 2002, Math. Comput. Simul..

Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index

Eckhard Platen, Katja Ignatieva, Renatak Rendek, 2010 .

Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts

Eckhard Platen, Ralph Rudd, Thomas A. McWalter, 2018 .

A short term interest rate model

Eckhard Platen, 1999, Finance Stochastics.

Exact scenario simulation for selected multi-dimensional stochastic processes

Eckhard Platen, Renata Rendek, 2009 .

An FPGA generator for multipoint distributed random variables (abstract only)

Massimo Piccardi, Eckhard Platen, Nicola Bruti Liberati, 2005, FPGA '05.

Credit Risk Under the Benchmark Approach

Eckhard Platen, Jan Baldeaux, 2013 .

On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance

Eckhard Platen, Nicola Bruti Liberati, E. Platen, 2004, International Conference on Computational Science.

Estimating the diffusion coefficient function for a diversified world stock index

Eckhard Platen, Katja Ignatieva, 2012, Comput. Stat. Data Anal..

Modeling via Stochastic Processes

David Heath, Eckhard Platen, 2006 .

Lie Symmetry Group Methods

Eckhard Platen, Jan Baldeaux, E. Platen, 2013 .

Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps

Eckhard Platen, Kestutis Kubilius, 2002, Monte Carlo Methods Appl..

Applications of Stochastic Differential Equations

Peter E. Kloeden, Eckhard Platen, P. Kloeden, 1992 .

Minimizing the Expected Market Time to Reach a Certain Wealth Level

Eckhard Platen, Constantinos Kardaras, E. Platen, 2009, SIAM J. Financial Math..

Fast Quantization of Stochastic Volatility Models

Eckhard Platen, Ralph Rudd, Thomas A. McWalter, 2017, 1704.06388.

Applications of the balanced method to stochastic differential equations in filtering

Eckhard Platen, Paul Fischer, 1999, Monte Carlo Methods Appl..

On the existence of sure profits via flash strategies

Markus Pelger, Eckhard Platen, Claudio Fontana, 2017, Journal of Applied Probability.

The History of the Quantitative Methods in Finance Conference Series 1992-2007

Eckhard Platen, Carl Chiarella, 2007 .

Detecting Strict Local Martingales

Eckhard Platen, Jan Baldeaux, E. Platen, 2013 .

Pricing and hedging of long dated variance swaps under a 3/2 volatility model

Eckhard Platen, Leunglung Chan, E. Platen, 2010, J. Comput. Appl. Math..

Portfolio selection and asset pricing under a benchmark approach

Eckhard Platen, E. Platen, 2006 .

Probability and Statistics

Peter E. Kloeden, Eckhard Platen, P. Kloeden, 1992 .

Processes of class Sigma, last passage times and drawdowns

Ashkan Nikeghbali, Patrick Cheridito, Eckhard Platen, 2009, 0910.5493.

A Structure for General and Specific Market Risk

Eckhard Platen, Gerhard Stahl, 2003, Comput. Stat..

A hardware generator for multi-point distributed random variables

Massimo Piccardi, Eckhard Platen, Nicola Bruti Liberati, 2005, 2005 IEEE International Symposium on Circuits and Systems.

No-arbitrage concepts in topological vector lattices

Eckhard Platen, Stefan Tappe, 2021, Positivity.

DYNAMIC ASSET ALLOCATION FOR TARGET DATE FUNDS UNDER THE BENCHMARK APPROACH

Dan Zhu, Eckhard Platen, Jin Sun, 2021, ASTIN Bulletin.

Calibration to FX triangles of the 4/2 model under the benchmark approach

Alessandro Gnoatto, Martino Grasselli, Eckhard Platen, 2021, Decisions in Economics and Finance.

Stratonovich and Ito Stochastic Taylor Expansions

Peter E. Kloeden, Eckhard Platen, 1991 .

Consistent pricing and hedging for a modified constant elasticity of variance model

David Heath, Eckhard Platen, D. Heath, 2002 .

A Fair Pricing Approach to Weather Derivatives

Jason West, Eckhard Platen, E. Platen, 2004 .

Weak Convergence of Approximations of I t?? Integral Equations

Eckhard Platen, 1980 .

On the Role of the Growth Optimal Portfolio in Finance

Eckhard Platen, E. Platen, 2005 .

Local volatility function models under a benchmark approach

David Heath, Eckhard Platen, D. Heath, 2006 .

Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations

Nicola Bruti-Liberati, Eckhard Platen, E. Platen, 2008 .

On the Strong Approximation of Jump-Diffusion Processes

Nicola Bruti-Liberati, Eckhard Platen, E. Platen, 2005 .

On Feedback Effects from Hedging Derivatives

Eckhard Platen, Martin Schweizer, E. Platen, 1998 .

Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices

Eckhard Platen, Renata Rendek, E. Platen, 2007 .

