2 Result(s)
within
Zelda Marino
Computer Science
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Chapter and Conference Paper
Wavelet Techniques for Option Pricing on Advanced Architectures
This work focuses on the development of a parallel pricing algorithm for Asian options based on the Discrete Wavelet Transform. Following the approach proposed in [6], the pricing process requires the solution...
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Chapter and Conference Paper
Measuring Default Risk in a Parallel ALM Software for Life Insurance Portfolios
In this paper we investigate the computational issues in the use of a stochastic model – the doubly stochastic intensity default model – to measure default risk in the development of “internal models”, according ...
