Edit Profile (opens in new tab) Platen, Eckhard Co-Author Distance Author ID: platen.eckhard Published as: Platen, Eckhard; Platen, E. Homepage: http://www.uts.edu.au/staff/eckhard.platen External Links: MGP Documents Indexed: 159 Publications since 1974, including 10 Books and 2 Additional arXiv Preprints 1 Contribution as Editor Reviewing Activity: 151 Reviews Biographic References: 1 Publication Co-Authors: 68 Co-Authors with 125 Joint Publications 1,690 Co-Co-Authors all top 5 Co-Authors 34 single-authored 13 Heath, David C. 13 Kloeden, Peter Eris 10 Bruti-Liberati, Nicola 7 Baldeaux, Jan 6 Rendek, Renata 5 Hofmann, Norbert 5 Ignatieva, Katja 5 Kardaras, Constantinos 5 Schurz, Henri 5 Tappe, Stefan 4 Chan, Leunglung 4 Hurst, Simon R. 4 Rebolledo Berroeta, Rolando 4 Runggaldier, Wolfgang J. 4 Schweizer, Martin 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 Kienitz, Jörg 2 Liske, Horst 2 McWalter, Thomas Andrew 2 Mikulevicius, Remigijus 2 Müller, Paul Heinz 2 Nikeghbali, Ashkan 2 Rachev, Svetlozar T. 2 Rudd, Robert E. 2 Sorensen, Michael 2 West, Jason 1 Barkhagen, Mathias 1 Biagini, Francesca 1 Blomvall, Jörgen 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 Gnoatto, Alessandro 1 Grasselli, Martino 1 Guo, Zhijun 1 Härdle, Wolfgang Karl 1 Kleinow, Torsten 1 Korostelev, Alexander P. 1 Kubilius, Kȩstutis 1 Küchler, Uwe 1 Logeay, Camille 1 Martini, Filippo 1 Milstein, Grigori N. 1 Obloj, Jan K. 1 Pelger, Markus 1 Piccardi, Massimo 1 Schlögl, Erik 1 Semmler, Willi 1 Shi, Lei 1 Sun, Jin 1 Wright, Ian W. 1 Zhu, Dan all top 5 Serials 12 Asia-Pacific Financial Markets 10 Mathematical Finance 10 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 Advances in Applied Probability 3 Stochastic Processes and their Applications 3 Monte Carlo Methods and Applications 3 Applied Mathematical Finance 3 Communications on Stochastic Analysis 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 ASTIN Bulletin 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 Positivity 1 Studies in Nonlinear Dynamics and Econometrics 1 Probability in the Engineering and Informational Sciences 1 The ANZIAM Journal 1 Decisions in Economics and Finance 1 Stochastics and Dynamics 1 Stochastic Modelling and Applied Probability 1 Financial Engineering and the Japanese Markets 1 Bocconi & Springer Series 1 Universitext 1 Springer Finance 1 Frontiers of Mathematical Finance all top 5 Fields 107 Probability theory and stochastic processes (60-XX) 96 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) 3 Partial differential equations (35-XX) 2 Functional analysis (46-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 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) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 135 Publications have been cited 3,888 times in 2,992 Documents Cited by ▼ Year ▼ Numerical solution of stochastic differential equations. Zbl 0752.60043 Kloeden, Peter E.; Platen, Eckhard 1,037 1992 Higher-order implicit strong numerical schemes for stochastic differential equations. Zbl 0925.65261 Kloeden, P. E.; Platen, E. 666 1992 A survey of numerical methods for stochastic differential equations. Zbl 0701.60054 Kloeden, P. E.; Platen, E. 228 1989 Numerical methods for stochastic differential equations. Zbl 0858.65148 Kloeden, P. E.; Platen, E. 185 1995 Numerical solution of stochastic differential equations with jumps in finance. Zbl 1225.60004 Platen, Eckhard; Bruti-Liberati, Nicola 155 2010 Numerical solution of SDE through computer experiments. Including floppy disk. Zbl 0789.65100 Kloeden, Peter E.; Platen, Eckhard; Schurz, Henri 149 1994 Balanced implicit methods for stiff stochastic systems. Zbl 0914.65143 Milstein, G. N.; Platen, E.; Schurz, H. 111 1998 A benchmark approach to quantitative finance. Zbl 1104.91041 Platen, Eckhard; Heath, David 84 2006 An introduction to numerical methods for stochastic differential equations. Zbl 0942.65004 Platen, Eckhard 68 1999 Numerical solution of stochastic differential equations. 