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## Platen, Eckhard

Compute Distance To:
 Author ID: platen.eckhard Published as: Platen, E.; Platen, Eckhard Homepage: http://www.uts.edu.au/staff/eckhard.platen External Links: MGP
 Documents Indexed: 151 Publications since 1974, including 10 Books Reviewing Activity: 151 Reviews Biographic References: 1 Publication
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#### Co-Authors

 34 single-authored 13 Heath, David C. 13 Kloeden, Peter Eris 10 Bruti-Liberati, Nicola 6 Baldeaux, Jan 6 Rendek, Renata 5 Hofmann, Norbert 5 Ignatieva, Katja 5 Kardaras, Constantinos 5 Schurz, Henri 4 Chan, Leunglung 4 Hurst, Simon R. 4 Rebolledo Berroeta, Rolando 4 Runggaldier, Wolfgang J. 4 Schweizer, Martin 3 Fischer, Paul F. 3 Hulley, Hardy 3 Miller, Shane M. 3 Nikitopoulos Sklibosios, Christina 3 Wagner, Wolfgang 2 Christensen, Morten Mosegaard 2 Elliott, Robert James 2 Kelly, Leah 2 Liske, Horst 2 Mikulevicius, Remigijus 2 Müller, Paul Heinz 2 Nikeghbali, Ashkan 2 Rachev, Svetlozar T. 2 Sorensen, Michael 2 West, Jason 1 Biagini, Francesca 1 Breymann, Wolfgang 1 Bühlmann, Hans 1 Burrage, Kevin 1 Cheridito, Patrick 1 Chiarella, Carl 1 Craddock, Mark 1 Cretarola, Alessandra 1 Di Masi, Giovanni B. 1 Du, Ke 1 Fergusson, Kevin John 1 Filipović, Damir 1 Fontana, Claudio 1 Fung, Man Chung 1 Guo, Zhijun 1 Härdle, Wolfgang Karl 1 Kienitz, Jörg 1 Kleinow, Torsten 1 Korostelev, Alexander P. 1 Kubilius, Kȩstutis 1 Küchler, Uwe 1 Logeay, Camille 1 Martini, Filippo 1 McWalter, Thomas Andrew 1 Milstein, Grigori N. 1 Obloj, Jan K. 1 Pelger, Markus 1 Piccardi, Massimo 1 Rudd, Robert E. 1 Schlogl, Erik 1 Semmler, Willi 1 Shi, Lei 1 Tappe, Stefan 1 Wright, Ian W.
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#### Serials

 12 Asia-Pacific Financial Markets 10 Mathematical Finance 9 Quantitative Finance 8 International Journal of Theoretical and Applied Finance 6 Journal of Applied Probability 5 Stochastic Analysis and Applications 4 Mathematics and Computers in Simulation 4 Mathematische Nachrichten 3 Stochastic Processes and their Applications 3 Monte Carlo Methods and Applications 3 Applied Mathematical Finance 3 Communications on Stochastic Analysis 2 Advances in Applied Probability 2 Journal of Statistical Physics 2 Zeitschrift für Angewandte Mathematik und Mechanik (ZAMM) 2 Journal of Computational and Applied Mathematics 2 SIAM Journal on Numerical Analysis 2 Litovskiĭ Matematicheskiĭ Sbornik 2 Wissenschaftliche Zeitschrift der Technischen Universität Dresden 2 Finance and Stochastics 2 Mathematics and Financial Economics 2 Journal of Statistical Theory and Practice 2 SIAM Journal on Financial Mathematics 2 Applications of Mathematics 1 Computers & Mathematics with Applications 1 Journal of Differential Equations 1 Mitteilungen der Mathematischen Gesellschaft der Deutschen Demokratischen Republik 1 Sankhyā. Series A. Methods and Techniques 1 Operations Research Letters 1 Probability and Mathematical Statistics 1 Mathematical and Computer Modelling 1 Stochastic Hydrology and Hydraulics 1 Computational Statistics 1 Computational Statistics and Data Analysis 1 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering 1 Computational Economics 1 The Canadian Applied Mathematics Quarterly 1 Annals of Numerical Mathematics 1 Studies in Nonlinear Dynamics and Econometrics 1 Probability in the Engineering and Informational Sciences 1 The ANZIAM Journal 1 Stochastics and Dynamics 1 ASTIN Bulletin 1 Stochastic Modelling and Applied Probability 1 Financial Engineering and the Japanese Markets 1 Bocconi & Springer Series 1 Universitext 1 Springer Finance
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#### Fields

 104 Probability theory and stochastic processes (60-XX) 89 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 46 Numerical analysis (65-XX) 29 Statistics (62-XX) 11 Ordinary differential equations (34-XX) 10 Systems theory; control (93-XX) 2 Partial differential equations (35-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 1 General and overarching topics; collections (00-XX) 1 Approximations and expansions (41-XX) 1 Integral transforms, operational calculus (44-XX) 1 Functional analysis (46-XX) 1 Operator theory (47-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Statistical mechanics, structure of matter (82-XX) 1 Operations research, mathematical programming (90-XX)

#### Citations contained in zbMATH

129 Publications have been cited 3,402 times in 2,302 Documents Cited by Year
Numerical solution of stochastic differential equations. Zbl 0752.60043
Kloeden, Peter E.; Platen, Eckhard
1992
Higher-order implicit strong numerical schemes for stochastic differential equations. Zbl 0925.65261
Kloeden, P. E.; Platen, E.
