Baldeaux, Jan; Fung, Man Chung; Ignatieva, Katja; Platen, Eckhard A hybrid model for pricing and hedging of long-dated bonds. (English) Zbl 1396.91777 Appl. Math. Finance 22, No. 3-4, 366-398 (2015). MSC: 91G30 91G10 91G20 PDF BibTeX XML Cite \textit{J. Baldeaux} et al., Appl. Math. Finance 22, No. 3--4, 366--398 (2015; Zbl 1396.91777) Full Text: DOI
Baldeaux, Jan; Platen, Eckhard Credit derivative evaluation and CVA under the benchmark approach. (English) Zbl 1368.91178 Asia-Pac. Financ. Mark. 22, No. 3, 305-331 (2015). MSC: 91G40 PDF BibTeX XML Cite \textit{J. Baldeaux} and \textit{E. Platen}, Asia-Pac. Financ. Mark. 22, No. 3, 305--331 (2015; Zbl 1368.91178) Full Text: DOI
Baldeaux, Jan; Badran, Alexander Consistent modelling of VIX and equity derivatives using a \(3/2\) plus jumps model. (English) Zbl 1395.91429 Appl. Math. Finance 21, No. 3-4, 299-312 (2014). MSC: 91G20 60J75 PDF BibTeX XML Cite \textit{J. Baldeaux} and \textit{A. Badran}, Appl. Math. Finance 21, No. 3--4, 299--312 (2014; Zbl 1395.91429) Full Text: DOI
Baldeaux, Jan; Gnewuch, Michael Optimal randomized multilevel algorithms for infinite-dimensional integration on function spaces with ANOVA-type decomposition. (English) Zbl 1318.65002 SIAM J. Numer. Anal. 52, No. 3, 1128-1155 (2014). MSC: 65C05 65D32 41A55 41A63 11K38 PDF BibTeX XML Cite \textit{J. Baldeaux} and \textit{M. Gnewuch}, SIAM J. Numer. Anal. 52, No. 3, 1128--1155 (2014; Zbl 1318.65002) Full Text: DOI arXiv
Baldeaux, Jan; Ignatieva, Katja; Platen, Eckhard A tractable model for indices approximating the growth optimal portfolio. (English) Zbl 1283.91198 Stud. Nonlinear Dyn. Econom. 18, No. 1, 1-21 (2014). MSC: 91G70 91G10 62G07 91G20 PDF BibTeX XML Cite \textit{J. Baldeaux} et al., Stud. Nonlinear Dyn. Econom. 18, No. 1, 1--21 (2014; Zbl 1283.91198) Full Text: DOI
Baldeaux, Jan; Platen, Eckhard Computing functionals of square root and Wishart processes under the benchmark approach via exact simulation. (English) Zbl 1308.91183 Dick, Josef (ed.) et al., Monte Carlo and quasi-Monte Carlo methods 2012. Proceedings of the 10th international conference on ‘Monte Carlo and quasi-Monte Carlo methods in scientific computing’, Sydney, Australia, February 13–17, 2012. Berlin: Springer (ISBN 978-3-642-41094-9/hbk; 978-3-642-41095-6/ebook). Springer Proceedings in Mathematics & Statistics 65, 3-22 (2013). Reviewer: Paweł Kliber (Poznan) MSC: 91G60 91G20 65C05 60J70 PDF BibTeX XML Cite \textit{J. Baldeaux} and \textit{E. Platen}, in: Monte Carlo and quasi-Monte Carlo methods 2012. Proceedings of the 10th international conference on `Monte Carlo and quasi-Monte Carlo methods in scientific computing', Sydney, Australia, February 13--17, 2012. Berlin: Springer. 3--22 (2013; Zbl 1308.91183) Full Text: DOI
Baldeaux, Jan; Platen, Eckhard Functionals of multidimensional diffusions with applications to finance. (English) Zbl 1401.60001 Bocconi & Springer Series 5. Cham: Springer; Milano: Bocconi University Press (ISBN 978-3-319-00746-5/hbk; 978-3-319-00747-2/ebook). xxiii, 425 p. (2013). Reviewer: Johannes Muhle-Karbe (Pittsburgh) MSC: 60-01 60J60 60J70 91Gxx PDF BibTeX XML Cite \textit{J. Baldeaux} and \textit{E. Platen}, Functionals of multidimensional diffusions with applications to finance. Cham: Springer; Milano: Bocconi University Press (2013; Zbl 1401.60001) Full Text: DOI