4th corrected printing. Zbl 1216.60052 Kloeden, Peter E.; Platen, Eckhard 56 2010 A comparison of two quadratic approaches to hedging in incomplete markets. Zbl 1032.91058 Heath, David; Platen, Eckhard; Schweizer, Martin 49 2001 The approximation of multiple stochastic integrals. Zbl 0761.60048 Kloeden, P. E.; Platen, E.; Wright, I. W. 44 1992 Stratonovich and Itô stochastic Taylor expansions. Zbl 0731.60050 Kloeden, P. E.; Platen, E. 43 1991 Strong approximations of stochastic differential equations with jumps. Zbl 1121.65007 Bruti-Liberati, Nicola; Platen, Eckhard 41 2007 On feedback effects from hedging derivatives. Zbl 0908.90016 Platen, Eckhard; Schweizer, Martin 40 1998 Arbitrage in continuous complete markets. Zbl 1055.91033 Platen, Eckhard 38 2002 A benchmark approach to finance. Zbl 1128.91029 Platen, Eckhard 33 2006 Symmetry group methods for fundamental solutions. Zbl 1065.35016 Craddock, Mark; Platen, Eckhard 33 2004 Option pricing under incompleteness and stochastic volatility. Zbl 0900.90095 Hofmann, Norbert; Platen, Eckhard; Schweizer, Martin 30 1992 On a Taylor formula for a class of Ito processes. Zbl 0528.60053 Platen, Eckhard; Wagner, Wolfgang 29 1982 Rate of convergence of the Euler approximation for diffusion processes. Zbl 0733.65104 Mikulevicius, Remigius; Platen, Eckhard 26 1991 Time discrete Taylor approximations for the Itô processes with jump component. Zbl 0661.60071 Mikulevičius, Remigijus; Platen, Eckhard 25 1988 Option pricing for a logstable asset price model. Zbl 0990.91022 Hurst, S. R.; Platen, E.; Rachev, S. T. 24 1999 Weak discrete time approximation of stochastic differential equations with time delay. Zbl 1001.65005 Küchler, Uwe; Platen, Eckhard 24 2002 The numerical solution of nonlinear stochastic dynamical systems: A brief introduction. Zbl 0876.65097 Kloeden, P. E.; Platen, E.; Schurz, H. 22 1991 Approximation of Ito integral equations. (Preprint). Zbl 0413.60056 Wagner, Wolfgang; Platen, Eckhard 21 1978 Runge-Kutta methods for stochastic differential equations. Zbl 0824.65148 Burrage, K.; Platen, E. 20 1994 Subordinated market index models: A comparison. Zbl 1153.91788 Hurst, Simon R.; Platen, Eckhard; Rachev, Svetlozar T. 20 1997 The marginal distributions of returns and volatility. Zbl 0937.62107 Hurst, Simon R.; Platen, Eckhard 20 1997 On the semimartingale property of discounted asset-price processes. Zbl 1236.91128 Kardaras, Constantinos; Platen, Eckhard 19 2011 Empirical evidence on Student-\(t\) log-returns of diversified world stock indices. Zbl 1427.62122 Platen, Eckhard; Rendek, Renata 18 2008 Processes of class Sigma, last passage times, and drawdowns. Zbl 1284.91542 Cheridito, Patrick; Nikeghbali, Ashkan; Platen, Eckhard 17 2012 Diversified portfolios with jumps in a benchmark framework. Zbl 1075.91022 Platen, Eckhard 16 2004 On the distributional characterization of daily log-returns of a world stock index. Zbl 1157.91422 Fergusson, Kevin; Platen, Eckhard 16 2006 Modeling the volatility and expected value of a diversified world index. Zbl 1107.91313 Platen, Eckhard 16 2004 On effects of discretization on estimators of drift parameters for diffusion processes. Zbl 0873.65134 Kloeden, P. E.; Platen, E.; Schurz, H.; Sørensen, M. 16 1996 Functionals of multidimensional diffusions with applications to finance. Zbl 1401.60001 Baldeaux, Jan; Platen, Eckhard 16 2013 An approximation method for a class of Ito processes with jump component. Zbl 0497.60057 Platen, E. 15 1982 A minimal financial market model. Zbl 1004.91029 Platen, Eckhard 15 2001 On weak predictor-corrector schemes for jump-diffusion processes in finance. Zbl 1296.91278 Bruti-Liberati, Nicola; Platen, Eckhard 14 2012 Approximation of jump diffusions in finance and economics. Zbl 1161.91384 Bruti-Liberati, Nicola; Platen, Eckhard 13 2007 Stability of weak numerical schemes for stochastic differential equations. Zbl 0810.65147 Hofmann, N.; Platen, E. 12 1994 A visual criterion for identifying Itô diffusions as martingales or strict local martingales. Zbl 1248.60095 Hulley, Hardy; Platen, Eckhard 10 2011 Rate of weak convergence of the Euler approximation for