Listar por autor "Calvo-Garrido, María-del-Carmen"
Mostrando ítems 1-14 de 14
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A new numerical method for pricing fixed-rate mortgages withprepayment and default options
Calvo-Garrido, María-del-Carmen; Vázquez, Carlos (Taylor & Francis Online, 2016)[Abstract] In this paper we consider the valuation of fixed-rate mortgages including prepayment and default options,where the underlying stochastic factors are the house price and the interest rate. The mathematical modelto ... -
Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance
Calvo-Garrido, María-del-Carmen; Vázquez, Carlos (Elsevier, 2015)[Abstract] In the pricing of fixed rate mortgages with prepayment and default options, we introduce jump-diffusion models for the house price evolution. These models take into account sudden changes in the price (jumps) ... -
Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
Calvo-Garrido, María-del-Carmen; Vázquez, Carlos; Ehrhardt, Matthias (Elsevier, 2019)[Abstract] In this paper we consider the valuation of swing options with the possibility of incorporating spikes in the underlying electricity price. This kind of contracts are modelled as path dependent options with ... -
Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement
Calvo-Garrido, María-del-Carmen; Vázquez, Carlos; Pascucci, Andrea (SIAM, 2013)[Abstract] In this paper, we address the mathematical analysis and numerical solution ofa model for pricing a defined benefit pension plan. More precisely, the benefits received by themember of the plan depend on the ... -
Mathematical analysis and numerical methods for pricing some pension plans and mortgages
Calvo-Garrido, María-del-Carmen (2014)[Resumen] El objetivo principal de esta tesis se centra en el análisis matemático y la solución numérica de algunos modelos de ecuaciones en derivadas parciales (EDPs) para valorar planes de pensiones con beneficios definidos ... -
Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options
Calvo-Garrido, María-del-Carmen; Vázquez, Carlos (Elsevier, 2018)[Abstract] In this paper, we address the mathematical analysis of a partial differential equation model for pricing fixed-rate mortgages with prepayment and default options, where the underlying stochastic factors are the ... -
Method for Pricing Renewable Energy Certificates
Baamonde-Seoane, María A; Calvo-Garrido, María-del-Carmen; Vázquez, Carlos (Universidade da Coruña, Servizo de Publicacións, 2023)[Abstract] In this work we present one valuation method for Renewable Energy Certificates (RECs). Starting from a system of FBSDEs and using Ito lemma, we propose a mathematical model based on a semilinear PDE with two ... -
Model and numerical methods for pricing renewable energy certificate derivatives
Baamonde-Seoane, María A.; Calvo-Garrido, María-del-Carmen; Vázquez, Carlos (Elsevier B.V., 2023-04)[Abstract]: Assuming that the price of the renewable energy certificate (REC) is known, we formulate the valuation problem of a European REC derivative in terms of a linear PDE model where the underlying stochastic factors ... -
Numerical Solution of a Nonlinear PDE Model for Pricing Renewable Energy Certificates (RECs)
Baamonde-Seoane, María A.; Calvo-Garrido, María-del-Carmen; Coulon, Michael; Vázquez, Carlos (Elsevier, 2021)[Abstract] In this article we present a valuation method for Renewable Energy Certificates (RECs) or green certificates. For this purpose, we propose a non-linear PDE model with two stochastic factors: the accumulated green ... -
PDE Models for the Pricing of a Defaultable Coupon-Bearing Bond Under an Extended JDCEV Model
Calvo-Garrido, María-del-Carmen; Diop, Sidi; Pascucci, Andrea; Vázquez, Carlos (Elsevier, 2021)[Abstract] We consider a two-factor model for the pricing of a non callable defaultable bond which pays coupons at certain given dates. The model under consideration is the Jump to Default Constant Elasticity of Variance ... -
Pricing pension plans based on average salary without early retirement: partial differential equation modeling and numerical solution
Calvo-Garrido, María-del-Carmen; Vázquez, Carlos (Infopro Digital Services, 2012)[Abstract] In this paper, a partial differential equation model for the pricing of pension plans based on average salary is posed by using the dynamic hedging methodology. The existence and uniqueness of solutions for ... -
Pricing pension plans under jump–diffusion models for the salary
Calvo-Garrido, María-del-Carmen; Vázquez, Carlos (Elsevier, 2014)[Abstract] In this paper we consider the valuation of a defined benefit pension plan in the presence of jumps in the underlying salary and including the possibility of early retirement. We will consider that the salary ... -
Pricing renewable energy certificates with a Crank–Nicolson Lagrange–Galerkin numerical method
Baamonde-Seoane, María A.; Calvo-Garrido, María-del-Carmen; Vázquez, Carlos (2023-04)[Abstract]: The valuation problem of renewable energy certificates can be formulated in terms of a nonlinear PDE model where the underlying stochastic factors are the accumulated green certificates sold by an authorized ... -
Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach
Calvo-Garrido, María-del-Carmen; Vázquez, Carlos; Ehrhardt, Matthias (2017)[Abstract] In this paper, we consider the numerical valuation of swing options in electricity markets based on a two-factor model. These kinds of contracts are modeled as pathdependent options with multiple exercise ...