1992
A survey of numerical methods for stochastic differential equations. Zbl 0701.60054
Kloeden, P. E.; Platen, E.
1989
Numerical methods for stochastic differential equations. Zbl 0858.65148
Kloeden, P. E.; Platen, E.
1995
Numerical solution of SDE through computer experiments. Including floppy disk. Zbl 0789.65100
Kloeden, Peter E.; Platen, Eckhard; Schurz, Henri
1994
Numerical solution of stochastic differential equations with jumps in finance. Zbl 1225.60004
Platen, Eckhard; Bruti-Liberati, Nicola
2010
Balanced implicit methods for stiff stochastic systems. Zbl 0914.65143
Milstein, G. N.; Platen, E.; Schurz, H.
1998
A benchmark approach to quantitative finance. Zbl 1104.91041
Platen, Eckhard; Heath, David
2006
An introduction to numerical methods for stochastic differential equations. Zbl 0942.65004
Platen, Eckhard
1999
Numerical solution of stochastic differential equations. 4th corrected printing. Zbl 1216.60052
Kloeden, Peter E.; Platen, Eckhard
2010
A comparison of two quadratic approaches to hedging in incomplete markets. Zbl 1032.91058
Heath, David; Platen, Eckhard; Schweizer, Martin
2001
On feedback effects from hedging derivatives. Zbl 0908.90016
Platen, Eckhard; Schweizer, Martin
1998
Arbitrage in continuous complete markets. Zbl 1055.91033
Platen, Eckhard
2002
Stratonovich and Itô stochastic Taylor expansions. Zbl 0731.60050
Kloeden, P. E.; Platen, E.
1991
Option pricing under incompleteness and stochastic volatility. Zbl 0900.90095
Hofmann, Norbert; Platen, Eckhard; Schweizer, Martin
1992
Strong approximations of stochastic differential equations with jumps. Zbl 1121.65007
Bruti-Liberati, Nicola; Platen, Eckhard
2007
A benchmark approach to finance. Zbl 1128.91029
Platen, Eckhard
2006
The approximation of multiple stochastic integrals. Zbl 0761.60048
Kloeden, P. E.; Platen, E.; Wright, I. W.
1992
On a Taylor formula for a class of Ito processes. Zbl 0528.60053
Platen, Eckhard; Wagner, Wolfgang
1982
Symmetry group methods for fundamental solutions. Zbl 1065.35016
2004
Weak discrete time approximation of stochastic differential equations with time delay. Zbl 1001.65005
Küchler, Uwe; Platen, Eckhard
2002
Option pricing for a logstable asset price model. Zbl 0990.91022
Hurst, S. R.; Platen, E.; Rachev, S. T.
1999
Time discrete Taylor approximations for the Itô processes with jump component. Zbl 0661.60071
Mikulevičius, Remigijus; Platen, Eckhard
1988
Rate of convergence of the Euler approximation for diffusion processes. Zbl 0733.65104
Mikulevicius, Remigius; Platen, Eckhard
1991
Approximation of Ito integral equations. (Preprint). Zbl 0413.60056
Wagner, Wolfgang; Platen, Eckhard
1978
Subordinated market index models: A comparison. Zbl 1153.91788
Hurst, Simon R.; Platen, Eckhard; Rachev, Svetlozar T.
1997
The marginal distributions of returns and volatility. Zbl 0937.62107
Hurst, Simon R.; Platen, Eckhard
1997
Runge-Kutta methods for stochastic differential equations. Zbl 0824.65148
Burrage, K.; Platen, E.
1994
On the distributional characterization of daily log-returns of a world stock index. Zbl 1157.91422
Fergusson, Kevin; Platen, Eckhard
2006
Modeling the volatility and expected value of a diversified world index. Zbl 1107.91313
Platen, Eckhard
2004
A minimal financial market model. Zbl 1004.91029
Platen, Eckhard
2001
Processes of class Sigma, last passage times, and drawdowns. Zbl 1284.91542
Cheridito, Patrick; Nikeghbali, Ashkan; Platen, Eckhard
2012
Diversified portfolios with jumps in a benchmark framework. Zbl 1075.91022
Platen, Eckhard
2004
On the semimartingale property of discounted asset-price processes. Zbl 1236.91128
Kardaras, Constantinos; Platen, Eckhard
2011
Functionals of multidimensional diffusions with applications to finance. Zbl 1401.60001
Baldeaux, Jan; Platen, Eckhard
2013
On effects of discretization on estimators of drift parameters for diffusion processes. Zbl 0873.65134
Kloeden, P. E.; Platen, E.; Schurz, H.; Sørensen, M.
1996
Stability of weak numerical schemes for stochastic differential equations. Zbl 0810.65147
Hofmann, N.; Platen, E.
1994
The numerical solution of nonlinear stochastic dynamical systems: A brief introduction. Zbl 0876.65097
Kloeden, P. E.; Platen, E.; Schurz, H.
1991
An approximation method for a class of Ito processes with jump component. Zbl 0497.60057
Platen, E.
