Buscar
Mostrando ítems 11-20 de 29
Pricing renewable energy certificates with a Crank–Nicolson Lagrange–Galerkin numerical method
(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 ...
A Survey on Quantum Computational Finance for Derivatives Pricing and VaR
(Springer, 2022-10)
[Abstract]: We review the state of the art and recent advances in quantum computing applied to derivative pricing and the computation of risk estimators like Value at Risk. After a brief description of the financial ...
A Modular Framework for Generic Quantum Algorithms
(MDPI, 2022)
[Abstract] We describe a general-purpose framework to design quantum algorithms. This framework relies on two pillars: a basic data structure called quantum matrix and a modular structure based on three quasi-independent ...
Numerical Solution of a Nonlinear PDE Model for Pricing Renewable Energy Certificates (RECs)
(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 ...
The stochastic θ-SEIHRD model: Adding randomness to the COVID-19 spread
(Elsevier, 2022)
[Abstract]: In this article we mainly extend a newly introduced deterministic model for the COVID-19 disease to a stochastic setting. More precisely, we incorporated randomness in some coefficients by assuming that they ...
XVA in a multi-currency setting with stochastic foreign exchange rates
(Elsevier B.V., 2023-05)
[Abstract]: In the present article we address the modelling and the numerical computation of the total value adjustment for European options in a multi-currency setting when the foreign exchange rates between the different ...
Pricing pension plans under jump–diffusion models for the salary
(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 ...
Global Optimization for Automatic Model Points Selection in Life Insurance Portfolios
(MDPI AG, 2021-02-25)
[Abstract]
Starting from an original portfolio of life insurance policies, in this article we propose a methodology to select model points portfolios that reproduce the original one, preserving its market risk under a ...
Pricing pension plans based on average salary without early retirement: partial differential equation modeling and numerical solution
(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 swing options in electricity markets with two stochastic factors using a partial differential equation approach
(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 ...