Listar GI-M2NICA - Congresos, conferencias, etc. por autor "Arregui, Íñigo"

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    • Pricing TARN options with a stochastic local volatility model 

      Arregui, Íñigo; Ráfales, Jonatan (Universidad de Oviedo, Servicio de Publicaciones, 2021)
      [Abstract]: Target Accumulation Redemption Notes (TARNs) are financial derivatives which give their holders the right to receive periodic coupons until the accumulated sum of those ones reaches an agreed target. In this ...

    • XVA for American options with two stochastic factors: modelling, mathematical analysis and numerical methods 

      Arregui, Íñigo; Salvador, Beatriz; Ševčovič, D.; Vázquez, Carlos (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 ...