1982
Approximation of jump diffusions in finance and economics. Zbl 1161.91384
Bruti-Liberati, Nicola; Platen, Eckhard
2007
On weak predictor-corrector schemes for jump-diffusion processes in finance. Zbl 1296.91278
Bruti-Liberati, Nicola; Platen, Eckhard
2012
Rate of weak convergence of the Euler approximation for diffusion processes with jumps. Zbl 0996.65003
Kubilius, Kestutis; Platen, Eckhard
2002
A generalized Taylor formula for solutions of stochastic equations. Zbl 0586.60049
Platen, Eckhard
1982
Principles for modelling financial markets. Zbl 0865.60048
Platen, Eckhard; Rebolledo, Rolando
1996
On weak implicit and predictor-corrector methods. Zbl 0837.60056
Platen, Eckhard
1995
An approximation method for a class of Ito processes. Zbl 0465.60055
Platen, E.
1981
A visual criterion for identifying Itô diffusions as martingales or strict local martingales. Zbl 1248.60095
Hulley, Hardy; Platen, Eckhard
2011
A benchmark framework for risk management. Zbl 1191.91048
Platen, Eckhard
2004
A class of complete benchmark models with intensity-based jumps. Zbl 1123.91319
Platen, Eckhard
2004
A discrete time benchmark approach for insurance and finance. Zbl 1098.91069
Bühlmann, Hans; Platen, Eckhard
2003
Numerical comparison of local risk-minimisation and mean-variance hedging. Zbl 1004.91031
Heath, David; Platen, Eckhard; Schweizer, Martin
2001
Hedging of options under discrete observation on assets with stochastic volatility. Zbl 0831.90009
Di Masi, G. B.; Platen, E.; Runggaldier, W. J.
1995
Benchmarked risk minimization. Zbl 1386.91124
Du, Ke; Platen, Eckhard
2016
Estimating the diffusion coefficient function for a diversified world stock index. Zbl 1242.91215
Ignatieva, Katja; Platen, Eckhard
2012
Minimizing the expected market time to reach a certain wealth level. Zbl 1198.60028
Kardaras, Constantinos; Platen, Eckhard
2010
A general benchmark model for stochastic jump sizes. Zbl 1138.91428
Christensen, Morten Mosegaard; Platen, Eckhard
2005
A fair pricing approach to weather derivatives. Zbl 1075.91024
Platen, Eckhard; West, Jason
2004
A two-factor model for low interest rate regimes. Zbl 1075.91021
Miller, Shane; Platen, Eckhard
2004
Estimation for discretely observed diffusions using transform functions. Zbl 1049.62092
Kelly, Leah; Platen, Eckhard; Sørensen, Michael
2004
A structure for general and specific market risk. Zbl 1039.91048
Platen, Eckhard
2003
Perfect hedging of index derivatives under a minimal market model. Zbl 1107.91338
Heath, David; Platen, Eckhard
2002
Simulation studies on time discrete diffusion approximations. Zbl 0632.65146
Liske, Horst; Platen, Eckhard
1987
Weak convergence of semimartingales and discretisation methods. Zbl 0584.60060
Platen, Eckhard; Rebolledo, Rolando
1985
On the Dybvig-Ingersoll-Ross theorem. Zbl 1285.91136
Kardaras, Constantinos; Platen, Eckhard
2012
Real-world jump-diffusion term structure models. Zbl 1202.91332
Bruti-Liberati, Nicola; Nikitopoulos-Sklibosios, Christina; Platen, Eckhard
2010
An alternative interest rate term structure model. Zbl 1138.91470
Platen, Eckhard
2005
Higher-order weak approximation of Ito diffusions by Markov chains. Zbl 1134.60357
Platen, Eckhard
1992
Relations between multiple Ito and Stratonovich integrals. Zbl 0746.60062
Kloeden, P. E.; Platen, E.
1991
The numéraire property and long-term growth optimality for drawdown-constrained investments. Zbl 1414.91344
Kardaras, Constantinos; Obłój, Jan; Platen, Eckhard
2017
Pricing and hedging of long dated variance swaps under a $$3/2$$ volatility model. Zbl 1303.91153
Chan, Leunglung; Platen, Eckhard
2015
Local risk-minimization under the benchmark approach. Zbl 1308.91157
Biagini, Francesca; Cretarola, Alessandra; Platen, Eckhard
2014
Hedging for the long run. Zbl 1264.91147
Hulley, Hardy; Platen, Eckhard
2012
Modelling co-movements and tail dependency in the international stock market via copulae. Zbl 1195.91182
Ignatieva, Katja; Platen, Eckhard
2010
Pricing and hedging of index derivatives under an alternative asset price model with endogenous stochastic volatility. Zbl 1023.91025
Heath, David; Platen, Eckhard
2002
Approximating large diversified portfolios. Zbl 1021.91027
Hofmann, Norbert; Platen, Eckhard
2000
Higher order approximate Markov chain filters. Zbl 0783.60045
Kloeden, P. E.; Platen, E.; Schurz, H.
