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 [38]
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Pricing renewable energy certificates with a Crank–Nicolson Lagrange–Galerkin numerical method
(2023-04)[Abstract]: The valuation problem of renewable energy certificates can be formulated in terms of a nonlinear PDE model where the underlying stochastic factors are the accumulated green certificates sold by an authorized ... -
A Survey on Quantum Computational Finance for Derivatives Pricing and VaR
(Springer, 2022-10)[Abstract]: We review the state of the art and recent advances in quantum computing applied to derivative pricing and the computation of risk estimators like Value at Risk. After a brief description of the financial ... -
Model and numerical methods for pricing renewable energy certificate derivatives
(Elsevier B.V., 2023-04)[Abstract]: Assuming that the price of the renewable energy certificate (REC) is known, we formulate the valuation problem of a European REC derivative in terms of a linear PDE model where the underlying stochastic factors ... -
Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk
(Elsevier B.V., 2023)[Abstract]: The goal of this work is to develop a novel strategy for the treatment of the boundary conditions for multi-dimension nonlinear parabolic PDEs. The proposed methodology allows to get rid of the heuristic choice ... -
XVA in a multi-currency setting with stochastic foreign exchange rates
(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 ...
