EconPapers    
Economics at your fingertips  
 

Details about Jan Baldeaux

Homepage:http://datasearch.uts.edu.au/business/staff/finance/details.cfm?StaffId=10727
Workplace:Finance Discipline Group, Business School, University of Technology Sydney, (more information at EDIRC)
Quantitative Finance Research Centre, Finance Discipline Group, Business School, University of Technology Sydney, (more information at EDIRC)

Access statistics for papers by Jan Baldeaux.

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

Short-id: pba957


Jump to Journal Articles

Working Papers

2013

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

2012

  1. A Tractable Model for Indices Approximating the Growth Optimal Portfolio
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (6)
  2. Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods
    Papers, arXiv.org Downloads
  3. 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 Downloads View citations (3)
    Also in Papers, arXiv.org (2012) Downloads View citations (17)
  4. 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 Downloads
  5. Quasi-Monte Carlo methods for the Heston model
    Papers, arXiv.org Downloads View citations (5)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2012) Downloads View citations (1)

2011

  1. Exact Simulation of the 3/2 Model
    Papers, arXiv.org Downloads 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 Downloads View citations (4)
 
Page updated 2024-06-15