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Browsing by Author "Baldeaux Jan"

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

Baldeaux Jan; Dick Josef; Leobacher Gunther; Nuyens Dirk; Pillichshammer Friedrich (Springer, 2012)

We show how to obtain a fast component-by-component construction algorithm for higher order polynomial lattice rules. Such rules are useful for multivariate quadrature of high-dimensional smooth functions over the unit ...
Exact simulation of the 3/2 model

Baldeaux Jan (World Scientific Publishing Co, 2012)

This paper discusses the exact simulation of the stock price process underlying the 3/2 model. Using a result derived by Craddock and Lennox using Lie Symmetry Analysis, we adapt the Broadie-Kaya algorithm for the simulation ...
Quasi-Monte Carlo for finance beyond Black-Scholes

Baldeaux Jan (Australian Mathematical Scoiety, 2008)

Quasi-Monte Carlo methods are used to approximate integrals of high dimensionality. However, if the problem under consideration is of unbounded dimensionality, it is not obvious if one can apply quasi-Monte Carlo methods ...
Quasi-Monte Carlo methods for derivatives on realised variance of an index under the benchmark approach

Baldeaux Jan; Chan Leung Lung; Platen Eckhard (Australian Mathematical Scoiety, 2011)

We apply quasi-Monte Carlo methods to the pricing of derivatives on realised variance of an index under the benchmark approach. The resulting integration problem is shown to depend on the joint density of the realised ...
Static replication of forward-start claims and realized variance swaps

Baldeaux Jan; Rutkowski Marek (Routledge, 2010)

The goal of this work is to examine the static replication of path-dependent derivatives such as realized variance swaps, using more standard products such as forward-start binary (i.e. digital) double calls and puts. We ...

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Browsing by Author "Baldeaux Jan"

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Browsing by Author "Baldeaux Jan"