diffusion processes with jumps. Zbl 0996.65003 Kubilius, Kestutis; Platen, Eckhard 10 2002 A generalized Taylor formula for solutions of stochastic equations. Zbl 0586.60049 Platen, Eckhard 9 1982 Estimating the diffusion coefficient function for a diversified world stock index. Zbl 1242.91215 Ignatieva, Katja; Platen, Eckhard 9 2012 On weak implicit and predictor-corrector methods. Zbl 0837.60056 Platen, Eckhard 8 1995 Minimizing the expected market time to reach a certain wealth level. Zbl 1198.60028 Kardaras, Constantinos; Platen, Eckhard 8 2010 Numerical comparison of local risk-minimisation and mean-variance hedging. Zbl 1004.91031 Heath, David; Platen, Eckhard; Schweizer, Martin 8 2001 A benchmark framework for risk management. Zbl 1191.91048 Platen, Eckhard 8 2004 Principles for modelling financial markets. Zbl 0865.60048 Platen, Eckhard; Rebolledo, Rolando 8 1996 An approximation method for a class of Ito processes. Zbl 0465.60055 Platen, E. 8 1981 Recursive marginal quantization of higher-order schemes. Zbl 1400.91604 McWalter, T. A.; Rudd, R.; Kienitz, J.; Platen, E. 8 2018 Hedging of options under discrete observation on assets with stochastic volatility. Zbl 0831.90009 Di Masi, G. B.; Platen, E.; Runggaldier, W. J. 7 1995 A structure for general and specific market risk. Zbl 1039.91048 Platen, Eckhard 7 2003 A class of complete benchmark models with intensity-based jumps. Zbl 1123.91319 Platen, Eckhard 7 2004 Estimation for discretely observed diffusions using transform functions. Zbl 1049.62092 Kelly, Leah; Platen, Eckhard; Sørensen, Michael 7 2004 A fair pricing approach to weather derivatives. Zbl 1075.91024 Platen, Eckhard; West, Jason 7 2004 A discrete time benchmark approach for insurance and finance. Zbl 1098.91069 Bühlmann, Hans; Platen, Eckhard 7 2003 Benchmarked risk minimization. Zbl 1386.91124 Du, Ke; Platen, Eckhard 7 2016 Simulation studies on time discrete diffusion approximations. Zbl 0632.65146 Liske, Horst; Platen, Eckhard 6 1987 Real-world jump-diffusion term structure models. Zbl 1202.91332 Bruti-Liberati, Nicola; Nikitopoulos-Sklibosios, Christina; Platen, Eckhard 6 2010 A general benchmark model for stochastic jump sizes. Zbl 1138.91428 Christensen, Morten Mosegaard; Platen, Eckhard 6 2005 A two-factor model for low interest rate regimes. Zbl 1075.91021 Miller, Shane; Platen, Eckhard 6 2004 Weak convergence of semimartingales and discretisation methods. Zbl 0584.60060 Platen, Eckhard; Rebolledo, Rolando 6 1985 Perfect hedging of index derivatives under a minimal market model. Zbl 1107.91338 Heath, David; Platen, Eckhard 6 2002 Relations between multiple Ito and Stratonovich integrals. Zbl 0746.60062 Kloeden, P. E.; Platen, E. 6 1991 Modelling co-movements and tail dependency in the international stock market via copulae. Zbl 1195.91182 Ignatieva, Katja; Platen, Eckhard 6 2010 On the Dybvig-Ingersoll-Ross theorem. Zbl 1285.91136 Kardaras, Constantinos; Platen, Eckhard 6 2012 An alternative interest rate term structure model. Zbl 1138.91470 Platen, Eckhard 5 2005 Higher-order weak approximation of Ito diffusions by Markov chains. Zbl 1134.60357 Platen, Eckhard 5 1992 Consistent market extensions under the benchmark approach. Zbl 1155.91382 Filipović, Damir; Platen, Eckhard 5 2009 The numéraire property and long-term growth optimality for drawdown-constrained investments. Zbl 1414.91344 Kardaras, Constantinos; Obłój, Jan; Platen, Eckhard 5 2017 Local risk-minimization under the benchmark approach. Zbl 1308.91157 Biagini, Francesca; Cretarola, Alessandra; Platen, Eckhard 5 2014 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 4 2008 Extrapolation methods for the weak approximation of Itô diffusions. Zbl 0866.60048 Kloeden, P. E.; Platen, E.; Hofmann, N. 4 1995 Filtering and parameter estimation for a mean reverting interest rate model. Zbl 0980.62083 Elliott, R.; Fischer, P.; Platen, E. 4 1999 Approximating large diversified portfolios. Zbl 1021.91027 Hofmann, Norbert; Platen, Eckhard 4 2000 Pricing and hedging of index derivatives under an alternative asset price