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; 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; 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