Publicacións nas que colabora con Carlos Vázquez Cendón (26)

2024

  1. Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk

    International Journal of Computer Mathematics, Vol. 101, Núm. 8, pp. 821-841

  2. Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework

    Communications in Nonlinear Science and Numerical Simulation, Vol. 130

2022

  1. Modelling and Computing the Total Value Adjustment for European Derivatives in a Multi-Currency Setting

    Mathematics in Industry (Springer Medizin), pp. 313-319

  2. Total value adjustment for European options in a multi-currency setting

    Applied Mathematics and Computation, Vol. 413

2020

  1. PDE models for American options with counterparty risk and two stochastic factors: Mathematical analysis and numerical solution

    Computers and Mathematics with Applications, Vol. 79, Núm. 5, pp. 1525-1542

2019

  1. A Monte Carlo approach to American options pricing including counterparty risk

    International Journal of Computer Mathematics, Vol. 96, Núm. 11, pp. 2157-2176

  2. Mathematical analysis of a nonlinear PDE model for European options with counterparty risk

    Comptes Rendus Mathematique, Vol. 357, Núm. 3, pp. 252-257

  3. Third International Conference on Computational Finance: Book of abstracts

    Servizo de Publicacións

2018

  1. Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation

    Computers and Mathematics with Applications, Vol. 76, Núm. 4, pp. 725-740

2017

  1. A numerical strategy for telecommunications networks capacity planning under demand and price uncertainty

    Journal of Computational and Applied Mathematics, Vol. 318, pp. 491-503

  2. CVA computing by PDE models

    Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)

  3. PDE models and numerical methods for total value adjustment in European and American options with counterparty risk

    Applied Mathematics and Computation, Vol. 308, pp. 31-53

2014

  1. Adaptive numerical methods for an hydrodynamic problem arising in magnetic reading devices Dedicated to Professor Guy Bayada.

    Mathematics and Computers in Simulation, Vol. 99, pp. 190-202

  2. Evaluation of the Optimal Utility of Some Investment Projects with Irreversible Environmental Effects

    Pure and Applied Geophysics, Vol. 172, Núm. 1, pp. 149-165

2012

  1. Numerical solution of an optimal investment problem with proportional transaction costs

    Journal of Computational and Applied Mathematics

2010

  1. Numerical simulation in Physics and Engineering: proceedings of the XIV Spanish-French Jacques-Louis Lions School : (A Coruña, Spain, September 6-10th, 2010)

    Servizo de Publicacións

  2. Numerical solution of a free boundary problem associated to investments with instantaneous irreversible environmental effects

    Applied Mathematics and Computation, Vol. 215, Núm. 9, pp. 3461-3472

2008

  1. Numerical solution of a 1-d elastohydrodynamic problem in magnetic storage devices

    Mathematical Modelling and Numerical Analysis, Vol. 42, Núm. 4, pp. 645-665

2007

  1. Numerical simulation of head-tape magnetic reading devices by a new 2-D model

    Finite Elements in Analysis and Design, Vol. 43, Núm. 4, pp. 311-320

2006

  1. Optimization of a duality method for the compressible Reynolds equation

    Numerical Mathematics and Advanced Applications: ENUMATH 2005