model with endogenous stochastic volatility. Zbl 1023.91025 Heath, David; Platen, Eckhard 4 2002 Understanding the implied volatility surface for options on a diversified index. Zbl 1075.91019 Heath, David; Platen, Eckhard 4 2004 A benchmark approach to filtering in finance. Zbl 1075.91023 Platen, Eckhard; Runggaldier, Wolfgang J. 4 2004 On the efficiency of simplified weak Taylor schemes for Monte Carlo simulation in finance. Zbl 1102.65302 Liberati, Nicola Bruti; Platen, Eckhard 4 2004 Strong-predictor-corrector Euler methods for stochastic differential equations. Zbl 1158.60031 Bruti-Liberati, Nicola; Platen, Eckhard 4 2008 Higher order approximate Markov chain filters. Zbl 0783.60045 Kloeden, P. E.; Platen, E.; Schurz, H. 4 1993 Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model. Zbl 1303.91153 Chan, Leunglung; Platen, Eckhard 4 2015 Hedging for the long run. Zbl 1264.91147 Hulley, Hardy; Platen, Eckhard 4 2012 First oder strong approximations of jump diffusions. Zbl 1113.65008 Bruti-Liberati, Nicola; Nikitopoulos-Sklibosios, Christina; Platen, Eckhard 3 2006 A benchmark approach to portfolio optimization under partial information. Zbl 1151.91451 Platen, Eckhard; Runggaldier, Wolfgang J. 3 2007 Sharpe ratio maximation and expected utility when asset prices have jumps. Zbl 1141.91429 Christensen, Morten Mosegaard; Platen, Eckhard 3 2007 About mixed multiple Wiener integrals. Zbl 0496.60050 Liske, Horst; Platen, Eckhard; Wagner, Wolfgang 3 1982 Hidden Markov chain filtering for generalised Bessel processes. Zbl 0991.60032 Elliott, R.; Platen, E. 3 2000 A short term interest rate model. Zbl 0924.90024 Platen, Eckhard 3 1999 Local volatility function models under a benchmark approach. Zbl 1136.91439 Heath, David; Platen, Eckhard 3 2006 Intraday empirical analysis and modeling of diversified world stock indices. Zbl 1154.91399 Breymann, Wolfgang; Kelly, Leah; Platen, Eckhard 3 2005 Stability of superimplicit numerical methods for stochastic differential equations. Zbl 0852.65146 Hofmann, Norbert; Platen, Eckhard 3 1996 Simulation of diversified portfolios in continuous financial markets. Zbl 1278.91150 Platen, Eckhard; Rendek, Renata 3 2012 Semiparametric diffusion estimation and application to a stock market index. Zbl 1140.91463 Härdle, Wolfgang; Kleinow, Torsten; Korostelev, Alexander; Logeay, Camille; Platen, Eckhard 3 2008 Laplace transform identities for diffusions, with applications to rebates and barrier options. Zbl 1153.60381 Hulley, Hardy; Platen, Eckhard 3 2008 No-arbitrage concepts in topological vector lattices. Zbl 1489.46007 Platen, Eckhard; Tappe, Stefan 3 2021 A reading guide for last passage times with financial applications in view. Zbl 1274.60123 Nikeghbali, Ashkan; Platen, Eckhard 3 2013 Calibration to FX triangles of the 4/2 model under the benchmark approach. Zbl 1491.91145 Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard 2 2022 Quantization methods for stochastic differential equations. Zbl 1496.60081 Kienitz, J.; McWalter, T. A.; Rudd, R.; Platen, E. 1 2022 No-arbitrage concepts in topological vector lattices. Zbl 1489.46007 Platen, Eckhard; Tappe, Stefan 3 2021 Dynamic asset allocation for target date funds under the benchmark approach. Zbl 1471.91515 Sun, Jin; Zhu, Dan; Platen, Eckhard 1 2021 Approximating the growth optimal portfolio and stock price bubbles. Zbl 1459.91179 Platen, Eckhard; Rendek, Renata 1 2020 On the existence of sure profits via flash strategies. Zbl 1422.91650 Fontana, Claudio; Pelger, Markus; Platen, Eckhard 2 2019 Recursive marginal quantization of higher-order schemes. Zbl 1400.91604 McWalter, T. A.; Rudd, R.; Kienitz, J.; Platen, E. 8 2018 The numéraire property and long-term growth optimality for drawdown-constrained investments. Zbl 1414.91344 Kardaras, Constantinos; Obłój, Jan; Platen, Eckhard 5 2017 Benchmarked risk minimization. Zbl 1386.91124 Du, Ke; Platen, Eckhard 7 2016 Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model. Zbl 1303.91153 Chan, Leunglung; Platen, Eckhard 4 2015 Real-world forward rate dynamics with