Listar por autor "Salvador, Beatriz"
Mostrando ítems 1-5 de 5
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A Numerical Strategy for Telecommunications Networks Capacity Planning Under Demand and Price Uncertainty
Arregui, Íñigo; Salvador, Beatriz; Vázquez, Carlos (Elsevier BV * North-Holland, 2017-07)[Abstract] The massive use of Internet in the last twenty years has created a huge demand for telecommunications networks capacity. In this work, financial option pricing methods are applied to the problem of network ... -
European and American Options Valuation by Unsupervised Learning with Artificial Neural Networks
Salvador, Beatriz; Oosterlee, Cornelis W.; Meer, Remco van der (MDPI AG, 2020-08-19)[Abstract] Artificial neural networks (ANNs) have recently also been applied to solve partial differential equations (PDEs). In this work, the classical problem of pricing European and American financial options, based ... -
Financial Option Valuation by Unsupervised Learning with Artificial Neural Networks
Salvador, Beatriz; Oosterlee, Cornelis W.; Meer, Remco van der (MDPI AG, 2020-12-28)[Abstract] Artificial neural networks (ANNs) have recently also been applied to solve partial differential equations (PDEs). The classical problem of pricing European and American financial options, based on the corresponding ... -
Modelling, Mathematical Analysis and Numerical Simulation of Problems Related to Counterparty Risk and CVA
Salvador, Beatriz (2018)[Abstract] This thesis deals with the modelling, mathematical analysis and numerical solution of partial di erential equation (PDE) problems for pricing European and American options when considering counterparty risk. ... -
PDE Models and Numerical Methods for Total Value Adjustment in European and American Options with Counterparty Risk
Arregui, Íñigo; Salvador, Beatriz; Vázquez, Carlos (Elsevier Inc., 2017-09-01)[Abstract] Since the last financial crisis, a relevant effort in quantitative finance research concerns the consideration of counterparty risk in financial contracts, specially in the pricing of derivatives. As a consequence ...