Jan F. Baldeaux

Standard Chartered Bank

United States

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 47,434

SSRN RANKINGS

Top 47,434

in Total Papers Downloads

900

SSRN CITATIONS

3

CROSSREF CITATIONS

1

Scholarly Papers (6)

1.

Quantifying Model Performance

Number of pages: 20 Posted: 19 Dec 2018 Last Revised: 31 Mar 2019
Alexandre Antonov, Jan F. Baldeaux and Rajiv Sesodia
Standard Chartered Bank, London, Standard Chartered Bank and Standard Chartered Bank
Downloads 374 (81,935)

Abstract:

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hedging performance, model performance, payoff replication, model risk, P&L explain

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
Standard Chartered Bank, University of Padova - Department of Mathematics and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 166 (186,383)
Citation 1

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3.

A Hybrid Model for Equity Indices and Stochastic Interest Rates

Number of pages: 32 Posted: 10 Nov 2012 Last Revised: 15 Sep 2013
Standard Chartered Bank, Commonwealth Bank of Australia, University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 166 (186,383)

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

4.

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
Standard Chartered Bank, University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 67 (349,819)
Citation 4

Abstract:

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

5.

Detecting Money Market Bubbles

Number of pages: 33 Posted: 17 Oct 2016
Jan F. Baldeaux, Katja Ignatieva and Eckhard Platen
Standard Chartered Bank, University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 64 (358,164)

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

6.

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
Standard Chartered Bank, Commonwealth Bank of Australia, University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 63 (361,142)

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