affine realizations. Zbl 1335.91094 Platen, Eckhard; Tappe, Stefan 2 2015 Pricing volatility derivatives under the modified constant elasticity of variance model. Zbl 1408.91208 Chan, Leunglung; Platen, Eckhard 2 2015 Local risk-minimization under the benchmark approach. Zbl 1308.91157 Biagini, Francesca; Cretarola, Alessandra; Platen, Eckhard 5 2014 A tractable model for indices approximating the growth optimal portfolio. Zbl 1283.91198 Baldeaux, Jan; Ignatieva, Katja; Platen, Eckhard 1 2014 Functionals of multidimensional diffusions with applications to finance. Zbl 1401.60001 Baldeaux, Jan; Platen, Eckhard 16 2013 A reading guide for last passage times with financial applications in view. Zbl 1274.60123 Nikeghbali, Ashkan; Platen, Eckhard 3 2013 Computing functionals of square root and Wishart processes under the benchmark approach via exact simulation. Zbl 1308.91183 Baldeaux, Jan; Platen, Eckhard 2 2013 On the numerical stability of simulation methods for SDEs under multiplicative noise in finance. Zbl 1280.91193 Platen, Eckhard; Shi, Lei 2 2013 Multiplicative approximation of wealth processes involving no-short-sales strategies via simple trading. Zbl 1275.91061 Kardaras, Constantinos; Platen, Eckhard 1 2013 Processes of class Sigma, last passage times, and drawdowns. Zbl 1284.91542 Cheridito, Patrick; Nikeghbali, Ashkan; Platen, Eckhard 17 2012 On weak predictor-corrector schemes for jump-diffusion processes in finance. Zbl 1296.91278 Bruti-Liberati, Nicola; Platen, Eckhard 14 2012 Estimating the diffusion coefficient function for a diversified world stock index. Zbl 1242.91215 Ignatieva, Katja; Platen, Eckhard 9 2012 On the Dybvig-Ingersoll-Ross theorem. Zbl 1285.91136 Kardaras, Constantinos; Platen, Eckhard 6 2012 Hedging for the long run. Zbl 1264.91147 Hulley, Hardy; Platen, Eckhard 4 2012 Simulation of diversified portfolios in continuous financial markets. Zbl 1278.91150 Platen, Eckhard; Rendek, Renata 3 2012 A dynamic portfolio approach to asset markets and monetary policy. Zbl 1308.91147 Platen, Eckhard; Semmler, Willi 1 2012 On the semimartingale property of discounted asset-price processes. Zbl 1236.91128 Kardaras, Constantinos; Platen, Eckhard 19 2011 A visual criterion for identifying Itô diffusions as martingales or strict local martingales. Zbl 1248.60095 Hulley, Hardy; Platen, Eckhard 10 2011 Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index. Zbl 1420.62080 Ignatieva, Katja; Platen, Eckhard; Rendek, Renata 2 2011 Numerical solution of stochastic differential equations with jumps in finance. Zbl 1225.60004 Platen, Eckhard; Bruti-Liberati, Nicola 155 2010 Numerical solution of stochastic differential equations. 4th corrected printing. Zbl 1216.60052 Kloeden, Peter E.; Platen, Eckhard 56 2010 Minimizing the expected market time to reach a certain wealth level. Zbl 1198.60028 Kardaras, Constantinos; Platen, Eckhard 8 2010 Real-world jump-diffusion term structure models. Zbl 1202.91332 Bruti-Liberati, Nicola; Nikitopoulos-Sklibosios, Christina; Platen, Eckhard 6 2010 Modelling co-movements and tail dependency in the international stock market via copulae. Zbl 1195.91182 Ignatieva, Katja; Platen, Eckhard 6 2010 Quasi-exact approximation of hidden Markov chain filters. Zbl 1331.93202 Platen, Eckhard; Rendek, Renata 1 2010 Consistent market extensions under the benchmark approach. Zbl 1155.91382 Filipović, Damir; Platen, Eckhard 5 2009 Exact scenario simulation for selected multi-dimensional stochastic processes. Zbl 1331.60133 Platen, Eckhard; Rendek, Renata 2 2009 Alternative defaultable term structure models. Zbl 1170.91488 Bruti-Liberati, Nicola; Nikitopoulos-Sklibosios, Christina; Platen, Eckhard; Schlögl, Erik 1 2009 Empirical evidence on Student-\(t\) log-returns of diversified world stock indices. Zbl 1427.62122 Platen, Eckhard; Rendek, Renata 18 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 4 2008 Strong-predictor-corrector Euler methods for stochastic differential equations. Zbl 1158.60031 Bruti-Liberati, Nicola; Platen, Eckhard 4 2008 Semiparametric diffusion