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Other researchers information
Published papers
- Iñigo Arregui, Álvaro Leitao, Beatriz Salvador, Carlos Vázquez.
Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk.
International Journal of Computer Mathematics, 0 (2023) , .
- Beatriz Salvador, Cornelis W. Oosterlee, Remco van der Meer.
Financial option valuation by unsupervised learning with artificial neural networks.
Mathematics, 9 (2021) , 1 , 46.
- Beatriz Salvador, Cornelis W. Oosterlee.
Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model.
Applied Mathematics and Computation, 391 (2021) , 125489.
- Iñigo Arregui, Beatriz Salvador, Daniel Ševčovič, Carlos Vázquez.
PDE models for American options with counterparty risk and two stochastic factors: mathematical analysis and numerical solution.
Computers & Mathematics with Applications, 79 (2020) , 5 , 1525-1542.
- Iñigo Arregui, Beatriz Salvador, Carlos Vázquez.
A Monte Carlo approach to American options pricing including counterparty risk.
International Journal of Computer Mathematics, 96 (2019) , 11 , 2157-2176.