Listar por autor "Pérez Villarino, Joel"
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Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk
Pérez Villarino, Joel; Leitao, Álvaro; García Rodríguez, José Antonio (Elsevier B.V., 2023)[Abstract]: The goal of this work is to develop a novel strategy for the treatment of the boundary conditions for multi-dimension nonlinear parabolic PDEs. The proposed methodology allows to get rid of the heuristic choice ... -
Deep Learning-Based Method for Computing Initial Margin †
Pérez Villarino, Joel; Leitao, Álvaro (MDPI, 2021)[Abstract] Following the guidelines of the Basel III agreement (2013), large financial institutions are forced to incorporate additional collateral, known as Initial Margin, in their transactions in OTC markets. Currently, ...