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Jan Baldeaux

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
RePEc Short-ID:pba957
[This author has chosen not to make the email address public]
(in no particular order)
Sydney, Australia

+61 2 9514 7777
+61 2 9514 7711
PO Box 123, Broadway, NSW 2007
RePEc:edi:sfutsau (more details at EDIRC)
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  1. Jan Baldeaux & Eckhard Platen, 2013. "Credit Derivative Evaluation and CVA under the Benchmark Approach," Research Paper Series 324, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Jan Baldeaux & Eckhard Platen, 2013. "Liability Driven Investments under a Benchmark Based Approach," Research Paper Series 325, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Jan Baldeaux & Alexander Badran, 2012. "Consistent Modeling of VIX and Equity Derivatives Using a 3/2 Plus Jumps Model," Research Paper Series 306, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Michael Gnewuch & Jan Baldeaux, 2012. "Optimal Randomized Multilevel Algorithms for Infinite-Dimensional Integration on Function Spaces with ANOVA-Type Decomposition," Research Paper Series 313, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Jan Baldeaux & Eckhard Platen, 2012. "Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods," Papers 1204.1126,
  6. Jan Baldeaux & Dale Roberts, 2012. "Quasi-Monte Carlo methods for the Heston model," Papers 1202.3217,, revised May 2012.
  7. Jan Baldeaux & Katja Ignatieva & Eckhard Platen, 2012. "A Tractable Model for Indices Approximating the Growth Optimal Portfolio," Research Paper Series 318, Quantitative Finance Research Centre, University of Technology, Sydney.
  8. Jan Baldeaux, 2011. "Exact Simulation of the 3/2 Model," Papers 1105.3297,, revised May 2011.
  1. Jan Baldeaux & Marek Rutkowski, 2010. "Static Replication of Forward-Start Claims and Realized Variance Swaps," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(2), pages 99-131.
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 9 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CMP: Computational Economics (4) 2011-05-30 2012-02-20 2012-04-17 2012-07-08. Author is listed
  2. NEP-AGE: Economics of Ageing (1) 2013-03-09
  3. NEP-BAN: Banking (1) 2013-03-09

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