estimation and application to a stock market index. Zbl 1140.91463 Härdle, Wolfgang; Kleinow, Torsten; Korostelev, Alexander; Logeay, Camille; Platen, Eckhard 3 2008 Laplace transform identities for diffusions, with applications to rebates and barrier options. Zbl 1153.60381 Hulley, Hardy; Platen, Eckhard 3 2008 Analytic pricing of contingent claims under the real-world measure. Zbl 1175.91184 Miller, Shane M.; Platen, Eckhard 1 2008 Strong approximations of stochastic differential equations with jumps. Zbl 1121.65007 Bruti-Liberati, Nicola; Platen, Eckhard 41 2007 Approximation of jump diffusions in finance and economics. Zbl 1161.91384 Bruti-Liberati, Nicola; Platen, Eckhard 13 2007 A benchmark approach to portfolio optimization under partial information. Zbl 1151.91451 Platen, Eckhard; Runggaldier, Wolfgang J. 3 2007 Sharpe ratio maximation and expected utility when asset prices have jumps. Zbl 1141.91429 Christensen, Morten Mosegaard; Platen, Eckhard 3 2007 A benchmark approach to quantitative finance. Zbl 1104.91041 Platen, Eckhard; Heath, David 84 2006 A benchmark approach to finance. Zbl 1128.91029 Platen, Eckhard 33 2006 On the distributional characterization of daily log-returns of a world stock index. Zbl 1157.91422 Fergusson, Kevin; Platen, Eckhard 16 2006 First oder strong approximations of jump diffusions. Zbl 1113.65008 Bruti-Liberati, Nicola; Nikitopoulos-Sklibosios, Christina; Platen, Eckhard 3 2006 Local volatility function models under a benchmark approach. Zbl 1136.91439 Heath, David; Platen, Eckhard 3 2006 A general benchmark model for stochastic jump sizes. Zbl 1138.91428 Christensen, Morten Mosegaard; Platen, Eckhard 6 2005 An alternative interest rate term structure model. Zbl 1138.91470 Platen, Eckhard 5 2005 Intraday empirical analysis and modeling of diversified world stock indices. Zbl 1154.91399 Breymann, Wolfgang; Kelly, Leah; Platen, Eckhard 3 2005 Currency derivatives under a minimal market model with random scaling. Zbl 1101.91039 Heath, David; Platen, Eckhard 1 2005 Symmetry group methods for fundamental solutions. Zbl 1065.35016 Craddock, Mark; Platen, Eckhard 33 2004 Diversified portfolios with jumps in a benchmark framework. Zbl 1075.91022 Platen, Eckhard 16 2004 Modeling the volatility and expected value of a diversified world index. Zbl 1107.91313 Platen, Eckhard 16 2004 A benchmark framework for risk management. Zbl 1191.91048 Platen, Eckhard 8 2004 A class of complete benchmark models with intensity-based jumps. Zbl 1123.91319 Platen, Eckhard 7 2004 Estimation for discretely observed diffusions using transform functions. Zbl 1049.62092 Kelly, Leah; Platen, Eckhard; Sørensen, Michael 7 2004 A fair pricing approach to weather derivatives. Zbl 1075.91024 Platen, Eckhard; West, Jason 7 2004 A two-factor model for low interest rate regimes. Zbl 1075.91021 Miller, Shane; Platen, Eckhard 6 2004 Understanding the implied volatility surface for options on a diversified index. Zbl 1075.91019 Heath, David; Platen, Eckhard 4 2004 A benchmark approach to filtering in finance. Zbl 1075.91023 Platen, Eckhard; Runggaldier, Wolfgang J. 4 2004 On the efficiency of simplified weak Taylor schemes for Monte Carlo simulation in finance. Zbl 1102.65302 Liberati, Nicola Bruti; Platen, Eckhard 4 2004 Pricing and hedging for incomplete jump diffusion benchmark models. Zbl 1060.91068 Platen, Eckhard 2 2004 A structure for general and specific market risk. Zbl 1039.91048 Platen, Eckhard 7 2003 A discrete time benchmark approach for insurance and finance. Zbl 1098.91069 Bühlmann, Hans; Platen, Eckhard 7 2003 Arbitrage in continuous complete markets. Zbl 1055.91033 Platen, Eckhard 38 2002 Weak discrete time approximation of stochastic differential equations with time delay. Zbl 1001.65005 Küchler, Uwe; Platen, Eckhard 24 2002 Rate of weak convergence of the Euler approximation for diffusion processes with jumps. Zbl 0996.65003 Kubilius, Kestutis; Platen, Eckhard 10 2002 Perfect hedging of index derivatives under a minimal market model. Zbl 1107.91338 Heath, David; Platen, Eckhard 6 2002 