Publicaciones en las que colabora con Roberta Simonella (4)

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

2023

  1. XVA in a multi-currency setting with stochastic foreign exchange rates

    Mathematics and Computers in Simulation, Vol. 207, pp. 59-79

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