1993
Empirical evidence on Student-$$t$$ log-returns of diversified world stock indices. Zbl 1427.62122
Platen, Eckhard; Rendek, Renata
2008
Strong-predictor-corrector Euler methods for stochastic differential equations. Zbl 1158.60031
Bruti-Liberati, Nicola; Platen, Eckhard
2008
Laplace transform identities for diffusions, with applications to rebates and barrier options. Zbl 1153.60381
Hulley, Hardy; Platen, Eckhard
2008
Semiparametric diffusion estimation and application to a stock market index. Zbl 1140.91463
Härdle, Wolfgang; Kleinow, Torsten; Korostelev, Alexander; Logeay, Camille; Platen, Eckhard
2008
A hardware generator of multi-point distributed random numbers for Monte Carlo simulation. Zbl 1135.65300
Bruti-Liberati, Nicola; Martini, Filippo; Piccardi, Massimo; Platen, Eckhard
2008
Sharpe ratio maximation and expected utility when asset prices have jumps. Zbl 1141.91429
Christensen, Morten Mosegaard; Platen, Eckhard
2007
First oder strong approximations of jump diffusions. Zbl 1113.65008
Bruti-Liberati, Nicola; Nikitopoulos-Sklibosios, Christina; Platen, Eckhard
2006
Intraday empirical analysis and modeling of diversified world stock indices. Zbl 1154.91399
Breymann, Wolfgang; Kelly, Leah; Platen, Eckhard
2005
On the efficiency of simplified weak Taylor schemes for Monte Carlo simulation in finance. Zbl 1102.65302
Liberati, Nicola Bruti; Platen, Eckhard
2004
Understanding the implied volatility surface for options on a diversified index. Zbl 1075.91019
Heath, David; Platen, Eckhard
2004
Filtering and parameter estimation for a mean reverting interest rate model. Zbl 0980.62083
Elliott, R.; Fischer, P.; Platen, E.
1999
Applications of the balanced method to stochastic differential equations in filtering. Zbl 0930.65003
Fischer, Paul; Platen, Eckhard
1999
Extrapolation methods for the weak approximation of Itô diffusions. Zbl 0866.60048
Kloeden, P. E.; Platen, E.; Hofmann, N.
1995
Recursive marginal quantization of higher-order schemes. Zbl 1400.91604
McWalter, T. A.; Rudd, R.; Kienitz, J.; Platen, E.
2018
Real-world forward rate dynamics with affine realizations. Zbl 1335.91094
Platen, Eckhard; Tappe, Stefan
2015
Computing functionals of square root and Wishart processes under the benchmark approach via exact simulation. Zbl 1308.91183
Baldeaux, Jan; Platen, Eckhard
2013
On the numerical stability of simulation methods for SDEs under multiplicative noise in finance. Zbl 1280.91193
Platen, Eckhard; Shi, Lei
2013
A reading guide for last passage times with financial applications in view. Zbl 1274.60123
Nikeghbali, Ashkan; Platen, Eckhard
2013
Simulation of diversified portfolios in continuous financial markets. Zbl 1278.91150
Platen, Eckhard; Rendek, Renata
2012
Local volatility function models under a benchmark approach. Zbl 1136.91439
Heath, David; Platen, Eckhard
2006
A benchmark approach to filtering in finance. Zbl 1075.91023
Platen, Eckhard; Runggaldier, Wolfgang J.
2004
Pricing and hedging for incomplete jump diffusion benchmark models. Zbl 1060.91068
Platen, Eckhard
2004
Hidden Markov chain filtering for generalised Bessel processes. Zbl 0991.60032
Elliott, R.; Platen, E.
2000
Risk minimizing hedging strategies under partial observation. Zbl 0936.91020
Fischer, Paul; Platen, Eckhard; Runggaldier, Wolfgang J.
1999
On the existence of sure profits via flash strategies. Zbl 1422.91650
Fontana, Claudio; Pelger, Markus; Platen, Eckhard
2019
Recursive marginal quantization of higher-order schemes. Zbl 1400.91604
McWalter, T. A.; Rudd, R.; Kienitz, J.; Platen, E.
2018
The numéraire property and long-term growth optimality for drawdown-constrained investments. Zbl 1414.91344
Kardaras, Constantinos; Obłój, Jan; Platen, Eckhard
2017
Benchmarked risk minimization. Zbl 1386.91124
Du, Ke; Platen, Eckhard
2016
Pricing and hedging of long dated variance swaps under a $$3/2$$ volatility model. Zbl 1303.91153
Chan, Leunglung; Platen, Eckhard
2015
Real-world forward rate dynamics with affine realizations. Zbl 1335.91094
Platen, Eckhard; Tappe, Stefan
2015
Pricing volatility derivatives under the modified constant elasticity of variance model. Zbl 1408.91208
Chan, Leunglung; Platen, Eckhard
2015
Local risk-minimization under the benchmark approach. Zbl 1308.91157
Biagini, Francesca; Cretarola, Alessandra; Platen, Eckhard
2014
A tractable model for indices approximating the growth optimal portfolio. Zbl 1283.91198
Baldeaux, Jan; Ignatieva, Katja; Platen, Eckhard
2014
Functionals of multidimensional diffusions with applications to finance. Zbl 1401.60001
Baldeaux, Jan; Platen, Eckhard
2013
