Roberta Simonella

Publication Activity (10 Years)

Years Active: 2022-2024
Publications (10 Years): 3

Top Topics

Foreign Exchange

Numerical Methods

Top Venues

Math. Comput. Simul.

Appl. Math. Comput.

Commun. Nonlinear Sci. Numer. Simul.

Publications

Iñigo Arregui, Roberta Simonella, Carlos Vázquez
Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework. Commun. Nonlinear Sci. Numer. Simul. 130 (2024)
Roberta Simonella, Carlos Vázquez
XVA in a multi-currency setting with stochastic foreign exchange rates. Math. Comput. Simul. 207 (2023)
Iñigo Arregui, Roberta Simonella, Carlos Vázquez
Total value adjustment for European options in a multi-currency setting. Appl. Math. Comput. 413 (2022)