Listar GI-M2NICA - Congresos, conferencias, etc. por autor "Salvador, Beatriz"
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European and American Options Valuation by Unsupervised Learning with Artificial Neural Networks
Salvador, Beatriz; Oosterlee, Cornelis W.; Meer, Remco van der (MDPI AG, 2020-08-19)[Abstract] Artificial neural networks (ANNs) have recently also been applied to solve partial differential equations (PDEs). In this work, the classical problem of pricing European and American financial options, based ... -
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 ...