Jack Baczynski - researchr alias

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Viewing Publication 1 - 19 from 19

2019

Path-Dependent Interest Rate Option Pricing with Jumps and Stochastic IntensitiesAllan Jonathan da Silva, Jack Baczynski, João Felipe da Silva Bragança. iccs 2019: 710-716 [doi]

2017

A new approach to risk sensitivityJack Baczynski. imamci, 34(2):425-449, 2017. [doi]

A new method for pricing interest-rate derivatives in fixed income marketsJack Baczynski, Juan B. R. Otazu, José V. M. Vicente. cdc 2017: 3057-3062 [doi]

Pricing multi-asset barrier optionsEstevao Rosalino, Jack Baczynski, Dorival Leao. cdc 2017: 3063-3068 [doi]

2016

A new finite difference method for pricing and hedging fixed income derivatives: Comparative analysis and the case of an Asian optionAllan Jonathan da Silva, Jack Baczynski, José V. M. Vicente. jcam, 297:98-116, 2016. [doi]

2012

A risk sensitive performance index for control problems with a view to Markov jump systemsJack Baczynski. cdc 2012: 862-869 [doi]

2008

Maximal solution to algebraic Riccati equations linked to infinite Markov jump linear systemsJack Baczynski, Marcelo D. Fragoso. mcss, 20(2):157-172, 2008. [doi]

Maximal versus strong solution to algebraic Riccati equations arising in infinite Markov jump linear systemsJack Baczynski, Marcelo D. Fragoso. scl, 57(3):246-254, 2008. [doi]

2005

A Note on Convergence in Maximal Solution Problems for Infinite Markov Jump Linear SystemsJack Baczynski, Marcelo D. Fragoso. cdc 2005: 1735-1740 [doi]

Optimal linear mean square filter for continuous-time jump linear systemsMarcelo D. Fragoso, Oswaldo Luiz V. Costa, Jack Baczynski, Nei C. S. Rocha. tac, 50(9):1364-1369, 2005. [doi]

2004

On existence of maximal solution for infinite dimensional perturbed algebraic Riccati equations associated to Markov jump linear systemsJack Baczynski, Marcelo D. Fragoso. amcc 2004: 2511-2515 [doi]

2001

On a discrete-time linear jump stochastic dynamic gameJack Baczynski, Marcelo D. Fragoso, Ernesto P. Lopes. ijsysc, 32(8):979-988, 2001. [doi]

On maximal solution to infinite dimensional perturbed Riccati differential equations arising in stochastic controlJack Baczynski, Marcclo D. Fragoso. cdc 2001: 1257-1262 [doi]

Optimal Control for Continuous-Time Linear Quadratic Problems with Infinite Markov Jump ParametersMarcelo D. Fragoso, Jack Baczynski. siamco, 40(1):270-297, 2001. [doi]

On an infinite dimensional perturbed Riccati differential equation arising in stochastic controlMarcelo D. Fragoso, Jack Baczynski. eucc 2001: 2582-2586 [doi]

The minimum linear mean square filter for a class of hybrid systemsMarcelo D. Fragoso, O. L. V. Costa, Jack Baczynski. eucc 2001: 319-323 [doi]

Some aspects of stability in continuous time linear infinite Markov jump parameter systemsMarcelo D. Fragoso, Jack Baczynski. eucc 2001: 2088-2091 [doi]

2000

∞ control for continuous-time linear systems with infinite Markov jump parameters via semigroupMarcelo D. Fragoso, Eulina C. S. Nascimento, Jack Baczynski. cdc 2000: 1160-1165 [doi]

Lyapunov coupled equations for infinite jump linear systemsMarcelo D. Fragoso, Jack Baczynski. cdc 2000: 2349-2354 [doi]

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