Listar por autor "Simonella, Roberta"
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Mathematical models and numerical methods for XVA in multicurrency setting
Simonella, Roberta (2023)[Abstract] This thesis is devoted to the mathematical modelling and numerical solution of problems related to the valuation of financial options including total value adjustment (XVA) in a multicurrency setting. In order ... -
Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework
Arregui, Íñigo; Simonella, Roberta; Vázquez, Carlos (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 ... -
Total Value Adjustment for European Options in a Multi‐Currency Setting
Arregui, Íñigo; Simonella, Roberta; Vázquez, Carlos (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 ... -
XVA in a multi-currency setting with stochastic foreign exchange rates
Simonella, Roberta; Vázquez, Carlos (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 ...