This page lists research publications on the Benchmark Approach published by Professor Eckhard Platen

Books

Platen, E. and and Heath, D., A Benchmark Approach to Quantitative Finance, 3-540-26212-1, Springer, 2006.

Journal Articles

Platen, E., "Portfolio Selection and Asset Pricing Under a Benchmark Approach", Physica A: Statistical Mechanics and its Applications, 370(1), pp. 23 - 29, 0378-4371, Elsevier, October 2006.

Heath, D. and Platen, E., "Local Volatility Function Models Under a Benchmark Approach", Quantitative Finance, 6(3), pp. 197 - 206, 1469-7688, Taylor and Francis, June 2006.

Heath, D. and Platen, E., "Currency Derivatives Under a Minimal Market Model", The ICFAI Journal of Derivatives Marktes, 3, pp. 68 - 86, ICFAI University Press, April 2006.

Fergusson, K. and Platen, E., "On the Distributional Characterization of Log-Returns of a World Stock Index", Applied Mathematical Finance, 13(1), pp. 19 - 38, 1350-486X, Taylor and Francis, March 2006.

Platen, E., "A Benchmark Approach to Asset Management", Journal of Asset Management, 6(6), pp. 390 - 405, 1470-8272, Henry Stewart, March 2006.

Platen, E., "A Benchmark Approach to Finance", Mathematical Finance, 16(1), pp. 131 - 151, Blackwell, January 2006.

Platen, E., "On the Role of the Growth Optimal Portfolio in Finance", Australian Economic Papers, 44(4), pp. 365 - 388, 0004-900X, Blackwell, December 2005.

Heath, D. and Platen, E., "Currency Derivatives Under a Minimal Market with Random Scaling", International Journal of Theoretical and Applied Finance, 8(8), pp. 1157 - 1178, December 2005.

Platen, E., "An Alternative Interest Rate Term Structure Model", International Journal of Theoretical and Applied Finance, 8(6), pp. 717 - 735, 0026-1335, Springer, September 2005.

Heath, D. and Platen, E., "Understanding the Implied Volatility Surface for Options on a Diversified Index", Asia-Pacific Financial Markets, 11(1), pp. 55 - 77, 1387-2834, Kluwer, January 2005.

Miller, S. and Platen, E., "A Two-Factor Model for Low Interest Rate Regimes", Asia-Pacific Financial Markets, 11(1), pp. 107 - 133, 1387-2834, Kluwer, January 2005.

Platen, E., "Diversified Portfolios with Jumps in a Benchmark Framework", Asia-Pacific Financial Markets, 11(1), pp. 1 - 22, 1387-2834, Kluwer, January 2005.

Platen, E. and West, J., "A Fair Pricing Approach to Weather Derivatives", Asia-Pacific Financial Markets, 11(1), pp. 23 - 53, 1387-2834, Kluwer, January 2005.

Platen, E. and Runggaldier, W. J., "A Benchmark Approach to Filtering in Finance", Asia-Pacific Financial Markets, 11(1), pp. 79 - 105, 1387-2834, Kluwer, January 2005.

Christiensen, M. and Platen, E., "A General Benchmark Model for Stochastic Jump Sizes", Stochastic Analysis and Applications, 23(5), pp. 1017 - 1044, 0736-2994, Taylor and Francis, 2005.

Hulley, H., Miller, S. and Platen, E., "Benchmarking and Fair Pricing Applied to Two Market Models", The Kyoto Economic Review, 74(1), pp. 85 - 118, 1349-6786, Kyoto University, 2005.

Platen, E., "Modeling the Volatility and Expected Value of a Diversified World Index", International Journal of Theoretical and Applied Finance, 7(4), pp. 511 - 529, 0219-0249, World Scientific, June 2004.

Craddock, M. and Platen, E., "Symmetry Group Methods for Fundamental Solutions", Journal of Differential Equations, 207(2), pp. 285 - 302, 0022-0396, Elsevier, 2004.

Kelly, L., Platen, E. and Soerensen, M., "Estimation of Discretely Observed Diffusions Using Transform Functions", Journal of Applied Probability, 41A, pp. 99 - 118, 0021-9002, Applied Probability Trust, 2004.

