Jan Baldeaux

Available identifiers

zbMath Open baldeaux.janMaRDI QIDQ544119

List of research outcomes

Publication	Date of Publication	Type
A Hybrid Model for Pricing and Hedging of Long-dated Bonds	2018-09-18	Paper
Consistent modelling of VIX and equity derivatives using a \(3/2\) plus jumps model	2018-09-11	Paper
Quasi-Monte Carlo methods for derivatives on realised variance of an index under the benchmark approach	2018-05-08	Paper
Credit derivative evaluation and CVA under the benchmark approach	2017-08-17	Paper
Quasi-Monte Carlo for finance beyond Black-Scholes	2017-04-12	Paper
Optimal randomized multilevel algorithms for infinite-dimensional integration on function spaces with ANOVA-type decomposition	2015-06-09	Paper
Computing functionals of square root and Wishart processes under the benchmark approach via exact simulation	2014-10-31	Paper
A tractable model for indices approximating the growth optimal portfolio	2014-03-21	Paper
Scrambled polynomial lattice rules for infinite-dimensional integration	2013-07-31	Paper
Functionals of multidimensional diffusions with applications to finance	2013-06-13	Paper
Exact simulation of the 3/2 model	2012-10-15	Paper
Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods	2012-04-05	Paper
Efficient calculation of the worst-case error and (fast) component-by-component construction of higher order polynomial lattice rules	2012-03-02	Paper
A construction of polynomial lattice rules with small gain coefficients	2011-11-07	Paper
Construction algorithms for higher order polynomial lattice rules	2011-06-14	Paper
A characterization of higher order nets using Weyl sums and its applications	2011-03-18	Paper
Duality theory and propagation rules for higher order nets	2011-02-18	Paper
Static Replication of Forward-Start Claims and Realized Variance Swaps	2010-05-27	Paper
Equidistribution properties of generalized nets and sequences	2010-02-15	Paper
QMC rules of arbitrary high order: Reproducing kernel Hilbert space approach	2010-01-15	Paper
On the approximation of smooth functions using generalized digital nets	2010-01-12	Paper
Quasi-Monte Carlo methods for the Kou model	2009-01-09	Paper

Research outcomes over time

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