Eckhard Platen

Learn More
This paper proposes a consistent approach to the pricing of weather derivatives. Since weather derivatives are traded in an incomplete market setting, standard hedging based pricing methods cannot be applied. The growth optimal portfolio, which is interpreted as a world stock index, is used as a benchmark or numeraire such that all benchmarked derivative(More)
This paper introduces a new estimation technique for discretely observed diffusion processes. Transform functions are applied to transform the data to obtain good and easily calculated estimators of both the drift and diffusion coefficients. Consistency and asymptotic normality of the resulting estimators is investigated. Power transforms are used to(More)
The paper describes a general framework for contingent claim valuation for finance, insurance and general risk management. It considers security prices and portfolios with finite expected returns, where the growth optimal portfolio is taken as numeraire or benchmark. Benchmarked nonnegative wealth processes are shown to be supermartingales. Fair benchmarked(More)
Abstract. This paper studies the application of exact simulation methods for multi-dimensional multiplicative noise stochastic differential equations to filtering. Stochastic differential equations with multiplicative noise naturally occur as Zakai equation in hidden Markov chain filtering. The paper proposes a quasi-exact approximation method for hidden(More)