Platen, E., "A Class of Complete Benchmark Models with Intensity Based Jumps", Journal of Applied Probability, 41(1), pp. 19 - 34, 0021-9002, Applied Probability Trust, 2004.

Platen, E. and Heath, D., "Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling", Quantitative Finance, 3(6), pp. 442 - 450, 1469-7688, IOP Publishing Ltd, Bristol, UK, December 2003.

Buehlmann, H. and Platen, E., "A Discrete Time Benchmark Approach for Finance and Insurance", ASTIN Bulletin, 33(2), pp. 153 - 172, 0515-0361, Peeters Publishing, Leuven, Belgium, 2003.

Platen, E. and Stahl, G., "A Structure for General and Specific Market Risk", ,i>Computational Statistics, 18, pp. 355 - 373, Springer, 2003.

Platen, E., "Arbitrage in Continuous Complete Markets", Advances in Applied Probability, 34(3), pp. 540 - 558, Applied Probability Trust, 2002.

Platen, E. and Heath, D., "Perfect Hedging of Index Derivatives Under a Minimal Market Model", International Journal of Theoretical and Applied Finance, 5(7), pp. 757 - 774, 0219-0249, World Scientific, 2002.

Heath, D. and Platen, E., "Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model", Quantitative Finance, 2(6), pp. 459 - 467, 1469-7688, IOP, 2002.

Conference Proceedings

Platen, E., "Capital Asset Pricing for Markets with Intensity Based Jumps", Proceedings of the International Conference Stochastic Finance 2004, pp. 157 - 182, Springer, 2006.

Platen, E., "A Benchmark Framework for Risk Management", J. Akahori, S. Ogawa and S. Watanabe (eds.), Stochastic Processes and Applications to Mathematical Finance, Proceeding of 2003 Symposium, pp. 305 - 335, 981-238-778-1U, World Scientific, July 2004.

Platen, E., "Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models", Mathematics of Finance, Proceedings of the AMS-IMS-SIAM Summer Research Conference on Mathematics of Finance, 351, pp. 287 - 301, 2004.

Heath, D. and Platen, E., "Pricing and Hedging of Index Derivatives Under an Alternative Asset Price Model with Endogenous Stochastic Volatility", J. Yong (eds.), Recent Developments in Mathematical Finance, pp. 117 - 126, World Scientific, 2002.

Platen, E., "A Minimal Financial Market Model", Michael Kohlmann and Shanjian Tang (eds.), Trends in Mathematics, pp. 293 - 301, Birkhauser Verlag, 2001.

Working Papers

Platen, E. and Sidorowicz, R., "Empirical Evidence on Studnet-t Log-Returns of Diversified World Stock Indexes", Research Paper Series, 194, Quantitative Finance Research Centre, University of Technology, Sydney, March 2007.

Extended Version

Data and R-Package

Platen, E., "On the Pricing and Hedging of Long Dated Zero Coupon Bonds", Research Paper Series, 185, Quantitative Finance Research Centre, University of Technology, Sydney, September 2006.

Le, T. and Platen, E., "Approximating the Growth Optimal Portfolio with a Diversified World Stock Index", Research Paper Series, 184, Quantitative Finance Research Centre, University of Technology, Sydney, September 2006.

Bruti-Liberati, N. and Platen, E., "On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance", Research Paper Series, 179, Quantitative Finance Research Centre, University of Technology, Sydney, July 2006.

Platen, E. and Bruti-Liberati, N., "Approximation of Jump Diffusions in Finance and Economics", Research Paper Series, 176, Quantitative Finance Research Centre, University of Technology, Sydney, May 2006.

Christensen, M. and Platen, E., "Sharpe Ratio Maximization and Expected Utility When Asset Prices Have Jumps", Research Paper Series, 170, Quantitative Finance Research Centre, University of Technology, Sydney, November 2005.

Platen, E., "Investments for the Short and Long Run", Research Paper Series, 163, Quantitative Finance Research Centre, University of Technology, Sydney, August 2005.