Computing functionals of square root and Wishart processes under the benchmark approach via exact simulation. Zbl 1308.91183
Baldeaux, Jan; Platen, Eckhard
2013
On the numerical stability of simulation methods for SDEs under multiplicative noise in finance. Zbl 1280.91193
Platen, Eckhard; Shi, Lei
2013
A reading guide for last passage times with financial applications in view. Zbl 1274.60123
Nikeghbali, Ashkan; Platen, Eckhard
2013
Multiplicative approximation of wealth processes involving no-short-sales strategies via simple trading. Zbl 1275.91061
Kardaras, Constantinos; Platen, Eckhard
2013
Processes of class Sigma, last passage times, and drawdowns. Zbl 1284.91542
Cheridito, Patrick; Nikeghbali, Ashkan; Platen, Eckhard
2012
On weak predictor-corrector schemes for jump-diffusion processes in finance. Zbl 1296.91278
Bruti-Liberati, Nicola; Platen, Eckhard
2012
Estimating the diffusion coefficient function for a diversified world stock index. Zbl 1242.91215
Ignatieva, Katja; Platen, Eckhard
2012
On the Dybvig-Ingersoll-Ross theorem. Zbl 1285.91136
Kardaras, Constantinos; Platen, Eckhard
2012
Hedging for the long run. Zbl 1264.91147
Hulley, Hardy; Platen, Eckhard
2012
Simulation of diversified portfolios in continuous financial markets. Zbl 1278.91150
Platen, Eckhard; Rendek, Renata
2012
A dynamic portfolio approach to asset markets and monetary policy. Zbl 1308.91147
Platen, Eckhard; Semmler, Willi
2012
On the semimartingale property of discounted asset-price processes. Zbl 1236.91128
Kardaras, Constantinos; Platen, Eckhard
2011
A visual criterion for identifying Itô diffusions as martingales or strict local martingales. Zbl 1248.60095
Hulley, Hardy; Platen, Eckhard
2011
Numerical solution of stochastic differential equations with jumps in finance. Zbl 1225.60004
Platen, Eckhard; Bruti-Liberati, Nicola
2010
Numerical solution of stochastic differential equations. 4th corrected printing. Zbl 1216.60052
Kloeden, Peter E.; Platen, Eckhard
2010
Minimizing the expected market time to reach a certain wealth level. Zbl 1198.60028
Kardaras, Constantinos; Platen, Eckhard
2010
Real-world jump-diffusion term structure models. Zbl 1202.91332
Bruti-Liberati, Nicola; Nikitopoulos-Sklibosios, Christina; Platen, Eckhard
2010
Modelling co-movements and tail dependency in the international stock market via copulae. Zbl 1195.91182
Ignatieva, Katja; Platen, Eckhard
2010
Quasi-Monte Carlo methods for derivatives on realised variance of an index under the benchmark approach. Zbl 1386.91157
Baldeaux, Jan; Chan, Leung Lung; Platen, Eckhard
2010
Quasi-exact approximation of hidden Markov chain filters. Zbl 1331.93202
Platen, Eckhard; Rendek, Renata
2010
Real-world pricing for a modified constant elasticity of variance model. Zbl 1229.91293
Miller, Shane M.; Platen, Eckhard
2010
Exact scenario simulation for selected multi-dimensional stochastic processes. Zbl 1331.60133
Platen, Eckhard; Rendek, Renata
2009
Alternative defaultable term structure models. Zbl 1170.91488
Bruti-Liberati, Nicola; Nikitopoulos-Sklibosios, Christina; Platen, Eckhard; Schlögl, Erik
2009
Consistent market extensions under the benchmark approach. Zbl 1155.91382
Filipović, Damir; Platen, Eckhard
2009
Empirical evidence on Student-$$t$$ log-returns of diversified world stock indices. Zbl 1427.62122
Platen, Eckhard; Rendek, Renata
2008
Strong-predictor-corrector Euler methods for stochastic differential equations. Zbl 1158.60031
Bruti-Liberati, Nicola; Platen, Eckhard
2008
Laplace transform identities for diffusions, with applications to rebates and barrier options. Zbl 1153.60381
Hulley, Hardy; Platen, Eckhard
2008
Semiparametric diffusion estimation and application to a stock market index. Zbl 1140.91463
Härdle, Wolfgang; Kleinow, Torsten; Korostelev, Alexander; Logeay, Camille; Platen, Eckhard
2008
A hardware generator of multi-point distributed random numbers for Monte Carlo simulation. Zbl 1135.65300
Bruti-Liberati, Nicola; Martini, Filippo; Piccardi, Massimo; Platen, Eckhard
2008
Analytic pricing of contingent claims under the real-world measure. Zbl 1175.91184
Miller, Shane M.; Platen, Eckhard
2008
Strong approximations of stochastic differential equations with jumps. Zbl 1121.65007
Bruti-Liberati, Nicola; Platen, Eckhard
2007
Approximation of jump diffusions in finance and economics. Zbl 1161.91384
Bruti-Liberati, Nicola; Platen, Eckhard
2007
Sharpe ratio maximation and expected utility when asset prices have jumps. Zbl 1141.91429
Christensen, Morten Mosegaard; Platen, Eckhard
2007
A benchmark approach to portfolio optimization under partial information. Zbl 1151.91451
Platen, Eckhard; Runggaldier, Wolfgang J.
