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Jack Baczynski
Information about the author Jack Baczynski will soon be added to the site.
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2 papers
in total
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A new finite difference method for pricing and hedging fixed income derivatives: Comparative analysis and the case of an Asian option
2016
We propose a second order accurate numerical finite difference method to replace the...
Optimal control for continuous-time linear quadratic problems with infinite Markov jump parameters
2001
The subject matter of this paper is the optimal control problem for continuous-time...
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