GI-M2NICA - Artigos: Envíos recientes

Mostrando ítems 36-40 de 74

    • Spline local basis methods for nonparametric density estimation 

      Kirkby, Justin Lars; Leitao, Álvaro; Nguyen, Duy (Institute of Mathematical Statistics, 2023)
      [Abstract]: This work reviews the literature on spline local basis methods for non-parametric density estimation. Particular attention is paid to B-spline density estimators which have experienced recent advances in both ...

    • Pricing renewable energy certificates with a Crank–Nicolson Lagrange–Galerkin numerical method 

      Baamonde-Seoane, María A.; Calvo-Garrido, María-del-Carmen; Vázquez, Carlos (2023-04)
      [Abstract]: The valuation problem of renewable energy certificates can be formulated in terms of a nonlinear PDE model where the underlying stochastic factors are the accumulated green certificates sold by an authorized ...

    • A Survey on Quantum Computational Finance for Derivatives Pricing and VaR 

      Gómez, Andrés; Leitao, Álvaro; Manzano, Alberto; Musso, Daniele; Nogueiras, María R.; Ordóñez, Gustavo; Vázquez, Carlos (Springer, 2022-10)
      [Abstract]: We review the state of the art and recent advances in quantum computing applied to derivative pricing and the computation of risk estimators like Value at Risk. After a brief description of the financial ...

    • Model and numerical methods for pricing renewable energy certificate derivatives 

      Baamonde-Seoane, María A.; Calvo-Garrido, María-del-Carmen; Vázquez, Carlos (Elsevier B.V., 2023-04)
      [Abstract]: Assuming that the price of the renewable energy certificate (REC) is known, we formulate the valuation problem of a European REC derivative in terms of a linear PDE model where the underlying stochastic factors ...

    • Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk 

      Pérez Villarino, Joel; Leitao, Álvaro; García Rodríguez, José Antonio (Elsevier B.V., 2023)
      [Abstract]: The goal of this work is to develop a novel strategy for the treatment of the boundary conditions for multi-dimension nonlinear parabolic PDEs. The proposed methodology allows to get rid of the heuristic choice ...