Details about Jan Baldeaux

Access statistics for papers by Jan Baldeaux.

Last updated 2013-06-27. Update your information in the RePEc Author Service.

Short-id: pba957

Working Papers

2013

1. Credit Derivative Evaluation and CVA under the Benchmark Approach
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
2. Liability Driven Investments under a Benchmark Based Approach
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)

2012

3. A Tractable Model for Indices Approximating the Growth Optimal Portfolio
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (6)
4. Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods
   Papers, arXiv.org
5. Consistent Modeling of VIX and Equity Derivatives Using a 3/2 Plus Jumps Model
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (3)
   Also in Papers, arXiv.org (2012) View citations (17)
6. Optimal Randomized Multilevel Algorithms for Infinite-Dimensional Integration on Function Spaces with ANOVA-Type Decomposition
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
7. Quasi-Monte Carlo methods for the Heston model
   Papers, arXiv.org View citations (5)
   Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2012) View citations (1)

2011

8. Exact Simulation of the 3/2 Model
   Papers, arXiv.org View citations (10)

Journal Articles

2010

1. Static Replication of Forward-Start Claims and Realized Variance Swaps
   Applied Mathematical Finance, 2010, 17, (2), 99-131 View citations (4)