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; 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 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; 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; 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
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