Zobrazeno 1 - 10
of 308
pro vyhledávání: '"Eckhard Platen"'
Autor:
Eckhard Platen, Stefan Tappe
Publikováno v:
Positivity. 25:1853-1898
We provide a general framework for no-arbitrage concepts in topological vector lattices, which covers many of the well-known no-arbitrage concepts as particular cases. The main structural condition we impose is that the outcomes of trading strategies
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::507ad2123717ab1c6ea03079ac8bfc0e
https://doi.org/10.1007/s11117-021-00848-z
https://doi.org/10.1007/s11117-021-00848-z
Autor:
Kevin Fergusson, Eckhard Platen
This paper proposes a shift in the valuation and production of long-term annuities, away from the classical risk-neutral methodology towards a methodology using the real-world probability measure. The proposed production method is applied to three ex
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a0d7c107482911349013bebd99e30cc0
https://hdl.handle.net/10453/164268
https://hdl.handle.net/10453/164268
We calibrate a novel multifactor stochastic volatility model that includes as special cases the Heston-based model of De Col et al. (J Bank Finance 37(10):3799–3818, 2013) and the 3/2-based model of Baldeaux et al. (J Bank Finance 53:34–48, 2015)
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::951c1b91981f34d26dcf614662f7779f
https://hdl.handle.net/10453/164269
https://hdl.handle.net/10453/164269
Target date funds (TDFs) are becoming increasingly popular investment choices among investors with long-term prospects. Examples include members of superannuation funds seeking to save for retirement at a given age. TDFs provide efficient risk exposu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a70e0df0207aef8f5358469d90f9e6ce
https://hdl.handle.net/10453/149570
https://hdl.handle.net/10453/149570
Autor:
Dietmar Leisen, Eckhard Platen
Publikováno v:
SSRN Electronic Journal.
This paper bases long-term investing on a tradeable stochastic discount factor (SDF), relates it to the growth optimal portfolio and argues for a top-down method, where modeling efforts are directed at capturing its long-run dynamics in a generalized
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::79498b99bfb305831ea48af66b2bbd6f
https://doi.org/10.2139/ssrn.3778852
https://doi.org/10.2139/ssrn.3778852
Publikováno v:
SSRN Electronic Journal.
Is it possible to achieve almost riskless, nonfluctuating investment payoffs in the long run, at a fraction of the traditional funding requirement, using equity investments? The persistence of low interest rates is spurring research on this question
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::13029d262156326f870910f27b079fbe
https://doi.org/10.2139/ssrn.3580762
https://doi.org/10.2139/ssrn.3580762
Recursive marginal quantization (RMQ) allows the construction of optimal discrete grids for approximating solutions to stochastic differential equations in d dimensions. Product Markovian quantization (PMQ) reduces this problem to d onedimensional qu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e80b084ba0349ac920250cce2a81638c
Autor:
Eckhard Platen
Publikováno v:
SSRN Electronic Journal.
The need for the management of risks related to the COVID-19 epidemic in health, economics, finance and insurance became obvious after its outbreak. As a basis for respective quantitative methods, the paper models in a novel manner the dynamics of a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::08738f9dfe08d7939170c81b1e0414e1
https://doi.org/10.2139/ssrn.3586208
https://doi.org/10.2139/ssrn.3586208
Publikováno v:
Journal of Banking & Finance. 87:369-379
The existence of a self-financing trading strategy that replicates the money market account at a fixed future date at a lower cost than the current value of this account constitutes a money market bubble (MMB). Understanding whether a market exhibits
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3ff54322d989f42de57ef522644c9092
https://doi.org/10.1016/j.jbankfin.2017.10.017
https://doi.org/10.1016/j.jbankfin.2017.10.017