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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 ...
Deep Learning-Based Method for Computing Initial Margin †
(MDPI, 2021)
[Abstract] Following the guidelines of the Basel III agreement (2013), large financial institutions are forced to incorporate additional collateral, known as Initial Margin, in their transactions in OTC markets. Currently, ...
On the Adaptive Numerical Solution to the Darcy–Forchheimer Model †
(MDPI, 2021)
[Abstract] We considered a primal-mixed method for the Darcy–Forchheimer boundary value problem. This model arises in fluid mechanics through porous media at high velocities. We developed an a posteriori error analysis of ...
Quantum Arithmetic for Directly Embedded Arrays
(MDPI, 2021)
[Abstract] We describe a general-purpose framework to implement quantum algorithms relying upon an efficient handling of arrays. The cornerstone of the framework is the direct embedding of information into quantum amplitudes, ...
Numerical Solution of a Nonlinear PDE Model for Pricing Renewable Energy Certificates (RECs)
(Elsevier, 2021)
[Abstract] In this article we present a valuation method for Renewable Energy Certificates (RECs) or green certificates. For this purpose, we propose a non-linear PDE model with two stochastic factors: the accumulated green ...
Upwind Finite Element-PML Approximation of a Novel Linear Potential Model for Free Surface Flows Produced by a Floating Rigid Body
(Elsevier, 2021)
[Abstract] A novel linear potential model is presented to compute free surface flows of incompressible fluids produced by the motion of a floating rigid body in the presence of an underlying non-uniform flow. In particular, ...
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 ...