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Beatriz Salvador
ORCID
Publication Activity (10 Years)
Years Active: 2016-2021
Publications (10 Years): 8
Top Topics
Black Scholes
Ordinary Differential Equations
Numerical Methods
Capacity Planning
Top Venues
Appl. Math. Comput.
Comput. Math. Appl.
J. Comput. Appl. Math.
Int. J. Comput. Math.
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Publications
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Beatriz Salvador
,
Cornelis W. Oosterlee
Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model.
Appl. Math. Comput.
391 (2021)
Beatriz Salvador
,
Cornelis W. Oosterlee
Corrigendum to "Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model".
Appl. Math. Comput.
406 (2021)
Iñigo Arregui
,
Beatriz Salvador
,
Daniel Sevcovic
,
Carlos Vázquez
PDE models for American options with counterparty risk and two stochastic factors: Mathematical analysis and numerical solution.
Comput. Math. Appl.
79 (5) (2020)
Iñigo Arregui
,
Beatriz Salvador
,
Carlos Vázquez
A Monte Carlo approach to American options pricing including counterparty risk.
Int. J. Comput. Math.
96 (11) (2019)
Iñigo Arregui
,
Beatriz Salvador
,
Daniel Sevcovic
,
Carlos Vázquez
Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation.
Comput. Math. Appl.
76 (4) (2018)
Iñigo Arregui
,
Beatriz Salvador
,
Carlos Vázquez
PDE models and numerical methods for total value adjustment in European and American options with counterparty risk.
Appl. Math. Comput.
308 (2017)
Iñigo Arregui
,
Beatriz Salvador
,
Carlos Vázquez
A numerical strategy for telecommunications networks capacity planning under demand and price uncertainty.
J. Comput. Appl. Math.
318 (2017)
Iñigo Arregui
,
Beatriz Salvador
,
Carlos Vázquez
CVA Computing by PDE Models.
NAA
(2016)