Pricing and hedging of index derivatives under an alternative asset price model with endogenous stochastic volatility. Zbl 1023.91025 Heath, David; Platen, Eckhard 4 2002 A variance reduction technique based on integral representations. Zbl 1405.91696 Heath, David; Platen, Eckhard 3 2002 Consistent pricing and hedging for a modified constant elasticity of variance model. Zbl 1405.91556 Heath, David; Platen, Eckhard 2 2002 A comparison of two quadratic approaches to hedging in incomplete markets. Zbl 1032.91058 Heath, David; Platen, Eckhard; Schweizer, Martin 49 2001 A minimal financial market model. Zbl 1004.91029 Platen, Eckhard 15 2001 Numerical comparison of local risk-minimisation and mean-variance hedging. Zbl 1004.91031 Heath, David; Platen, Eckhard; Schweizer, Martin 8 2001 Modelling the stochastic dynamics of volatility for equity indices. Zbl 1054.91037 Heath, David; Hurst, Simon; Platen, Eckhard 1 2001 Approximating large diversified portfolios. Zbl 1021.91027 Hofmann, Norbert; Platen, Eckhard 4 2000 Hidden Markov chain filtering for generalised Bessel processes. Zbl 0991.60032 Elliott, R.; Platen, E. 3 2000 An introduction to numerical methods for stochastic differential equations. Zbl 0942.65004 Platen, Eckhard 68 1999 Option pricing for a logstable asset price model. Zbl 0990.91022 Hurst, S. R.; Platen, E.; Rachev, S. T. 24 1999 Filtering and parameter estimation for a mean reverting interest rate model. Zbl 0980.62083 Elliott, R.; Fischer, P.; Platen, E. 4 1999 A short term interest rate model. Zbl 0924.90024 Platen, Eckhard 3 1999 Risk minimizing hedging strategies under partial observation. Zbl 0936.91020 Fischer, Paul; Platen, Eckhard; Runggaldier, Wolfgang J. 2 1999 Applications of the balanced method to stochastic differential equations in filtering. Zbl 0930.65003 Fischer, Paul; Platen, Eckhard 2 1999 Balanced implicit methods for stiff stochastic systems. Zbl 0914.65143 Milstein, G. N.; Platen, E.; Schurz, H. 111 1998 On feedback effects from hedging derivatives. Zbl 0908.90016 Platen, Eckhard; Schweizer, Martin 40 1998 Subordinated market index models: A comparison. Zbl 1153.91788 Hurst, Simon R.; Platen, Eckhard; Rachev, Svetlozar T. 20 1997 The marginal distributions of returns and volatility. Zbl 0937.62107 Hurst, Simon R.; Platen, Eckhard 20 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. 16 1996 Principles for modelling financial markets. Zbl 0865.60048 Platen, Eckhard; Rebolledo, Rolando 8 1996 Stability of superimplicit numerical methods for stochastic differential equations. Zbl 0852.65146 Hofmann, Norbert; Platen, Eckhard 3 1996 Numerical methods for stochastic differential equations. Zbl 0858.65148 Kloeden, P. E.; Platen, E. 185 1995 On weak implicit and predictor-corrector methods. Zbl 0837.60056 Platen, Eckhard 8 1995 Hedging of options under discrete observation on assets with stochastic volatility. Zbl 0831.90009 Di Masi, G. B.; Platen, E.; Runggaldier, W. J. 7 1995 ...and 35 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 3,958 Authors 70 Platen, Eckhard 45 Mao, Xuerong 41 Kloeden, Peter Eris 30 Gan, Siqing 28 Burrage, Kevin 26 Jentzen, Arnulf 24 Rößler, Andreas 22 Allen, Edward James 21 Cortés López, Juan Carlos 20 Wang, Xiaojie 20 Zhang, Qimin 18 Przybyłowicz, Paweł 18 Yuan, Chenggui 17 Debrabant, Kristian 17 Kuznetsov, Dmitriĭ Feliksovich 16 Jimenez, Juan Carlos 16 Zhao, Weidong 15 Buckwar, Evelyn 15 D’Ambrosio, Raffaele 15 Yamada, Toshihiro 14 Ding, Xiaohua 14 Roberts, Gareth O. 13 Hosseini, Seyed Mohammad 13 Komori, Yoshio 13 Liu, Wei 12 Burrage, Pamela M. 12 Hong, Jialin 12 Kulikov, Gennady Yur’evich 12 Liu, Mingzhu 12 Müller-Gronbach, Thomas 12 Neuenkirch, Andreas 12 Song, Minghui 11 Atzberger, Paul J. 11 Biagini, Francesca 11 El Fatini, Mohamed 11 Huang, Chengming 11 Ma, Qiang 11 Ngo, Hoang-Long 11 Rybakov, Konstantin Aleksandrovich 10 Cao, Wanrong 10 Cao, Yanzhao 10 Fontana, Claudio 10 Higham, Desmond J. 10 Hutzenthaler, Martin 10 Lejay, Antoine 10 Roselló, María Dolores 10 Wang, Lijin 10 Wu, Fuke 9 Guo, Qian 9 Gutierrez-Sanchez, Ramon 9 