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PDE Models and Numerical Methods for Total Value Adjustment in European and American Options with Counterparty Risk
(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 ...
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 ...
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 ...
Upwind Finite Element-PML Approximation of a Novel Linear Potential Model for Free Surface Flows Produced by a Floating Rigid Body
(Elsevier, 2021)
[Abstract] A novel linear potential model is presented to compute free surface flows of incompressible fluids produced by the motion of a floating rigid body in the presence of an underlying non-uniform flow. In particular, ...
A Modal-Based Partition of Unity Finite Element Method for Elastic Wave Propagation Problems in Layered Media
(Elsevier, 2022)
[Abstract] The time-harmonic propagation of elastic waves in layered media is simulated numerically by means of a modal-based Partition of Unity Finite Element Method (PUFEM). Instead of using the standard plane waves or ...
End-To-End Multi-Task Learning for Simultaneous Optic Disc and Cup Segmentation and Glaucoma Classification in Eye Fundus Images
(Elsevier, 2022)
[Abstract] The automated analysis of eye fundus images is crucial towards facilitating the screening and early diagnosis of glaucoma. Nowadays, there are two common alternatives for the diagnosis of this disease using deep ...
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 ...
Real quantum amplitude estimation
(Springer, 2023)
[Abstract]: We introduce the Real Quantum Amplitude Estimation (RQAE) algorithm, an extension of Quantum Amplitude Estimation (QAE) which is sensitive to the sign of the amplitude. RQAE is an iterative algorithm which ...
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 ...
A Lagrangian approach for solving an axisymmetric thermo-electromagnetic problem. Application to time-varying geometry processes
(Springer, 2024-05)
[Abstract]: The aim of this work is to introduce a thermo-electromagnetic model for calculating the temperature and the power dissipated in cylindrical pieces whose geometry varies with time and undergoes large deformations; ...