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A new numerical method for pricing fixed-rate mortgages withprepayment and default options
(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 ...
Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement
(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 ...
Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
(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 of obstacle problems for pricing fixed-rate mortgages with prepayment and default options
(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 ...
Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance
(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) ...
Total Value Adjustment for European Options in a Multi‐Currency Setting
(Elsevier, 2022)
[Abstract] In this article we mainly extend to a multi-currency setting some previous works in the literature concerning total value adjustments in a single currency framework. The motivation comes from the fact that ...
Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework
(Elsevier B.V., 2024-03)
[Abstract]: In this article we make some new relevant contributions to the computation of total valuation adjustments (XVA) for financial derivatives involving several currencies. From the modelling point of view, for the ...
Automated design of synthetic biocircuits in the stochastic regime
(IFAC Secretariat / Elsevier, 2022)
[Abstract]: In this work, we present an optimization-based design strategy for gene regulatory networks (GRNs) in the stochastic regime (i.e., in the presence of molecular noise). The approach exploits a recently developed ...
IDESS: a toolbox for identification and automated design of stochastic gene circuits
(Oxford University Press, 2023-11)
[Abstract]: Motivation
One of the main causes hampering predictability during the model identification and automated design of gene circuits in synthetic biology is the effect of molecular noise. Stochasticity may ...