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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 ...
Data-driven characterization of viscoelastic materials using time-harmonic hydroacoustic measurements
(Elsevier B.V., 2024-02-01)
[Absctract]: Any numerical procedure in mechanics requires choosing an appropriate model for the constitutive law of the material under consideration. The most common assumptions regarding linear wave propagation in a ...
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 ...