2007
A benchmark approach to quantitative finance. Zbl 1104.91041
Platen, Eckhard; Heath, David
2006
A benchmark approach to finance. Zbl 1128.91029
Platen, Eckhard
2006
On the distributional characterization of daily log-returns of a world stock index. Zbl 1157.91422
Fergusson, Kevin; Platen, Eckhard
2006
First oder strong approximations of jump diffusions. Zbl 1113.65008
Bruti-Liberati, Nicola; Nikitopoulos-Sklibosios, Christina; Platen, Eckhard
2006
Local volatility function models under a benchmark approach. Zbl 1136.91439
Heath, David; Platen, Eckhard
2006
A general benchmark model for stochastic jump sizes. Zbl 1138.91428
Christensen, Morten Mosegaard; Platen, Eckhard
2005
An alternative interest rate term structure model. Zbl 1138.91470
Platen, Eckhard
2005
Intraday empirical analysis and modeling of diversified world stock indices. Zbl 1154.91399
Breymann, Wolfgang; Kelly, Leah; Platen, Eckhard
2005
Currency derivatives under a minimal market model with random scaling. Zbl 1101.91039
Heath, David; Platen, Eckhard
2005
Symmetry group methods for fundamental solutions. Zbl 1065.35016
2004
Modeling the volatility and expected value of a diversified world index. Zbl 1107.91313
Platen, Eckhard
2004
Diversified portfolios with jumps in a benchmark framework. Zbl 1075.91022
Platen, Eckhard
2004
A benchmark framework for risk management. Zbl 1191.91048
Platen, Eckhard
2004
A class of complete benchmark models with intensity-based jumps. Zbl 1123.91319
Platen, Eckhard
2004
A fair pricing approach to weather derivatives. Zbl 1075.91024
Platen, Eckhard; West, Jason
2004
A two-factor model for low interest rate regimes. Zbl 1075.91021
Miller, Shane; Platen, Eckhard
2004
Estimation for discretely observed diffusions using transform functions. Zbl 1049.62092
Kelly, Leah; Platen, Eckhard; Sørensen, Michael
2004
On the efficiency of simplified weak Taylor schemes for Monte Carlo simulation in finance. Zbl 1102.65302
Liberati, Nicola Bruti; Platen, Eckhard
2004
Understanding the implied volatility surface for options on a diversified index. Zbl 1075.91019
Heath, David; Platen, Eckhard
2004
A benchmark approach to filtering in finance. Zbl 1075.91023
Platen, Eckhard; Runggaldier, Wolfgang J.
2004
Pricing and hedging for incomplete jump diffusion benchmark models. Zbl 1060.91068
Platen, Eckhard
2004
A discrete time benchmark approach for insurance and finance. Zbl 1098.91069
Bühlmann, Hans; Platen, Eckhard
2003
A structure for general and specific market risk. Zbl 1039.91048
Platen, Eckhard
2003
Arbitrage in continuous complete markets. Zbl 1055.91033
Platen, Eckhard
2002
Weak discrete time approximation of stochastic differential equations with time delay. Zbl 1001.65005
Küchler, Uwe; Platen, Eckhard
2002
Rate of weak convergence of the Euler approximation for diffusion processes with jumps. Zbl 0996.65003
Kubilius, Kestutis; Platen, Eckhard
2002
Perfect hedging of index derivatives under a minimal market model. Zbl 1107.91338
Heath, David; Platen, Eckhard
2002
Pricing and hedging of index derivatives under an alternative asset price model with endogenous stochastic volatility. Zbl 1023.91025
Heath, David; Platen, Eckhard
2002
A variance reduction technique based on integral representations. Zbl 1405.91696
Heath, David; Platen, Eckhard
2002
A comparison of two quadratic approaches to hedging in incomplete markets. Zbl 1032.91058
Heath, David; Platen, Eckhard; Schweizer, Martin
2001
A minimal financial market model. Zbl 1004.91029
Platen, Eckhard
2001
Numerical comparison of local risk-minimisation and mean-variance hedging. Zbl 1004.91031
Heath, David; Platen, Eckhard; Schweizer, Martin
2001
Modelling the stochastic dynamics of volatility for equity indices. Zbl 1054.91037
Heath, David; Hurst, Simon; Platen, Eckhard
2001
Approximating large diversified portfolios. Zbl 1021.91027
Hofmann, Norbert; Platen, Eckhard
2000
Hidden Markov chain filtering for generalised Bessel processes. Zbl 0991.60032
Elliott, R.; Platen, E.
2000
An introduction to numerical methods for stochastic differential equations. Zbl 0942.65004
Platen, Eckhard
1999
Option pricing for a logstable asset price model. Zbl 0990.91022
Hurst, S. R.; Platen, E.; Rachev, S. T.
1999
Filtering and parameter estimation for a mean reverting interest rate model. Zbl 0980.62083
Elliott, R.; Fischer, P.; Platen, E.
1999
Applications of the balanced method to stochastic differential equations in filtering. Zbl 0930.65003
Fischer, Paul; Platen, Eckhard
1999
Risk minimizing hedging strategies under partial observation. Zbl 0936.91020
Fischer, Paul; Platen, Eckhard; Runggaldier, Wolfgang J.
1999
A short term interest rate model. Zbl 0924.90024
Platen, Eckhard
1999
Balanced implicit methods for stiff stochastic systems. Zbl 0914.65143
Milstein, G. N.; Platen, E.; Schurz, H.
1998
On feedback effects from hedging derivatives. Zbl 0908.90016
Platen, Eckhard; Schweizer, Martin
1998
Subordinated market index models: A comparison. Zbl 1153.91788
Hurst, Simon R.; Platen, Eckhard; Rachev, Svetlozar T.
1997
The marginal distributions of returns and volatility. Zbl 0937.62107
Hurst, Simon R.; Platen, Eckhard
1997
On effects of discretization on estimators of drift parameters for diffusion processes. Zbl 0873.65134
Kloeden, P. E.; Platen, E.; Schurz, H.; Sørensen, M.
