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EM/ProfEckhard Platen

Emeritus Professor

School of Mathematical and Physical Sciences

Orcid identifier0000-0003-4595-3123 (opens in a new tab)⁠
  • Emeritus Professor
    School of Mathematical and Physical Sciences
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FUNDED RESEARCH

Numerical Methods in Finance; Financial Market Modelling; Asset Pricing Theory; Estimation of Discretely Observed Financial Markets; Stochastic Differential Equations; Portfolio Optimization; Pensions.

Media Keywords: Financial market modelling, derivative pricing, stochastic processes, numerical analysis, risk management

FUNDED RESEARCH

  • SCHOLARSHIP
    Retirement Income Policies and Products
    Commonwealth Scientific and Industrial Research Organisation21 Mar 2016 - 30 Mar 2020
    People funded by this grant:
    • Platen E,
    • Sun J
    Commonwealth Scientific & Industrial Research Organisation
  • GRANT
    A New Theoretical Approach to Pension Fund Economics, Asset Management and Insurance - DP130104074
    Australian Research Council1 Jan 2013 - 30 Sep 2016
    People funded by this grant:
    ARC Discovery Projects - (DP130104074) quantitative finance,funding annuities,pension-fund economics
  • GRANT
    New Valuation and Parallel Simulation Methods for Finance and Insurance
    Australian Research Council1 Jan 2010 - 31 Dec 2014
    People funded by this grant:
    • Platen E
    ARC Discovery Projects - (DP1092933) parallel Monte Carlo simulation; valuation and risk measurement; superannuation; insurance; benchmark approach; variance reduction
  • GRANT
    Pricing and Hedging Extreme Maturity Contracts
    Australian Research Council1 Feb 2008 - 30 Jun 2012
    People funded by this grant:
    ARC Discovery Projects - (DP0878155) extreme maturity contracts, superannuation, benchmark approach, capital guaranteed investment, growth optimal portfolio, derivative pricing and hedging,
  • GRANT
    Large-Scale Simulation Methods for Measuring Financial Performance under the Benchmark Approach
    Australian Research Council1 Feb 2007 - 31 Mar 2010
    People funded by this grant:
    • Platen E
    ARC Discovery Projects - (DP0771882) Simulation methods, Financial performance measurement, Dynamic financial analysis, Optimal investment, Benchmark approach, Stochastic differential equations,
  • GRANT
    Monte Carlo Simulation in Finance: Meeting it's Challenging Real-Time Requirements
    University of Technology Sydney1 Jan 2007 - 31 Dec 2008
    People funded by this grant:
    UTS Challenge Grants 2007 - (UTSCG07)
  • GRANT
    Risk Measurement for Large Portfolios under the Benchmark Approach
    Australian Research Council1 Feb 2006 - 1 Aug 2010
    People funded by this grant:
    • Platen E,
    • Pope A,
    • Lennox K
    ARC Linkage Projects - (LP0562470R2) Integrated risk management, Financial market modeling, Large portfolios, Financial mathematics, Benchmark approach, Stochastic differential equations,
  • GRANT
    Risk Measurement for Large Portfolios under the Benchmark Approach (opens in a new tab)⁠
    Australian Research Council1 Feb 2006 - 1 Aug 2009
    People funded by this grant:
    • Platen E,
    • Pope A
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  • GRANT
    Financial Integrity Research Network (FIRN)
    Australian Research Council12 Aug 2005 - 31 Dec 2009
    People funded by this grant:
    ARC Research Networks commencing in 2004 - (RN0460246) Financial system, Corporate governance, Financial markets, Financial and insurance risk management, Funds management, Financial mathematics and statistics,
  • GRANT
    A New Integrated Approach to Managing Risk in Financial Markets
    Australian Research Council10 Feb 2005 - 30 Aug 2008
    People funded by this grant:
    ARC Discovery Projects - (DP0559879) Integrated risk management, Financial mathematics, Financial market modelling, Incomplete markets, Long term derivative pricing, Stochastic differential equations,
  • GRANT
    A New Approach to Managing Risk in Financial Markets
    University of Technology Sydney1 Jan 2004 - 31 Dec 2005
    People funded by this grant:
    UTS Incentive Research Grants starting pre 2001 - (UTSINCENT) Risk management Stochastic differential equations Incomplete markets Valuation Hedging Calibration
  • GRANT
    Financial Integrity Research Network (FIRN) - Seed Funding
    Australian Research Council11 Dec 2003 - 31 Dec 2004
    People funded by this grant:
    • Walter T
    ARC Special Research Initiatives Seed Funding for Research Networks for projects starting 2003 - (SR0354895) Financial Risk Management, Finance Research, Finance Research Services, Financial Mathematics and Statistics, Actuarial and Insurance Research, Financial Econometrics,
  • GRANT
    Approximation and Simulation of Large Diversified Portfolios
    Australian Research Council23 Jan 2003 - 30 Jun 2008
    People funded by this grant:
    • Platen E
    ARC Discovery Projects - (DP0343913) Risk measurement Diversified portfolios Stochastic differential equations Simulation Value at risk Credit risk
  • GRANT
    Risk Measurement for Large Diversified Nonlinear Portfolios
    Australian Research Council1 Jan 2001 - 31 Dec 2003
    People funded by this grant:
    • Fergusson K
    ARC SPIRT (Strategic Partnerships with Industry Re - (C00106667) Risk measurement; Simulation; Large portfolios; Value at risk; Stochastic differential equations; Derivatives
  • GRANT
    A new Class of Credit Risk Models
    Australian Research Council1 Jan 2000 - 31 Dec 2002
    People funded by this grant:
    • null
    ARC Large Grant - (A10010002)
  • GRANT
    Asset price dynamics under stochastic volatility
    Australian Research Council1 Jan 1999 - 31 Dec 2001
    People funded by this grant:
    • Platen E
    ARC Large Grant - (A79920004)
  • GRANT
    Quantitative finance research group
    University of Technology Sydney1 Jul 1998 - 30 Jun 2002
    People funded by this grant:
    • Hall A,
    • Chiarella C,
    • Kearney C,
    • Platen E
    Key University Research Strengths - (UTSKURS)
  • GRANT
    Dynamic Asset Pricing and Portfolio Management
    University of Technology Sydney1 Jan 1998 - 31 Dec 1999
    People funded by this grant:
    • Bhar R
    Faculty/Unit Designated Research Strengths - (UTSFURS)
  • GRANT
    Laplace transform methods in quantitative finance
    University of Technology Sydney1 Jan 1998 - 31 Dec 1998
    People funded by this grant:
    • Platen E
    UTS Internal Research Grant - Small - (UTSIRG)