We present a Graphics Processing Unit (GPU) parallelization of the computation of the price of exotic cross-currency interest rate derivatives via a Partial Differential Equation (PDE) approach. In particular, we focus on the GPU-based parallel pricing of long-dated foreign exchange (FX)...

We propose a general framework for efficient pricing via a Partial Differential Equation (PDE) approach of cross-currency interest rate derivatives under the Hull-White model. In particular, we focus on pricing long-dated foreign exchange (FX) interest rate hybrids, namely Power Reverse Dual...

We present a Graphics Processing Unit (GPU) parallelization of the computation of the price of cross-currency interest rate derivatives via a Partial Differential Equation (PDE) approach. In particular, we focus on the GPU-based parallel computation of the price of long-dated foreign exchange...

Abstract. A system that allows you to easily regulate the cryptocurrency market and influence it thanks to the classification given by their scalability. The opportunity to be included in a different table will push programmers to adapt to the legislation. It will no longer be the right to have...

We propose a stochastic learning rule through an Agent-based Model (ABM) to understand how emerging market economies (EMEs) can achieve high levels of investment, given the announced inflation target rate. The central banks act as a pseudo-player, choosing between the pursued target inflation...

In March 2017, the IMF published an upgrade of its Direction of Trade Statistics (DOTS) dataset. This paper documents the new methodology that has been developed to estimate missing observations of bilateral trade statistics on a monthly basis. The new estimation procedure is founded on a...

Existing long-term energy and climate scenarios are typically a rather simple extrapolation of past trends. Both qualitative and quantitative outlooks co-exist, but they often focus narrowly on individual perspectives, which is opposed to the interlinked and complex nature of energy and climate....

We formulate and solve a multi-player stochastic differential game between financial agents who seek to cost-efficiently liquidate their position in a risky asset in the presence of jointly aggregated transient price impact, along with taking into account a common general price predicting...

Existing long-term energy and climate scenarios are typically a rather simple extrapolation of past trends. Both qualitative and quantitative outlooks co-exist, but they often focus narrowly on individual perspectives, which is opposed to the interlinked and complex nature of energy and climate....