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Model and numerical methods for pricing renewable energy certificate derivatives
(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 ...
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 ...
Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk
(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 ...
Spline local basis methods for nonparametric density estimation
(Institute of Mathematical Statistics, 2023)
[Abstract]: This work reviews the literature on spline local basis methods for non-parametric density estimation. Particular attention is paid to B-spline density estimators which have experienced recent advances in both ...
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 ...
Wastewater and marine bioindicators surveillance to anticipate COVID-19 prevalence and to explore SARS-CoV-2 diversity by next generation sequencing: One-year study
(Elsevier, 2022)
[Abstract] This study presents the results of SARS-CoV-2 surveillance in sewage water of 11 municipalities and marine bioindicators in Galicia (NW of Spain) from May 2020 to May 2021. An integrated pipeline was developed ...
On a Neural Network to Extract Implied Information from American Options
(Routledge, 2022)
[Abstract] Extracting implied information, like volatility and dividend, from observed option prices is a challenging task when dealing with American options, because of the complex-shaped early-exercise regions and the ...
Stochastic SIR model predicts the evolution of COVID-19 epidemics from public health and wastewater data in small and medium-sized municipalities: A one year study
(Elsevier, 2022-11)
[Abstract]: The level of unpredictability of the COVID-19 pandemics poses a challenge to effectively model its dynamic evolution. In this study we incorporate the inherent stochasticity of the SARS-CoV-2 virus spread by ...