Concepedia

Jan Baldeaux

JB

10

Publications

314

Citations

10

H-Index

2009

Active since

Affiliations

UNSW Sydney(Current)

University of Technology Sydney

Johannes Kepler University of Linz

University of Padua

Pôle Léonard de Vinci

Jan Baldeaux is an author at UNSW Sydney specializing in engineering, business, and finance.

Top concepts

EngineeringFinanceBusinessAsset PricingMathematical ProgrammingComputer ScienceEconomic AnalysisFunctional AnalysisApproximation TheoryFinancial Engineering

Publications per year

2009–2017

10

Publications

10

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

Jan Baldeaux, Alexander Badran · Applied Mathematical Finance · 2014 · 86 citations

Jumps Model, Volatility Modeling, Option Pricing +14

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 et al. · Numerical Algorithms · 2011 · 56 citations · Full text

Numerical Analysis, Mathematical Programming, Computational Complexity Theory +11

EXACT SIMULATION OF THE 3/2 MODEL

Jan Baldeaux · International Journal of Theoretical and Applied Finance · 2012 · 44 citations

Engineering, Direct Numerical Simulation, Modeling Method +18

Pricing currency derivatives under the benchmark approach

Jan Baldeaux, Martino Grasselli, Eckhard Platen · Journal of Banking & Finance · 2014 · 30 citations · Full text

Currency Derivatives, Asset Pricing, Foreign Exchange Option +5

Construction algorithms for higher order polynomial lattice rules

Jan Baldeaux, Josef Dick, Julia Greslehner et al. · Journal of Complexity · 2010 · 25 citations

Engineering, Lattice (Order), Algebraic Method +5

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