Listar por autor "Pascucci, Andrea"
Mostrando ítems 1-2 de 2
-
Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement
Calvo-Garrido, María-del-Carmen; Vázquez, Carlos; Pascucci, Andrea (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 ... -
PDE Models for the Pricing of a Defaultable Coupon-Bearing Bond Under an Extended JDCEV Model
Calvo-Garrido, María-del-Carmen; Diop, Sidi; Pascucci, Andrea; Vázquez, Carlos (Elsevier, 2021)[Abstract] We consider a two-factor model for the pricing of a non callable defaultable bond which pays coupons at certain given dates. The model under consideration is the Jump to Default Constant Elasticity of Variance ...