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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 ...
The stochastic θ-SEIHRD model: Adding randomness to the COVID-19 spread
(Elsevier, 2022)
[Abstract]: In this article we mainly extend a newly introduced deterministic model for the COVID-19 disease to a stochastic setting. More precisely, we incorporated randomness in some coefficients by assuming that they ...
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 ...
Automated design of synthetic biocircuits in the stochastic regime
(IFAC Secretariat / Elsevier, 2022)
[Abstract]: In this work, we present an optimization-based design strategy for gene regulatory networks (GRNs) in the stochastic regime (i.e., in the presence of molecular noise). The approach exploits a recently developed ...
IDESS: a toolbox for identification and automated design of stochastic gene circuits
(Oxford University Press, 2023-11)
[Abstract]: Motivation
One of the main causes hampering predictability during the model identification and automated design of gene circuits in synthetic biology is the effect of molecular noise. Stochasticity may ...
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 ...
Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework
(Elsevier B.V., 2024-03)
[Abstract]: In this article we make some new relevant contributions to the computation of total valuation adjustments (XVA) for financial derivatives involving several currencies. From the modelling point of view, for the ...
A Two-Dimensional Multi-Species Model for Different Listeria Monocytogenes Biofilm Structures and Its Numerical Simulation
(Elsevier BV, 2020-11-01)
[Abstract] In this work we propose a two-dimensional multi-species model to describe the dynamics of biofilms formed by the pathogenic bacteria Listeria monocytogenes. Different Listeria monocytogenes strains produce ...
Transient hysteresis and inherent stochasticity in gene regulatory networks
(Nature Publishing Group, 2019-10-08)
[Abstract] Cell fate determination, the process through which cells commit to differentiated states is commonly mediated by gene regulatory motifs with mutually exclusive expression states. The classical deterministic ...