A Benchmark Approach to Quantitative Finance

By Eckhard Platen, D. Heath. 2006

399 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/53a4fa175129d8a8ca90daa4d35ce21920300829

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

Citations in the corpus

Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing (2009, neutral): “Major examples include the benchmark approach in financial modeling of [24], as well as the emergence of stochastic portfolio theory [10], a descriptive theory of financial markets.”
Modeling exchange rate dependence dynamics at different time horizons (2010, methodology): “Further support for the t-based models is to be found in Breymann et al. (2003), Daul et al. (2003), Demarta and McNeil (2005), Rosenberg and Schuermann (2006), Pesaran et al. (2004) and Platen and Heath (2006).”
HEDGING UNDER ARBITRAGE (2010, neutral): “Equation (4.1) has appeared as the “real-world pricing formula” in the BA; compare Platen and Heath (2006), Equation (9.1.30).”
A stochastic volatility model and optimal portfolio selection (2013, positive): “The existence and uniqueness of a strong solution to (1) with coefficients given by (2) can be shown by the Yamada and Watanabe condition (see Kraft 2005, Karatzas and Shreve 2000 or Platen and Heath 2006).”
On the martingale property of certain local martingales (2009, background): “From this viewpoint stochastic portfolio theory resembles the benchmark approach in finance (see Platen and Heath [46]).”
Analysis of continuous strict local martingales via h-transforms (2007, background): “ively by several authors when the candidate Radon-Nikod´ym derivative for the risk-neutral measure turns out to be a strict local martingale. This is the spirit taken in Platen [31], Platen and Heath [32], Fernholz and Karatzas 23 [12], Fernholz, Karatzas, and Kardaras [13], and Karatzas and Kardara”
Approximating the numéraire portfolio by naive diversification (2010, methodology): “This does not mean that they have to be martingales, see Platen and Heath (2006) for details on this issue.”