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Equilibrium models with heterogeneous agents under rational expectations and its numerical solution
(Elsevier B.V., 2021-05)
[Abstract]: In this work we assume rational expectations to pose general equilibrium models with heterogeneous firms that can enter or exit the industry. More precisely, we assume a general Ito process for the dynamics of ...
SELANSI: A toolbox for simulation of stochastic gene regulatory networks
(Oxford University Press, 2018-03)
[Abstract]: Motivation Gene regulation is inherently stochastic. In many applications concerning Systems and Synthetic Biology such as the reverse engineering and the de novo design of genetic circuits, stochastic effects ...
Jump–diffusion productivity models in equilibrium problems with heterogeneous agents
(Elsevier B.V., 2024-11)
[Abstract]: In this paper we adopt a rational expectations framework to formulate general equilibrium models with heterogeneous agents. The productivity dynamics are characterized by a jump–diffusion model, thus allowing ...
An Alternative Approach to Determine the Dynamic Stiffness of Resilient Materials under Low Prestatic Load
(MDPI, 2024-06)
[Abstract]: Dynamic stiffness is a parameter of great importance for the assessment of the sound insulation properties of resilient materials commonly used under floating floors in dwellings. This work proposes a simplified ...
XVA for American options with two stochastic factors: modelling, mathematical analysis and numerical methods
(Universidad de Oviedo, Servicio de Publicaciones, 2021)
[Abstract]: In this work, we derive new linear and nonlinear partial differential equations (PDEs) models for pricing American options and total value adjustment in the presence of counterparty risk. Moreover, stochastic ...
Pricing TARN options with a stochastic local volatility model
(Universidad de Oviedo, Servicio de Publicaciones, 2021)
[Abstract]: Target Accumulation Redemption Notes (TARNs) are financial derivatives which give their holders the right to receive periodic coupons until the accumulated sum of those ones reaches an agreed target. In this ...
Adaptive mixed FEM combined with the method of characteristics for stationary convection–diffusion–reaction problems
(Elsevier B.V., 2023-12-01)
[Abstract]: We consider a stationary convection–diffusion–reaction model problem in a two- or three-dimensional bounded domain. We approximate this model by a non-stationary problem and propose a numerical method that ...
Sparse Grid Combination Technique for Hagan SABR/LIBOR Market Model
(Springer, 2017-09-20)
[Abstract]: SABR models have been used to incorporate stochastic volatility to LIBOR market models (LMM) in order to describe interest rate dynamics and price interest rate derivatives. From the numerical point of view, ...
Speedup of Calibration and Pricing with SABR Models: From Equities to Interest Rates Derivatives
(Springer, 2015)
[Abstract]: In the more classical models for equities and interest rates evolution, constant volatility is usually assumed. However, in practice the volatilities are not constant in financial markets and different models ...
Efficient Calibration and Pricing in LIBOR Market Models with SABR Stochastic Volatility Using GPUs
(Springer, 2016)
[Abstract]: In order to overcome the drawbacks of assuming deterministic volatility coefficients in the standard LIBOR market models, several extensions of LIBOR models to incorporate stochastic volatilities have been ...