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1

Pricing currency derivatives under the benchmark approach

Baldeaux, Jan, Grasselli, Martino, Platen, Eckhard

Journal:

Journal of Banking & Finance

Year:

2015

Language:

english

File:

PDF, 681 KB

english, 2015

2

Static Replication of Forward-Start Claims and Realized Variance Swaps

Baldeaux, Jan, Rutkowski, Marek

Journal:

Applied Mathematical Finance

Year:

2010

Language:

english

File:

PDF, 267 KB

english, 2010

3

Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model

Baldeaux, Jan, Badran, Alexander

Journal:

Applied Mathematical Finance

Year:

2014

Language:

english

File:

PDF, 281 KB

english, 2014

4

EXACT SIMULATION OF THE 3/2 MODEL

Journal:

International Journal of Theoretical and Applied Finance

Year:

2012

Language:

english

File:

PDF, 184 KB

english, 2012

5

Quasi-Monte Carlo methods for the Kou model

Journal:

Monte Carlo Methods and Applications

Year:

2008

Language:

english

File:

PDF, 234 KB

english, 2008

6

A Hybrid Model for Pricing and Hedging of Long-dated Bonds

Baldeaux, Jan, Fung, Man Chung, Ignatieva, Katja, Platen, Eckhard

Journal:

Applied Mathematical Finance

Year:

2015

Language:

english

File:

PDF, 1.40 MB

english, 2015

7

On the approximation of smooth functions using generalized digital nets

Jan Baldeaux, Josef Dick, Peter Kritzer

Journal:

Journal of Complexity

Year:

2009

Language:

english

File:

PDF, 1.60 MB

english, 2009

8

Construction algorithms for higher order polynomial lattice rules

Jan Baldeaux, Josef Dick, Julia Greslehner, Friedrich Pillichshammer

Journal:

Journal of Complexity

Year:

2011

Language:

english

File:

PDF, 331 KB

english, 2011

9

A construction of polynomial lattice rules with small gain coefficients

Jan Baldeaux, Josef Dick

Journal:

Numerische Mathematik

Year:

2011

Language:

english

File:

PDF, 328 KB

english, 2011

10

QMC Rules of Arbitrary High Order: Reproducing Kernel Hilbert Space Approach

Jan Baldeaux, Josef Dick

Journal:

Constructive Approximation

Year:

2009

Language:

english

File:

PDF, 846 KB

english, 2009

11

Efficient calculation of the worst-case error and (fast) component-by-component construction of higher order polynomial lattice rules

Jan Baldeaux, Josef Dick, Gunther Leobacher, Dirk Nuyens, Friedrich Pillichshammer

Journal:

Numerical Algorithms

Year:

2012

Language:

english

File:

PDF, 696 KB

english, 2012

12

Duality theory and propagation rules for higher order nets

Jan Baldeaux, Josef Dick, Friedrich Pillichshammer

Journal:

Discrete Mathematics

Year:

2011

Language:

english

File:

PDF, 410 KB

english, 2011

13

[Bocconi & Springer Series] Functionals of Multidimensional Diffusions with Applications to Finance Volume 5 || Lie Symmetry Group Methods

Baldeaux, Jan, Platen, Eckhard

Year:

2013

Language:

english

File:

PDF, 415 KB

english, 2013

14

[Bocconi & Springer Series] Functionals of Multidimensional Diffusions with Applications to Finance Volume 5 ||

Baldeaux, Jan, Platen, Eckhard

Year:

2013

Language:

english

File:

PDF, 5.38 MB

english, 2013

15

Optimal Randomized Multilevel Algorithms for Infinite-Dimensional Integration on Function Spaces with ANOVA-Type Decomposition

Baldeaux, Jan, Gnewuch, Michael

Journal:

SIAM Journal on Numerical Analysis

Year:

2014

Language:

english

File:

PDF, 336 KB

english, 2014

16

Credit Derivative Evaluation and CVA Under the Benchmark Approach

Baldeaux, Jan, Platen, Eckhard

Journal:

Asia-Pacific Financial Markets

Year:

2015

Language:

english

File:

PDF, 338 KB

english, 2015

17

[Bocconi & Springer Series] Functionals of Multidimensional Diffusions with Applications to Finance Volume 5 || Functionals of Wiener Processes

Baldeaux, Jan, Platen, Eckhard

Year:

2013

Language:

english

File:

PDF, 1.14 MB

english, 2013

18

A tractable model for indices approximating the growth optimal portfolio

Baldeaux, Jan, Ignatieva, Katja, Platen, Eckhard

Journal:

Studies in Nonlinear Dynamics and Econometrics

Year:

2014

Language:

english

File:

PDF, 4.03 MB

english, 2014

19

Detecting Money Market Bubbles

Baldeaux, Jan, Ignatieva, Katja, Platen, Eckhard

Journal:

Journal of Banking & Finance

Year:

2017

Language:

english

File:

PDF, 1.23 MB

english, 2017

20

A Hybrid Model for Pricing and Hedging of Long Dated Bonds

Baldeaux, Jan F., Fung, Man Chung, Ignatieva, Katja, Platen, Eckhard

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 1.36 MB

english, 2014

21

Pricing Currency Derivatives Under the Benchmark Approach

Baldeaux, Jan F., Grasselli, Martino, Platen, Eckhard

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 472 KB

english, 2013