18 citations · 65 across the 31 of their papers we have counts for
34 papers
Free Lunches with Vanishing Risks Most Likely Exist
Eckhard Platen, Kevin Fergusson
The hypothesis that there do not exist free lunches with vanishing risk (FLVRs) in the real market underpins the popular risk-neutral pricing and hedging methodology in quantitativ…
Information-minimizing stationary financial market dynamics
Eckhard Platen
The paper derives the dynamics of a financial market from basic mathematical principles. It models the market dynamics using independent stationary scalar diffusions, assumes the e…
Benchmark-Neutral Risk-Minimization for insurance products and nonreplicable claims
Michael Schmutz, Eckhard Platen, Thorsten Schmidt
In this paper we study the pricing and hedging of nonreplicable contingent claims, such as long-term insurance contracts like variable annuities. Our approach is based on the bench…
Pricing under the Benchmark Approach
Eckhard Platen
The paper summarizes key results of the benchmark approach with a focus on the concept of benchmark-neutral pricing. It applies these results to the pricing of an extreme-maturity…
Real-world models for multiple term structures: a unifying HJM semimartingale framework
Claudio Fontana, Eckhard Platen, Stefan Tappe
We develop a unified framework for modeling multiple term structures arising in financial, insurance, and energy markets, adopting an extended Heath-Jarrow-Morton (HJM) approach un…
Benchmark-Neutral Pricing
Eckhard Platen
The paper introduces benchmark-neutral pricing and hedging for long-term contingent claims. It employs the growth optimal portfolio of the stocks as numeraire and the new benchmark…