Buscar
Mostrando ítems 1-3 de 3
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 ...
Total Value Adjustment for European Options in a Multi‐Currency Setting
(Elsevier, 2022)
[Abstract] In this article we mainly extend to a multi-currency setting some previous works in the literature concerning total value adjustments in a single currency framework. The motivation comes from the fact that ...
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 ...