14 citations · 44 across the 33 of their papers we have counts for
Showing 2015Show all
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q-fin.CP2015
A computational spectral approach to interest rate models
Luca Di Persio, Michele Bonollo, Gregorio Pellegrini
The Polynomial Chaos Expansion (PCE) technique recovers a finite second order random variable exploiting suitable linear combinations of orthogonal polynomials which are functions…
math.PR2015★ 1 cited
Spatial birth-and-death processes with a finite number of particles
Viktor Bezborodov, Luca Di Persio
Spatial birth-and-death processes with time dependent rates are obtained as solutions to certain stochastic equations. The existence, uniqueness, uniqueness in law and the strong M…
q-fin.PR2015
A Quantization Approach to the Counterparty Credit Exposure Estimation
M. Bonollo, L. Di Persio, I. Oliva +1
During recent years the counterparty risk subject has received a growing attention because of the so called Basel Accord. In particular the Basel III Accord asks the banks to fulfi…