Modelos e métodos numéricos en enxeñaría e ciencias aplicadas (M2NICA)
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Modelos e métodos numéricos en enxeñaría e ciencias aplicadas (M2NICA)
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GI-M2NICA - Artigos [21]
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PDE Models for the Pricing of a Defaultable Coupon-Bearing Bond Under an Extended JDCEV Model
(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 ... -
Global Optimization for Automatic Model Points Selection in Life Insurance Portfolios
(MDPI AG, 2021-02-25)[Abstract] Starting from an original portfolio of life insurance policies, in this article we propose a methodology to select model points portfolios that reproduce the original one, preserving its market risk under a ... -
Financial Option Valuation by Unsupervised Learning with Artificial Neural Networks
(MDPI AG, 2020-12-28)[Abstract] Artificial neural networks (ANNs) have recently also been applied to solve partial differential equations (PDEs). The classical problem of pricing European and American financial options, based on the corresponding ... -
European and American Options Valuation by Unsupervised Learning with Artificial Neural Networks
(MDPI AG, 2020-08-19)[Abstract] Artificial neural networks (ANNs) have recently also been applied to solve partial differential equations (PDEs). In this work, the classical problem of pricing European and American financial options, based ... -
Machine Learning to Compute Implied Volatility from European/American Options Considering Dividend Yield
(MDPI AG, 2020-09-15)[Abstract] Computing implied volatility from observed option prices is a frequent and challenging task in finance, even more in the presence of dividends. In this work, we employ a data-driven machine learning approach ...
