PDE models and numerical methods for total value adjustment in European and American options with counterparty risk (English)
- New search for: Arregui, Iñigo
- Further information on Arregui, Iñigo:
- https://orcid.org/0000-0002-2456-4092
- New search for: Salvador, Beatriz
- New search for: Vázquez, Carlos
- New search for: Arregui, Iñigo
- Further information on Arregui, Iñigo:
- https://orcid.org/0000-0002-2456-4092
- New search for: Salvador, Beatriz
- New search for: Vázquez, Carlos
In:
Applied Mathematics and Computation (New York)
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308
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31-53
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2017
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ISSN:
- Article (Journal) / Electronic Resource
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Title:PDE models and numerical methods for total value adjustment in European and American options with counterparty risk
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Contributors:
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Published in:Applied Mathematics and Computation (New York) ; 308 ; 31-53
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Publisher:
- New search for: Elsevier Inc.
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Publication date:2017-03-06
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Size:23 pages
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ISSN:
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DOI:
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Type of media:Article (Journal)
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Type of material:Electronic Resource
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Language:English
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Keywords:
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Source:
Table of contents – Volume 308
The tables of contents are generated automatically and are based on the data records of the individual contributions available in the index of the TIB portal. The display of the Tables of Contents may therefore be incomplete.
- 1
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Constructing edge-disjoint Steiner paths in lexicographic product networksMao, Yaping et al. | 2017
- 11
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On the edge-version atom-bond connectivity and geometric arithmetic indices of certain graph operationsGao, Wei / Farahani, Mohammad Reza / Wang, Shaohui / Husin, Mohamad Nazri et al. | 2017
- 18
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Continuous dependence for a thermal convection model with temperature-dependent solubilityLiu, Yan et al. | 2017
- 31
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PDE models and numerical methods for total value adjustment in European and American options with counterparty riskArregui, Iñigo / Salvador, Beatriz / Vázquez, Carlos et al. | 2017
- 54
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New results on the constants in some inequalities for the Navier–Stokes quadratic nonlinearityMorosi, Carlo / Pernici, Mario / Pizzocchero, Livio et al. | 2017
- 73
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Nonlocal interaction driven pattern formation in a prey–predator modelTian, Canrong / Ling, Zhi / Zhang, Lai et al. | 2017
- 84
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A note on the nonuniqueness of the Equal Profit MethodDahlberg, Joen / Göthe-Lundgren, Maud / Engevall, Stefan et al. | 2017
- 90
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Coupon coloring of cographsChen, He / Jin, Zemin et al. | 2017
- 96
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On the numerical approximation for Fourier-type highly oscillatory integrals with Gauss-type quadrature rulesHe, Guo / Zhang, Chuanlin et al. | 2017
- 105
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An integrated approach based on game theory and geographical information systems to solve decision problemsKose, Erkan / Erbas, Mehmet / Ersen, Erkan et al. | 2017
- 115
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A new relaxed PSS preconditioner for nonsymmetric saddle point problemsZhang, Ke / Zhang, Ju-Li / Gu, Chuan-Qing et al. | 2017
- 130
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A new method for evaluating options based on multiquadric RBF-FD methodGolbabai, Ahmad / Mohebianfar, Ehsan et al. | 2017
- 142
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Gradient superconvergence for a class of semi-cardinal interpolation schemes with cubic and quintic B-splinesBejancu, Aurelian et al. | 2017
- 149
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Note on extremal graphs with given matching numberChen, Ya-Hong / Wang, Hua / Zhang, Xiao-Dong et al. | 2017
- 157
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Greed and fear in multiperson social dilemmasPłatkowski, Tadeusz et al. | 2017
- 161
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Sliding mode synchronization of multiple chaotic systems with uncertainties and disturbancesChen, Xiangyong / Park, Ju H. / Cao, Jinde / Qiu, Jianlong et al. | 2017
- 174
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Skew cyclic displacements and inversions of two innovative patterned MatricesJiang, Xiaoyu / Hong, Kicheon et al. | 2017