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Jan Baldeaux

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This is information that was supplied by Jan Baldeaux in registering through RePEc. If you are Jan Baldeaux , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Jan
Middle Name:
Last Name: Baldeaux
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RePEc Short-ID: pba957

Email: [This author has chosen not to make the email address public]
Homepage: http://datasearch.uts.edu.au/business/staff/finance/details.cfm?StaffId=10727
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Affiliation

(in no particular order)

Works

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Working papers

  1. Jan Baldeaux & Eckhard Platen, 2013. "Liability Driven Investments under a Benchmark Based Approach," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 325, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Jan Baldeaux & Eckhard Platen, 2013. "Credit Derivative Evaluation and CVA under the Benchmark Approach," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 324, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Jan Baldeaux & Dale Roberts, 2012. "Quasi-Monte Carlo methods for the Heston model," Papers 1202.3217, arXiv.org, revised May 2012.
  4. Jan Baldeaux & Katja Ignatieva & Eckhard Platen, 2012. "A Tractable Model for Indices Approximating the Growth Optimal Portfolio," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 318, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Jan Baldeaux & Alexander Badran, 2012. "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 306, Quantitative Finance Research Centre, University of Technology, Sydney.
  6. Michael Gnewuch & Jan Baldeaux, 2012. "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 313, Quantitative Finance Research Centre, University of Technology, Sydney.
  7. Jan Baldeaux & Eckhard Platen, 2012. "Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods," Papers 1204.1126, arXiv.org.
  8. Jan Baldeaux, 2011. "Exact Simulation of the 3/2 Model," Papers 1105.3297, arXiv.org, revised May 2011.

Articles

  1. Jan Baldeaux, 2012. "Exact Simulation Of The 3/2 Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., World Scientific Publishing Co. Pte. Ltd., vol. 15(05), pages 1250032-1-1.
  2. Jan Baldeaux & Marek Rutkowski, 2010. "Static Replication of Forward-Start Claims and Realized Variance Swaps," Applied Mathematical Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 17(2), pages 99-131.

NEP Fields

9 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-AGE: Economics of Ageing (1) 2013-03-09
  2. NEP-BAN: Banking (1) 2013-03-09
  3. NEP-CMP: Computational Economics (4) 2011-05-30 2012-02-20 2012-04-17 2012-07-08. Author is listed

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