Zobrazeno 1 - 10
of 45
pro vyhledávání: '"Jan Baldeaux"'
Publikováno v:
Journal of Banking & Finance. 87:369-379
The existence of a self-financing trading strategy that replicates the money market account at a fixed future date at a lower cost than the current value of this account constitutes a money market bubble (MMB). Understanding whether a market exhibits
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3ff54322d989f42de57ef522644c9092
https://doi.org/10.1016/j.jbankfin.2017.10.017
https://doi.org/10.1016/j.jbankfin.2017.10.017
Publikováno v:
SSRN Electronic Journal.
A model/hedging performance is relatively poorly covered in the literature. This is particularly valid for general portfolios including both vanilla and exotic instruments. Practitioners generally use so called \pnl explain which measures whether por
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b9552aba107b0a4282aed31f912ff703
https://doi.org/10.2139/ssrn.3299615
https://doi.org/10.2139/ssrn.3299615
Using a range of stochastic volatility models well-known in the nance literature, we study the existence of money market bubbles in the US economy. Money market bubbles preclude the existence of a risk-neutral pricing measure. Understanding whether m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6b9c5fba15de9f4efb1f24f67e0dda93
https://hdl.handle.net/10453/130605
https://hdl.handle.net/10453/130605
Autor:
Jan Baldeaux, Alexander Badran
Publikováno v:
Applied Mathematical Finance. 21:299-312
The paper demonstrates that a pure-diffusion 3/2 model is able to capture the observed upward-sloping implied volatility skew in VIX options. This observation contradicts a common perception in the literature that jumps are required for the consisten
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4bdf2eddca9b864228da124bc2bbe910
https://doi.org/10.1080/1350486x.2013.868631
https://doi.org/10.1080/1350486x.2013.868631
Publikováno v:
Journal of Complexity. 27(3-4):281-299
Higher order polynomial lattice point sets are special types of digital higher order nets which are known to achieve almost optimal convergence rates when used in a quasi-Monte Carlo algorithm to approximate high-dimensional integrals over the unit c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::78c47662ef004ce3ef098c493734808c
Publikováno v:
Discrete Mathematics. 311:362-386
Higher order nets and sequences are used in quasi-Monte Carlo rules for the approximation of high dimensional integrals over the unit cube. Hence one wants to have higher order nets and sequences of high quality.In this paper we introduce a duality t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a3b9d7fd44432b1b5e49bee953b83ffe
https://doi.org/10.1016/j.disc.2010.11.002
https://doi.org/10.1016/j.disc.2010.11.002
Autor:
Jan Baldeaux, Marek Rutkowski
Publikováno v:
Applied Mathematical Finance. 17:99-131
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 first examine, following Carr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6affd1dbb9a8a21c4f1da67f3d8812b6
https://doi.org/10.1080/13504860903075621
https://doi.org/10.1080/13504860903075621
Autor:
Josef Dick, Jan Baldeaux
Publikováno v:
Constructive Approximation. 30:495-527
In this paper we consider numerical integration of smooth functions lying in a particular reproducing kernel Hilbert space. We show that the worst-case error of numerical integration in this space converges at the optimal rate, up to some power of a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::28232f5e5da732a41e0cb6958f3ba049
https://doi.org/10.1007/s00365-009-9074-y
https://doi.org/10.1007/s00365-009-9074-y
© 2014 Elsevier B.V. This paper considers the realistic modelling of derivative contracts on exchange rates. We propose a stochastic volatility model that recovers not only the typically observed implied volatility smiles and skews for short dated v
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1f7bb88361bebbc15758117b7d39d5fa
https://hdl.handle.net/10453/33085
https://hdl.handle.net/10453/33085
© 2015 Taylor & Francis. Abstract: Long-dated fixed income securities play an important role in asset-liability management, in life insurance and in annuity businesses. This paper applies the benchmark approach, where the growth optimal portfolio (G
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d96afa7ecb7fbce261e2044477dc7531
https://hdl.handle.net/10453/36535
https://hdl.handle.net/10453/36535