ListarGrupos de investigación por tema "Augmented Lagrangian active set method"
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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 ...