Hulley, H., Miller, S. and Platen, E., "Benchmarking and Fair Pricing Applied to Two Market Models", Research Paper Series, 155, Quantitative Finance Research Centre, University of Technology, Sydney, March 2005.

Heath, D. and Platen, E., "Currency Derivatives under a Minimal Market Model with Random Scaling", Research Paper Series, 154, Quantitative Finance Research Centre, University of Technology, Sydney, March 2005.

Fergusson, K. and Platen, E., "On the Distributional Characterization of Log-returns of a World Stock Index", Research Paper Series, 153, Quantitative Finance Research Centre, University of Technology, Sydney, March 2005.

Platen, E., "On the Role of the Growth Optimal Portfolio in Finance", Research Paper Series, 144, Quantitative Finance Research Centre, University of Technology, Sydney, January 2005.

Platen, E., "Capital Asset Pricing for Markets with Intensity Based Jumps", Research Paper Series, 143, Quantitative Finance Research Centre, University of Technology, Sydney, December 2004.

Christiensen, M. and Platen, E., "A General Benchmark Model for Stochastic Jump Sizes", Research Paper Series, 139, Quantitative Finance Research Centre, University of Technology, Sydney, November 2004.

Platen, E., West, J., and Breymann, W., "An Intraday Empirical Analysis of Electricity Price Behaviour", Research Paper Series, 140, Quantitative Finance Research Centre, University of Technology, Sydney, November 2004.

Platen, E., "A Benchmark Approach to Finance", Research Paper Series, 138, Quantitative Finance Research Centre, University of Technology, Sydney, October 2004.

Miller, S. and Platen, E., "Two-Factor Model for Low Interest Rate Regimes", Research Paper Series, 130, Quantitative Finance Research Centre, University of Technology, Sydney, August 2004.

Platen, E., "Diversified Portfolios with Jumps in a Benchmark Framework", Research Paper Series, 129, Quantitative Finance Research Centre, University of Technology, Sydney, June 2004.

Heath, D. and Platen, E., "Understanding the Implied Volatility Surface for Options on a Diversified Index", Research Paper Series, 128, Quantitative Finance Research Centre, University of Technology, Sydney, June 2004.

Breymann, W., Kelly, L. and Platen, E., "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices", Research Paper Series, 125, Quantitative Finance Research Centre, University of Technology, Sydney, May 2004.

Heath, D. and Platen, E., "Local Volatility Function Models Under a Benchmark Approach", Research Paper Series, 124, Quantitative Finance Research Centre, University of Technology, Sydney, April 2004.

Platen, E., "A Benchmark Framework for Risk Management", Research Paper Series, 113, Quantitative Finance Research Centre, University of Technology, Sydney, November 2003.

Platen, E., "Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models", Research Paper Series, 110, Quantitative Finance Research Centre, University of Technology, Sydney, October 2003.

Platen, E. and West, J., ""Fair Pricing of Weather Derivatives", Research Paper Series, 106, Quantitative Finance Research Centre, University of Technology, Sydney, September 2003.

Heath, D. and Platen, E., "Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling", Research Paper Series, 101, Quantitative Finance Research Centre, University of Technology, Sydney, June 2003.

Kelly, L., Platen, E. and Soerensen, M., "Estimating for Discretely Observed Diffusions Using Transform Functions", Research Paper Series, 96, Quantitative Finance Research Centre, University of Technology, Sydney, June 2003.

Platen, E., "Modeling the Volatility and Expected Value of a Diversified World Index", Research Paper Series, 103, Quantitative Finance Research Centre, University of Technology, Sydney, June 2003.

Platen, E., "An Alternative Interest Rate Term Structure Model", Research Paper Series, 97, Quantitative Finance Research Centre, University of Technology, Sydney, June 2003.

Platen, E. and Stahl, G., "A Structure for General and Specific Market Risk", Research Paper Series, 91, Quantitative Finance Research Centre, University of Technology, Sydney, February 2003.

Craddock, M. and Platen, E., "Symmetry Group Methods for Fundamental Solutions and Characteristic Functions", Research Paper Series, 90, Quantitative Finance Research Centre, University of Technology, Sydney, February 2003.