Jan Baldeaux

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
A Hybrid Model for Pricing and Hedging of Long-dated Bonds Applied Mathematical Finance	2018-09-18	Paper
Consistent modelling of VIX and equity derivatives using a \(3/2\) plus jumps model Applied Mathematical Finance	2018-09-11	Paper
Quasi-Monte Carlo methods for derivatives on realised variance of an index under the benchmark approach ANZIAM Journal	2018-05-08	Paper
Credit derivative evaluation and CVA under the benchmark approach Asia-Pacific Financial Markets	2017-08-17	Paper
Quasi-Monte Carlo for finance beyond Black-Scholes ANZIAM Journal	2017-04-12	Paper
Optimal randomized multilevel algorithms for infinite-dimensional integration on function spaces with ANOVA-type decomposition SIAM Journal on Numerical Analysis	2015-06-09	Paper
Computing functionals of square root and Wishart processes under the benchmark approach via exact simulation Springer Proceedings in Mathematics & Statistics	2014-10-31	Paper
A tractable model for indices approximating the growth optimal portfolio Studies in Nonlinear Dynamics & Econometrics	2014-03-21	Paper
Scrambled polynomial lattice rules for infinite-dimensional integration Springer Proceedings in Mathematics & Statistics	2013-07-31	Paper
Functionals of multidimensional diffusions with applications to finance Bocconi & Springer Series	2013-06-13	Paper
Exact simulation of the 3/2 model International Journal of Theoretical and Applied Finance	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 Numerical Algorithms	2012-03-02	Paper
Efficient calculation of the worst-case error and (fast) component-by-component construction of higher order polynomial lattice rules Numerical Algorithms	2012-03-02	Paper
A construction of polynomial lattice rules with small gain coefficients Numerische Mathematik	2011-11-07	Paper
Construction algorithms for higher order polynomial lattice rules Journal of Complexity	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 Discrete Mathematics	2011-02-18	Paper
Static Replication of Forward-Start Claims and Realized Variance Swaps Applied Mathematical Finance	2010-05-27	Paper
Equidistribution properties of generalized nets and sequences Monte Carlo and Quasi-Monte Carlo Methods 2008	2010-02-15	Paper
QMC rules of arbitrary high order: Reproducing kernel Hilbert space approach Constructive Approximation	2010-01-15	Paper
On the approximation of smooth functions using generalized digital nets Journal of Complexity	2010-01-12	Paper
Quasi-Monte Carlo methods for the Kou model Monte Carlo Methods and Applications	2009-01-09	Paper

Research outcomes over time

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