A BENCHMARK APPROACH TO FINANCE

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A Benchmark Approach to Quantitative Finance (2006, background): “• Law of the Minimal Price Pl. (2008) Fair prices are minimal prices V nonnegative fair portfolio V ′ nonnegative portfolio VT = V ′ T supermartingale property =⇒ Vt ≤ V ′ t t ∈ [0, T ], c © Copyright Eckhard Platen 10 BA - Toronto C 7 232”
On the Distributional Characterization of Daily Log‐Returns of a World Stock Index (2006, methodology): “Finally, the fifth section derives the minimal market model (Platen, 2002, 2004b), which potentially explains the Student t property of log-returns.”
The numéraire portfolio in semimartingale financial models (2007, background): “Some authors give the numéraire portfolio other names as growth optimal and benchmark (see for example Platen [35] who uses the “numéraire” property as an approach to derivatives pricing, portfolio optimization, etc.).”