WEAK CONVERGENCE OF SEMIMARTINGALES AND DISCRETISATION METHODS

Rolando Rebolledo, Eckhard Platen, E. Platen, 1985 .

Higher Order Approximate Markov Chain Filters

Peter E. Kloeden, Eckhard Platen, Henri Schurz, 1993 .

Strong approximations of stochastic differential equations with jumps

Nicola Bruti-Liberati, Eckhard Platen, E. Platen, 2007 .

A survey of numerical methods for stochastic differential equations

Peter E. Kloeden, Eckhard Platen, P. Kloeden, 1989 .

Extrapolation methods for the weak approximation of Ito diffusions

Peter E. Kloeden, Eckhard Platen, P. Kloeden, 1995 .

The Numerical Solution of Nonlinear Stochastic Dynamical Systems: a Brief Introduction

Peter E. Kloeden, Eckhard Platen, Henri Schurz, 1991 .

Option pricing for a logstable asset price model

Svetlozar T. Rachev, Eckhard Platen, E. Platen, 1999 .

Estimation for discretely observed diffusions using transform functions

Michael Sørensen, Eckhard Platen, E. Platen, 2003, Journal of Applied Probability.

Symmetry group methods for fundamental solutions

Eckhard Platen, Mark Craddock, E. Platen, 2004 .

On the Distributional Characterization of Daily Log‐Returns of a World Stock Index

Eckhard Platen, Kevin Fergusson, E. Platen, 2006 .

Modeling Stochastic Volatility

David Heath, Eckhard Platen, D. Heath, 2006 .

Hedging of Options under Discrete Observation on Assets with Stochastic Volatility

Wolfgang J. Runggaldier, Eckhard Platen, G. B. Di Masi, 1995 .

Numerical solution of stochastic differential equations in finance

Eckhard Platen, E. Platen, 2014 .

On the numerical stability of simulation methods for SDEs under multiplicative noise in finance

Eckhard Platen, E. Platen, Lei Shi, 2008 .

Filtering and Parameter Estimation for a Mean Reverting Interest Rate Model

Robert J. Elliott, Eckhard Platen, R. Elliott, 1999 .

Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities under a Benchmark Approach

Eckhard Platen, T. Marquardt, S. Jaschke, 2008 .

A Benchmark Approach to Filtering in Finance

Wolfgang J. Runggaldier, Eckhard Platen, E. Platen, 2004 .

Monte Carlo Simulation for Stochastic Differential Equations

Nicola Bruti-Liberati, Eckhard Platen, 2010 .

Approximation of itô integral equations

Eckhard Platen, E. Platen, 1980 .

Stability of weak numerical schemes for stochastic differential equations

Eckhard Platen, E. Platen, N. Hofmann, 1994 .

Approximation of jump diffusions in finance and economics

Nicola Bruti-Liberati, Eckhard Platen, E. Platen, 2007 .

Comment on "Numerical methods for stochastic differential equations".

Kevin Burrage, Eckhard Platen, Pamela Burrage, 2006, Physical review. E, Statistical, nonlinear, and soft matter physics.

Time Discrete Taylor Approximations for Itǒ Processes with Jump Component

Eckhard Platen, E. Platen, Remigijus Mikulevicius, 1988 .

Simulation studies on time discrete diffusion approximations

Eckhard Platen, Horst Liske, 1987 .

Stochastic Differential Equations with Jumps

Nicola Bruti-Liberati, Eckhard Platen, E. Platen, 2010 .

Multiplicative Approximation of Wealth Processes Involving No‐Short‐Sales Strategies Via Simple Trading

Eckhard Platen, Constantinos Kardaras, 2008 .

On effects of discretization on estimators of drift parameters for diffusion processes

Peter E. Kloeden, Michael Sørensen, Eckhard Platen, 1996, Journal of Applied Probability.

The Numéraire Property and Long‐Term Growth Optimality for Drawdown‐Constrained Investments

Eckhard Platen, Constantinos Kardaras, Jan Obłój, 2017 .

Approximation of First Exit Times of Diffusions and Approximate Solution of Parabolic Equations

Eckhard Platen, 1983 .

A law of large numbers for wide range exclusion processes in random media

Eckhard Platen, 1989 .

A BENCHMARK APPROACH TO FINANCE

Eckhard Platen, E. Platen, 2006 .

A variance reduction technique based on integral representations

David Heath, Eckhard Platen, D. Heath, 2002 .

On weak implicit and predictor-corrector methods

Eckhard Platen, E. Platen, 1995 .

Derivative free numerical methods for stochastic differential equations

Eckhard Platen, 1987 .

THE NUMÉRAIRE PROPERTY AND LONG‐TERM GROWTH OPTIMALITY FOR DRAWDOWN‐CONSTRAINED INVESTMENTS

Eckhard Platen, Constantinos Kardaras, Jan Obloj, 2012, 1206.2305.