Baldeaux, Jan Scrambled polynomial lattice rules for infinite-dimensional integration. (English) Zbl 1271.65043 Plaskota, Leszek (ed.) et al., Monte Carlo and quasi-Monte Carlo methods 2010. Selected papers based on the presentations at the 9th international conference on Monte Carlo and quasi Monte Carlo in scientific computing (MCQMC 2010), Warsaw, Poland, August 15–20, 2010. Berlin: Springer (ISBN 978-3-642-27439-8/hbk; 978-3-642-27440-4/ebook). Springer Proceedings in Mathematics & Statistics 23, 255-263 (2012). MSC: 65D32 41A55 41A63 PDF BibTeX XML Cite \textit{J. Baldeaux}, in: Monte Carlo and quasi-Monte Carlo methods 2010. Selected papers based on the presentations at the 9th international conference on Monte Carlo and quasi Monte Carlo in scientific computing (MCQMC 2010), Warsaw, Poland, August 15--20, 2010. Berlin: Springer. 255--263 (2012; Zbl 1271.65043) Full Text: DOI arXiv
Baldeaux, Jan Exact simulation of the 3/2 model. (English) Zbl 1262.91114 Int. J. Theor. Appl. Finance 15, No. 5, Article ID 1250032, 13 p. (2012). MSC: 91B70 91G60 PDF BibTeX XML Cite \textit{J. Baldeaux}, Int. J. Theor. Appl. Finance 15, No. 5, Article ID 1250032, 13 p. (2012; Zbl 1262.91114) Full Text: DOI
Baldeaux, Jan; Dick, Josef; Leobacher, Gunther; Nuyens, Dirk; Pillichshammer, Friedrich Efficient calculation of the worst-case error and (fast) component-by-component construction of higher order polynomial lattice rules. (English) Zbl 1244.65002 Numer. Algorithms 59, No. 3, 403-431 (2012). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 65C05 11K36 11K45 PDF BibTeX XML Cite \textit{J. Baldeaux} et al., Numer. Algorithms 59, No. 3, 403--431 (2012; Zbl 1244.65002) Full Text: DOI arXiv
Baldeaux, Jan; Dick, Josef A construction of polynomial lattice rules with small gain coefficients. (English) Zbl 1298.65010 Numer. Math. 119, No. 2, 271-297 (2011). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 65C05 65C10 65D30 11K31 11K36 11K45 PDF BibTeX XML Cite \textit{J. Baldeaux} and \textit{J. Dick}, Numer. Math. 119, No. 2, 271--297 (2011; Zbl 1298.65010) Full Text: DOI arXiv
Baldeaux, Jan; Dick, Josef; Greslehner, Julia; Pillichshammer, Friedrich Construction algorithms for higher order polynomial lattice rules. (English) Zbl 1218.65003 J. Complexity 27, No. 3-4, 281-299 (2011). MSC: 65D30 11K45 65C05 PDF BibTeX XML Cite \textit{J. Baldeaux} et al., J. Complexity 27, No. 3--4, 281--299 (2011; Zbl 1218.65003) Full Text: DOI
Baldeaux, Jan; Dick, Josef; Pillichshammer, Friedrich Duality theory and propagation rules for higher order nets. (English) Zbl 1229.11103 Discrete Math. 311, No. 5, 362-386 (2011). Reviewer: Huaning Liu (Shaanxi) MSC: 11K45 11K36 PDF BibTeX XML Cite \textit{J. Baldeaux} et al., Discrete Math. 311, No. 5, 362--386 (2011; Zbl 1229.11103) Full Text: DOI
