A minimal financial market model

By Eckhard Platen. 2001

90 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/d7e9dbe4539f2dbd162945eb11b4706374ed8b68

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Citations in the corpus

Arbitrage in continuous complete markets (2002, background): “The minimal market model proposed by Platen (2001) provides typical examples for such situations.”
Diversified Portfolios with Jumps in a Benchmark Framework (2004, background): “As shown in Platen (2001, 2002) , Heath & Platen (2002, 2003) and Breymann, Kelly & Platen (2004) the extra freedom gained is crucial for establishing classes of parsimonious flnancial market models that appear to work well in practice.”
No Arbitrage and the Growth Optimal Portfolio (2007, background): “This situation has been encountered in the benchmark framework, see [29] and [8], and the phenomenon is also present in the articles on diversity, see [30] and [11].”
Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices (2007, methodology): “One possible explanation of the above documented facts is given by the Minimal Market Model (MMM) introduced in Platen (2001) and further described in Platen & Heath (2006).”
A Benchmark Approach to Quantitative Finance (2006, methodology): “A Benchmark Approach to Quantitative Finance Eckhard Platen School of Finance and Economics and Department of Mathematical Sciences University of Technology, Sydney Lit: Platen, E. & Heath, D.: A Benchmark Approach to Quantitative Finance Springer Finance, 700 pp., 199 illus., Hardcover, ISBN-10 3-5”
A BENCHMARK APPROACH TO FINANCE (2006, unknown): “The resulting model for the GOP when interpreted as market portfolio is called the minimal market model (MMM), see Platen (2001) , which has been studied, for instance, in Platen (2002, 2004b) and Heath & Platen (2004).”
On the Distributional Characterization of Daily Log‐Returns of a World Stock Index (2006, methodology): “This is also the log-return density of the minimal market model derived in Platen (2001, 2002, 2004b), which we derive in the final section.”