Listar por tema "Análisis numérico-Informática"
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Analysis and numerical methods for stochastic volatility models in valuation of financial derivatives
(2016)[Abstract] The main objective of this thesis concerns to the study of the SABR stochastic volatility model for the underlyings (equity or interest rates) in order to price several market derivatives. When dealing with ... -
Mathematical models and numerical methods for XVA in multicurrency setting
(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 ...