Hofmann, Norbert 9 Jasra, Ajay 9 Kardaras, Constantinos 9 Kohatsu-Higa, Arturo 9 Kvaerno, Anne 9 Lahrouz, Aadil 9 Nafidi, Ahmed 9 Rachev, Svetlozar T. 9 Romero, José Vicente 9 Schurz, Henri 9 Settati, Adel 9 Szpruch, Lukasz 9 Taguchi, Dai 9 Urusov, Mikhail A. 9 Winkler, Renate 9 Xiao, Aiguo 9 Zhang, Wei 8 Abdulle, Assyr 8 Allen, Linda J. S. 8 Chassagneux, Jean-François 8 Crisan, Dan O. 8 Fan, Zhencheng 8 Ignatieva, Katja 8 Jódar Sanchez, Lucas Antonio 8 Li, Xiaoyue 8 Maleknejad, Khosrow 8 Oosterlee, Cornelis Willebrordus 8 Pope, Stephen Bailey 8 Reisinger, Christoph 8 Runggaldier, Wolfgang J. 8 Schoenmakers, John G. M. 8 Shardlow, Tony 8 Villafuerte, Laura 7 Acebrón, Juan A. 7 Bao, Feng 7 Beskos, Alexandros 7 Biscay, Rolando J. 7 Bruti-Liberati, Nicola 7 Carbonell, Felix 7 Di Giovacchino, Stefano 7 Halidias, Nikolaos 7 Heydari, Mohammad Hossein 7 Jeanblanc, Monique 7 Jovanović, Miljana 7 Khodabin, Morteza 7 Krstić, Marija 7 Milstein, Grigori N. 7 Navarro Quiles, Ana 7 Pettersson, Roger 7 Protter, Philip Elliott ...and 3,858 more Authors all top 5 Cited in 447 Serials 184 Journal of Computational and Applied Mathematics 109 Applied Mathematics and Computation 102 Journal of Computational Physics 71 Stochastic Analysis and Applications 71 Applied Numerical Mathematics 54 Stochastic Processes and their Applications 53 BIT 53 The Annals of Applied Probability 51 Mathematics and Computers in Simulation 43 Finance and Stochastics 40 Numerical Algorithms 35 SIAM Journal on Numerical Analysis 34 Mathematical Finance 34 International Journal of Theoretical and Applied Finance 34 Quantitative Finance 33 Applied Mathematical Modelling 33 Discrete and Continuous Dynamical Systems. 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Theory and Methods 6 Journal of Statistical Computation and Simulation 6 SIAM Review 6 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering 6 Electronic Journal of Probability ...and 347 more Serials all top 5 Cited in 52 Fields 2,019 Probability theory and stochastic processes (60-XX) 1,456 Numerical analysis (65-XX) 632 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 455 Ordinary differential equations (34-XX) 352 Statistics (62-XX) 298 Partial differential equations (35-XX) 288 Biology and other natural sciences (92-XX) 229 Systems theory; control (93-XX) 141 Dynamical systems and ergodic theory (37-XX) 136 Statistical mechanics, structure of matter (82-XX) 119 Fluid mechanics (76-XX) 57 Integral equations (45-XX) 56 Operations research, mathematical programming (90-XX) 53 Computer science (68-XX) 52 Calculus of variations and optimal control; optimization (49-XX) 42 Mechanics of deformable solids (74-XX) 36 Quantum theory (81-XX) 34 Approximations and expansions (41-XX) 33 Geophysics (86-XX) 31 Mechanics of particles and systems (70-XX) 23 Real functions (26-XX) 21 Difference and functional equations (39-XX) 20 Operator theory (47-XX) 16 Information and communication theory, circuits (94-XX) 13 Harmonic analysis on Euclidean spaces (42-XX) 13 Classical thermodynamics, heat transfer (80-XX) 12 Functional analysis (46-XX) 12 Global analysis, analysis on manifolds (58-XX) 7 Combinatorics (05-XX) 7 Special functions (33-XX) 6 Optics, electromagnetic theory (78-XX) 4 History and biography (01-XX) 4 Differential geometry (53-XX) 3 Nonassociative rings and algebras (17-XX) 3 Topological groups, Lie groups (22-XX) 3 Functions of a complex variable (30-XX) 3 Integral transforms, operational calculus (44-XX) 3 Convex and discrete geometry (52-XX) 3 Relativity and gravitational theory (83-XX) 2 General and overarching topics; collections (00-XX) 2 Mathematical logic and foundations (03-XX) 2 Number theory (11-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Associative rings and algebras (16-XX) 2 Measure and integration (28-XX) 2 Potential theory (31-XX) 2 Astronomy and astrophysics (85-XX) 1 Sequences, series, summability (40-XX) 1 General topology (54-XX) 1 Algebraic topology (55-XX) 1 Manifolds and cell complexes (57-XX) 1 Mathematics education (97-XX) Citations by Year