Eckhard Platen

Publication Activity (10 Years)

Years Active: 1999-2019
Publications (10 Years): 1

Top Topics

Complementarity Problems

Stock Index Futures

Selection Strategies

Top Venues

Finance Stochastics

Oper. Res. Lett.

J. Appl. Probab.

J. Comput. Appl. Math.

Publications

Claudio Fontana, Markus Pelger, Eckhard Platen
On the existence of sure profits via flash strategies. J. Appl. Probab. 56 (2) (2019)
Leunglung Chan, Eckhard Platen
Pricing volatility derivatives under the modified constant elasticity of variance model. Oper. Res. Lett. 43 (4) (2015)
Leunglung Chan, Eckhard Platen
Pricing and hedging of long dated variance swaps under a 3/2 volatility model. J. Comput. Appl. Math. 278 (2015)
Ashkan Nikeghbali, Eckhard Platen
A reading guide for last passage times with financial applications in view. Finance Stochastics 17 (3) (2013)
Katja Ignatieva, Eckhard Platen
Estimating the diffusion coefficient function for a diversified world stock index. Comput. Stat. Data Anal. 56 (6) (2012)
Patrick Cheridito, Ashkan Nikeghbali, Eckhard Platen
Processes of Class Sigma, Last Passage Times, and Drawdowns. SIAM J. Financial Math. 3 (1) (2012)
Constantinos Kardaras, Eckhard Platen
Minimizing the Expected Market Time to Reach a Certain Wealth Level. SIAM J. Financial Math. 1 (1) (2010)
Nicola Bruti Liberati, Filippo Martini, Massimo Piccardi, Eckhard Platen
A hardware generator of multi-point distributed random numbers for Monte Carlo simulation. Math. Comput. Simul. 77 (1) (2008)
Nicola Bruti Liberati, Christina Nikitopoulos-Sklibosios, Eckhard Platen
First Order Strong Approximations of Jump Diffusions. Monte Carlo Methods Appl. 12 (3) (2006)
Nicola Bruti Liberati, Eckhard Platen, Filippo Martini, Massimo Piccardi
An FPGA generator for multipoint distributed random variables (abstract only). FPGA (2005)
Nicola Bruti Liberati, Eckhard Platen, Filippo Martini, Massimo Piccardi
A hardware generator for multi-point distributed random variables. ISCAS (2) (2005)
Nicola Bruti Liberati, Eckhard Platen
On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance. International Conference on Computational Science (2004)
Eckhard Platen, Gerhard Stahl
A Structure for General and Specific Market Risk. Comput. Stat. 18 (3) (2003)
Kestutis Kubilius, Eckhard Platen
Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps. Monte Carlo Methods Appl. 8 (1) (2002)
Uwe Küchler, Eckhard Platen
Weak discrete time approximation of stochastic differential equations with time delay. Math. Comput. Simul. 59 (6) (2002)
Eckhard Platen
A short term interest rate model. Finance Stochastics 3 (2) (1999)
Paul Fischer, Eckhard Platen
Applications of the balanced method to stochastic differential equations in filtering. Monte Carlo Methods Appl. 5 (1) (1999)