Publications by the researcher in collaboration with Roberta Simonella (3)

2024

  1. Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework

    Communications in Nonlinear Science and Numerical Simulation, Vol. 130

2022

  1. Modelling and Computing the Total Value Adjustment for European Derivatives in a Multi-Currency Setting

    Mathematics in Industry (Springer Medizin), pp. 313-319

  2. Total value adjustment for European options in a multi-currency setting

    Applied Mathematics and Computation, Vol. 413