Jack Baczynski

Publication Activity (10 Years)

Years Active: 2000-2024
Publications (10 Years): 6

Top Topics

Black Scholes Model

Diffusion Models

Top Venues

J. Comput. Appl. Math.

IMA J. Math. Control. Inf.

Publications

Allan Jonathan da Silva, Jack Baczynski
Exploring non-analytical affine jump-diffusion models for path-dependent interest rate derivatives. Comput. Manag. Sci. 21 (1) (2024)
Allan Jonathan da Silva, Jack Baczynski, João Felipe da Silva Bragança
Path-Dependent Interest Rate Option Pricing with Jumps and Stochastic Intensities. ICCS (5) (2019)
Jack Baczynski, Juan B. R. Otazu, José V. M. Vicente
A new method for pricing interest-rate derivatives in fixed income markets. CDC (2017)
Estevao Rosalino, Jack Baczynski, Dorival Leão
Pricing multi-asset barrier options. CDC (2017)
Jack Baczynski
A new approach to risk sensitivity. IMA J. Math. Control. Inf. 34 (2) (2017)
Allan Jonathan da Silva, Jack Baczynski, José V. M. Vicente
A new finite difference method for pricing and hedging fixed income derivatives: Comparative analysis and the case of an Asian option. J. Comput. Appl. Math. 297 (2016)
Jack Baczynski
A risk sensitive performance index for control problems with a view to Markov jump systems. CDC (2012)
Jack Baczynski, Marcelo D. Fragoso
Maximal versus strong solution to algebraic Riccati equations arising in infinite Markov jump linear systems. Syst. Control. Lett. 57 (3) (2008)
Jack Baczynski, Marcelo D. Fragoso
Maximal solution to algebraic Riccati equations linked to infinite Markov jump linear systems. Math. Control. Signals Syst. 20 (2) (2008)
Jack Baczynski, Marcelo D. Fragoso
A Note on Convergence in Maximal Solution Problems for Infinite Markov Jump Linear Systems. CDC/ECC (2005)
Marcelo D. Fragoso, Oswaldo L. V. Costa, Jack Baczynski, Nei C. S. Rocha
Optimal linear mean square filter for continuous-time jump linear systems. IEEE Trans. Autom. Control. 50 (9) (2005)
Jack Baczynski, Marcelo D. Fragoso
On existence of maximal solution for infinite dimensional perturbed algebraic Riccati equations associated to Markov jump linear systems. ACC (2004)
Jack Baczynski, Marcelo D. Fragoso, Ernesto P. Lopes
On a discrete-time linear jump stochastic dynamic game. Int. J. Syst. Sci. 32 (8) (2001)
Marcelo D. Fragoso, Jack Baczynski
Optimal Control for Continuous-Time Linear Quadratic Problems with Infinite Markov Jump Parameters. SIAM J. Control. Optim. 40 (1) (2001)
Jack Baczynski, Marcclo D. Fragoso
On maximal solution to infinite dimensional perturbed Riccati differential equations arising in stochastic control. CDC (2001)
Marcelo D. Fragoso, Jack Baczynski
Some aspects of stability in continuous time linear infinite Markov jump parameter systems. ECC (2001)
Marcelo D. Fragoso, Oswaldo L. V. Costa, Jack Baczynski
The minimum linear mean square filter for a class of hybrid systems. ECC (2001)
Marcelo D. Fragoso, Jack Baczynski
On an infinite dimensional perturbed Riccati differential equation arising in stochastic control. ECC (2001)
Marcelo D. Fragoso, Jack Baczynski
Lyapunov coupled equations for infinite jump linear systems. CDC (2000)
Marcelo D. Fragoso, Eulina C. S. Nascimento, Jack Baczynski
control for continuous-time linear systems with infinite Markov jump parameters via semigroup. CDC (2000)