Baldeaux, Jan; Chan, Leung Lung; Platen, Eckhard Quasi-Monte Carlo methods for derivatives on realised variance of an index under the benchmark approach. (English) Zbl 1386.91157 ANZIAM J. 52C, Proc. 2010, C727-C741 (2010). MSC: 91G60 65C05 91G20 PDF BibTeX XML Cite \textit{J. Baldeaux} et al., ANZIAM J. 52C, C727--C741 (2010; Zbl 1386.91157) Full Text: DOI
Baldeaux, Jan; Dick, Josef; Pillichshammer, Friedrich A characterization of higher order nets using Weyl sums and its applications. (English) Zbl 1249.11071 Unif. Distrib. Theory 5, No. 1, 133-155 (2010). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 11K31 11K38 11L15 PDF BibTeX XML Cite \textit{J. Baldeaux} et al., Unif. Distrib. Theory 5, No. 1, 133--155 (2010; Zbl 1249.11071)
Baldeaux, Jan; Rutkowski, Marek Static replication of forward-start claims and realized variance swaps. (English) Zbl 1229.91297 Appl. Math. Finance 17, No. 1-2, 99-131 (2010). MSC: 91G20 PDF BibTeX XML Cite \textit{J. Baldeaux} and \textit{M. Rutkowski}, Appl. Math. Finance 17, No. 1--2, 99--131 (2010; Zbl 1229.91297) Full Text: DOI
Baldeaux, Jan Quasi-Monte Carlo for finance beyond Black-Scholes. (English) Zbl 1360.91149 ANZIAM J. 50C(2008-2009), Proc. 2008, C884-C897 (2009). MSC: 91G60 65C05 91G20 PDF BibTeX XML Cite \textit{J. Baldeaux}, ANZIAM J. 50C, C884--C897 (2009; Zbl 1360.91149) Full Text: DOI
Dick, Josef; Baldeaux, Jan Equidistribution properties of generalized nets and sequences. (English) Zbl 1228.65007 L’Ecuyer, Pierre (ed.) et al., Monte Carlo and quasi-Monte Carlo methods 2008. Proceedings of the 8th international conference Monte Carlo and quasi-Monte Carlo methods in scientific computing, Montréal, Canada, July 6–11, 2008. Berlin: Springer (ISBN 978-3-642-04106-8/hbk). 305-322 (2009). MSC: 65C05 11K45 65D30 PDF BibTeX XML Cite \textit{J. Dick} and \textit{J. Baldeaux}, in: Monte Carlo and quasi-Monte Carlo methods 2008. Proceedings of the 8th international conference Monte Carlo and quasi-Monte Carlo methods in scientific computing, Montréal, Canada, July 6--11, 2008. Berlin: Springer. 305--322 (2009; Zbl 1228.65007) Full Text: DOI
Baldeaux, Jan; Dick, Josef QMC rules of arbitrary high order: Reproducing kernel Hilbert space approach. (English) Zbl 1186.65005 Constr. Approx. 30, No. 3, 495-527 (2009). Reviewer: Serghey G. Suvorov (Donetsk) MSC: 65C05 11K38 11K45 46E22 65D32 PDF BibTeX XML Cite \textit{J. Baldeaux} and \textit{J. Dick}, Constr. Approx. 30, No. 3, 495--527 (2009; Zbl 1186.65005) Full Text: DOI
Baldeaux, Jan; Dick, Josef; Kritzer, Peter On the approximation of smooth functions using generalized digital nets. (English) Zbl 1182.65024 J. Complexity 25, No. 6, 544-567 (2009). Reviewer: Francisco Pérez Acosta (La Laguna) MSC: 65D15 PDF BibTeX XML Cite \textit{J. Baldeaux} et al., J. Complexity 25, No. 6, 544--567 (2009; Zbl 1182.65024) Full Text: DOI
Baldeaux, Jan Quasi-Monte Carlo methods for the Kou model. (English) Zbl 1151.91476 Monte Carlo Methods Appl. 14, No. 4, 281-302 (2008). MSC: 91G60 65C05 PDF BibTeX XML Cite \textit{J. Baldeaux}, Monte Carlo Methods Appl. 14, No. 4, 281--302 (2008; Zbl 1151.91476) Full Text: DOI