Buscar
Mostrando ítems 1-5 de 5
A Numerical Strategy for Telecommunications Networks Capacity Planning Under Demand and Price Uncertainty
(Elsevier BV * North-Holland, 2017-07)
[Abstract] The massive use of Internet in the last twenty years has created a huge demand for telecommunications networks capacity. In this work, financial option pricing methods are applied to the problem of network ...
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 ...
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 ...
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 ...
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 ...