Results 41 to 50 of about 455 (57)
Currency Derivatives under a Minimal Market Model with Random Scaling [PDF]
This paper uses an alternative, parsimonious stochastic volatility model to describe the dynamics of a currency market for the pricing and hedging of derivatives.
David Heath, Eckhard Platen
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Comparison of imputation methods for handling missing categorical data with univariate pattern [PDF]
, 2014 This paper examines the sample proportions estimates in the presence of univariate missing categorical data. A database about smoking habits (2011 National Addiction Survey of Mexico) was used to create simulated yet realistic datasets at rates 5% and 15%
Torres Munguía, Juan Armando
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A Benchmark Approach to Investing and Pricing [PDF]
This paper introduces a general market modeling framework, the benchmark approach, which assumes the existence of the numeraire portfolio. This is the strictly positive portfolio that when used as benchmark makes all benchmarked nonnegative portfolios ...
Eckhard Platen
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Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities [PDF]
This paper suggests to model jointly time delay and random effects in economics and finance. It proposes to explain the random and often cyclical fluctuations in commodity prices as a consequence of the interplay between external noise and time delays ...
Eckhard Platen, Uwe Küchler
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Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices [PDF]
The aim of this paper is to document some empirical facts related to log-returns of diversified world stock indices when these are denominated in different currencies.
Eckhard Platen, Renata Rendek
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Investments for the Short and Long Run [PDF]
This paper aims to discuss the optimal selection of investments for the short and long run in a continuous time financial market setting. First it documents the almost sure pathwise long run outperformance of all positive portfolios by the growth optimal
Eckhard Platen
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The Law of Minimum Price [PDF]
This paper introduces a realistic, generalized market modeling framework for which the Law of One Price no longer holds. Instead the Law of the Minimal Price will be derived, which for contingent claims with long term to maturity may provide ...
Eckhard Platen
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Intraday Empirical Analysis and Modeling of Diversified World Stock Indices [PDF]
This paper proposes an approach to the intraday analysis of diversified world stock accumulation indices. The growth optimal portfolio (GOP) is used as reference unit or benchmark in a continuous financial market model.
Eckhard Platen +2 more
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Identification Through Heteroscedasticity in a Multicountry and Multimarket Framework [PDF]
This paper formally proves that Rigobon and Sack (2004)'s approach of identifying monetary policy shocks through heteroscedasticity can be extended to a multimarket and multicountry framework.
Bernd Hayo, Britta Niehof
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