58 citations · 95 across the 8 of their papers we have counts for
8 papers
Optimal randomized multilevel algorithms for infinite-dimensional integration on function spaces with ANOVA-type decomposition
Jan Baldeaux, Michael Gnewuch
In this paper, we consider the infinite-dimensional integration problem on weighted reproducing kernel Hilbert spaces with norms induced by an underlying function space decompositi…
Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods
Jan Baldeaux, Eckhard Platen
We discuss suitable classes of diffusion processes, for which functionals relevant to finance can be computed via Monte Carlo methods. In particular, we construct exact simulation…
Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model
Jan Baldeaux, Alexander Badran
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…
Quasi-Monte Carlo methods for the Heston model
Jan Baldeaux, Dale Roberts
In this paper, we discuss the application of quasi-Monte Carlo methods to the Heston model. We base our algorithms on the Broadie-Kaya algorithm, an exact simulation scheme for the…
Exact Simulation of the 3/2 Model
Jan Baldeaux
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 t…
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 +2
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-dime…