18 citations · 65 across the 31 of their papers we have counts for
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q-fin.MF2024
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…
q-fin.MF2024
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…
math.GM2024★ 1 cited
Entropy-Maximizing Dynamics of Continuous Markets
Eckhard Platen
By assuming the existence of the growth optimal portfolio (GOP), the stationarity of GOP-volatilities, and the maximization of relative entropy, the paper applies the benchmark app…