1996
Principles for modelling financial markets. Zbl 0865.60048
Platen, Eckhard; Rebolledo, Rolando
1996
Stability of superimplicit numerical methods for stochastic differential equations. Zbl 0852.65146
Hofmann, Norbert; Platen, Eckhard
1996
Numerical methods for stochastic differential equations. Zbl 0858.65148
Kloeden, P. E.; Platen, E.
1995
On weak implicit and predictor-corrector methods. Zbl 0837.60056
Platen, Eckhard
1995
Hedging of options under discrete observation on assets with stochastic volatility. Zbl 0831.90009
Di Masi, G. B.; Platen, E.; Runggaldier, W. J.
1995
Extrapolation methods for the weak approximation of Itô diffusions. Zbl 0866.60048
Kloeden, P. E.; Platen, E.; Hofmann, N.
1995
Numerical solution of SDE through computer experiments. Including floppy disk. Zbl 0789.65100
Kloeden, Peter E.; Platen, Eckhard; Schurz, Henri
1994
Runge-Kutta methods for stochastic differential equations. Zbl 0824.65148
Burrage, K.; Platen, E.
1994
Stability of weak numerical schemes for stochastic differential equations. Zbl 0810.65147
Hofmann, N.; Platen, E.
1994
Valuation of FX barrier options under stochastic volatility. Zbl 1153.91506
Heath, David; Platen, Eckhard
1994
...and 29 more Documents
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#### Cited by 3,189 Authors

 67 Platen, Eckhard 39 Kloeden, Peter Eris 37 Mao, Xuerong 27 Burrage, Kevin 25 Gan, Siqing 22 Allen, Edward James 20 Rößler, Andreas 18 Jentzen, Arnulf 16 Jimenez, Juan Carlos 16 Wang, Xiaojie 15 Cortés López, Juan Carlos 15 Debrabant, Kristian 14 Hosseini, Seyed Mohammad 14 Zhang, Qimin 13 Buckwar, Evelyn 13 Tocino, Alicia 13 Yuan, Chenggui 12 Przybyłowicz, Paweł 11 Komori, Yoshio 11 Kuznetsov, Dmitriĭ Feliksovich 11 Müller-Gronbach, Thomas 11 Roberts, Gareth O. 10 Burrage, Pamela M. 10 Higham, Desmond J. 10 Huang, Chengming 10 Neuenkirch, Andreas 10 Zhao, Weidong 9 Atzberger, Paul J. 9 Biagini, Francesca 9 Hofmann, Norbert 9 Kardaras, Constantinos 9 Kohatsu-Higa, Arturo 9 Lejay, Antoine 9 Liu, Wei 9 Ngo, Hoang-Long 9 Shardlow, Tony 9 Szpruch, Lukasz 8 Allen, Linda J. S. 8 Chassagneux, Jean-François 8 D’Ambrosio, Raffaele 8 Ding, Xiaohua 8 Fan, Zhencheng 8 Gutierrez-Sanchez, Ramon 8 Hong, Jialin 8 Hutzenthaler, Martin 8 Ignatieva, Katja 8 Jódar Sanchez, Lucas Antonio 8 Lahrouz, Aadil 8 Nafidi, Ahmed 8 Pope, Stephen B. 8 Rachev, Svetlozar T. 8 Roselló, María Dolores 8 Schoenmakers, John G. M. 8 Settati, Adel 8 Wu, Fuke 8 Yamada, Toshihiro 8 Yin, Gang George 7 Biscay, Rolando J. 7 Bruti-Liberati, Nicola 7 Carbonell, Felix 7 Crisan, Dan O. 7 El Fatini, Mohamed 7 Heemink, Arnold Willem 7 Heydari, Mohammad Hossien 7 Jeanblanc, Monique 7 Kulikov, Gennady Yur’evich 7 Kulikova, Maria V. 7 Kvaerno, Anne 7 Liu, Mingzhu 7 Ma, Qiang 7 Maleknejad, Khosrow 7 Reisinger, Christoph 7 Ritter, Klaus 7 Romero, José Vicente 7 Sabanis, Sotirios 7 Schurz, Henri 7 Taguchi, Dai 7 Urusov, Mikhail A. 6 Abdulle, Assyr 6 Cao, Wanrong 6 Chiarella, Carl 6 Craddock, Mark 6 Fontana, Claudio 6 Guo, Qian 6 Heath, David C. 6 Jovanović, Miljana 6 Liu, Meng 6 Minier, Jean-Pierre 6 Mora, Carlos M. 6 Navarro Quiles, Ana 6 Oosterlee, Cornelis Willebrordus 6 Ozaki, Tohru 6 Pettersson, Roger 6 Protter, Philip Elliott 6 Schweizer, Martin 6 Song, Minghui 6 Spigler, Renato 6 Stuart, Andrew M. 6 Tan, Jianguo 6 Villafuerte, Laura ...and 3,089 more Authors
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#### Cited in 360 Serials

 161 Journal of Computational and Applied Mathematics 94 Applied Mathematics and Computation 83 Journal of Computational Physics 67 Stochastic Analysis and Applications 58 Applied Numerical Mathematics 51 The Annals of Applied Probability 51 Stochastic Processes and their Applications 44 BIT 43 Mathematics and Computers in Simulation 36 Finance and Stochastics 32 Applied Mathematical Modelling 31 International Journal of Theoretical and Applied Finance 28 Physica D 28 Numerical Algorithms 28 Mathematical Finance 26 Computers & Mathematics with Applications 26 Insurance Mathematics & Economics 25 Journal of Mathematical Analysis and Applications 25 Journal of Econometrics 25 SIAM Journal on Numerical Analysis 24 Quantitative Finance 22 Journal of Statistical Physics 22 Applied Mathematical Finance 21 International Journal of Computer Mathematics 21 Discrete and Continuous Dynamical Systems. Series B 21 Advances in Difference Equations 20 Mathematical and Computer Modelling 19 Monte Carlo Methods and Applications 19 Communications in Nonlinear Science and Numerical Simulation 18 Mathematics of Computation 18 Statistics & Probability