Jan F. Baldeaux

University of Technology, Sydney

Senior Research Associate

15 Broadway, Ultimo

PO Box 123

Sydney, NSW 2007

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

5

DOWNLOADS

417

CITATIONS

0

Scholarly Papers (5)

1.

A Hybrid Model for Equity Indices and Stochastic Interest Rates

Number of pages: 32 Posted: 10 Nov 2012 Last Revised: 15 Sep 2013
University of Technology, Sydney, CSIRO, University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - School of Finance and Economics
Downloads 107 (157,155)

Abstract:

growth optimal portfolio, time dependent constant elasticity of variance model, nonparametric kernel

2.

Pricing Currency Derivatives Under the Benchmark Approach

Number of pages: 25 Posted: 18 Sep 2013 Last Revised: 05 Oct 2013
Jan F. Baldeaux, Martino Grasselli and Eckhard Platen
University of Technology, Sydney, University of Padova - Department of Mathematics and University of Technology, Sydney (UTS) - School of Finance and Economics
Downloads 85 (175,469)

Abstract:

3.

A Tractable Model for Indices Approximating the Growth Optimal Portfolio

Studies in Nonlinear Dynamics and Econometrics, Vol. 18, No. 1, 2014
Number of pages: 27 Posted: 17 Oct 2012 Last Revised: 22 Apr 2014
Jan F. Baldeaux, Katja Ignatieva and Eckhard Platen
University of Technology, Sydney, University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - School of Finance and Economics
Downloads 53 (298,757)

Abstract:

growth optimal portfolio, constant elasticity of variance model, kernel estimation, diffusion coeffcient function, derivative hedging

4.

A Hybrid Model for Pricing and Hedging of Long Dated Bonds

UNSW Business School Research Paper No. 2015ACTL06
Number of pages: 29 Posted: 13 Mar 2015 Last Revised: 30 Sep 2015
University of Technology, Sydney, CSIRO, University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - School of Finance and Economics
Downloads 32 (304,045)

Abstract:

Long dated bond pricing, stochastic interest rate, growth optimal portfolio, nonparametric kernel

5.

Detecting Money Market Bubbles

Number of pages: 33 Posted: 17 Oct 2016
Jan F. Baldeaux, Katja Ignatieva and Eckhard Platen
University of Technology, Sydney, University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - School of Finance and Economics
Downloads 0 (370,238)

Abstract:

money market bubbles; strict local martingales; Markov chain Monte Carlo; stochastic volatility models; benchmark approach