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; 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