Letters 18 Chaos 17 Computer Physics Communications 17 Journal of Applied Probability 17 Journal of Complexity 17 Journal of Theoretical Biology 16 Mathematical Biosciences 16 Computational Statistics and Data Analysis 15 SIAM Journal on Scientific Computing 14 Journal of Mathematical Biology 14 Automatica 14 Asia-Pacific Financial Markets 14 SIAM/ASA Journal on Uncertainty Quantification 13 Mathematical Problems in Engineering 13 Abstract and Applied Analysis 12 Journal of Economic Dynamics & Control 12 Nonlinear Dynamics 12 SIAM Journal on Financial Mathematics 11 Journal of Differential Equations 11 European Journal of Operational Research 11 Methodology and Computing in Applied Probability 11 Multiscale Modeling & Simulation 11 Statistics and Computing 10 Computer Methods in Applied Mechanics and Engineering 10 Physics Letters. A 10 The Annals of Probability 10 Differentsial’nye Uravneniya i Protsessy Upravleniya 9 Journal of Fluid Mechanics 9 Journal of Mathematical Physics 9 Physica A 9 Numerische Mathematik 9 Journal of Difference Equations and Applications 9 Journal of Applied Mathematics and Computing 9 Stochastics 9 Mathematics and Financial Economics 8 Bulletin of Mathematical Biology 8 Chaos, Solitons and Fractals 8 Applied Mathematics and Optimization 8 Systems & Control Letters 8 Journal of Scientific Computing 8 Automation and Remote Control 8 Bernoulli 7 Journal of Theoretical Probability 7 Annals of Operations Research 7 Journal of Nonlinear Science 7 Journal of Applied Mathematics 7 Stochastic and Partial Differential Equations. Analysis and Computations 6 Computers and Fluids 6 Applied Mathematics Letters 6 Computational Statistics 6 SIAM Review 6 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering 6 Journal of Computational Neuroscience 6 International Journal of Biomathematics 5 Advances in Applied Probability 5 The Annals of Statistics 5 Journal of Optimization Theory and Applications 5 Journal of Statistical Planning and Inference 5 Quarterly of Applied Mathematics 5 Statistics 5 Neural Computation 5 Journal of Statistical Computation and Simulation 5 Russian Journal of Numerical Analysis and Mathematical Modelling 5 Nonlinear Analysis. Real World Applications 5 Comptes Rendus. Mathématique. Académie des Sciences, Paris 5 Stochastics and Dynamics 5 Mediterranean Journal of Mathematics 5 Mathematical Biosciences and Engineering 5 Journal of Statistical Theory and Practice 5 Nonlinear Analysis. Hybrid Systems ...and 260 more Serials
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#### Cited in 50 Fields

 1,556 Probability theory and stochastic processes (60-XX) 1,100 Numerical analysis (65-XX) 509 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 385 Ordinary differential equations (34-XX) 292 Statistics (62-XX) 216 Biology and other natural sciences (92-XX) 207 Partial differential equations (35-XX) 179 Systems theory; control (93-XX) 106 Dynamical systems and ergodic theory (37-XX) 95 Fluid mechanics (76-XX) 93 Statistical mechanics, structure of matter (82-XX) 40 Integral equations (45-XX) 39 Operations research, mathematical programming (90-XX) 38 Mechanics of deformable solids (74-XX) 29 Calculus of variations and optimal control; optimization (49-XX) 27 Geophysics (86-XX) 25 Approximations and expansions (41-XX) 25 Quantum theory (81-XX) 22 Mechanics of particles and systems (70-XX) 21 Computer science (68-XX) 16 Operator theory (47-XX) 14 Difference and functional equations (39-XX) 14 Information and communication theory, circuits (94-XX) 13 Real functions (26-XX) 13 Classical thermodynamics, heat transfer (80-XX) 12 Functional analysis (46-XX) 11 Global analysis, analysis on manifolds (58-XX) 9 Harmonic analysis on Euclidean spaces (42-XX) 6 Combinatorics (05-XX) 5 Optics, electromagnetic theory (78-XX) 4 Special functions (33-XX) 3 History and biography (01-XX) 3 Nonassociative rings and algebras (17-XX) 3 Convex and discrete geometry (52-XX) 3 Differential geometry (53-XX) 2 Mathematical logic and foundations (03-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Topological groups, Lie groups (22-XX) 2 Potential theory (31-XX) 1 Number theory (11-XX) 1 Associative rings and algebras (16-XX) 1 Measure and integration (28-XX) 1 Functions of a complex variable (30-XX) 1 Sequences, series, summability (40-XX) 1 Integral transforms, operational calculus (44-XX) 1 General topology (54-XX) 1 Manifolds and cell complexes (57-XX) 1 Relativity and gravitational theory (83-XX) 1 Astronomy and astrophysics (85-XX) 1 Mathematics education (97-XX)