Publicacións (35) Publicacións de Iñigo Arregui Álvarez

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

  3. NUMERICAL SIMULATION OF A TIME DEPENDENT LUBRICATION PROBLEM ARISING IN MAGNETIC READING PROCESSES

    Discrete and Continuous Dynamical Systems - Series S, Vol. 17, Núm. 7, pp. 2436-2449

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

2021

  1. Pricing TARN options with a stochastic local volatility model

    Proceedings of the XXVI Congreso de Ecuaciones Diferenciales y Aplicaciones, XVI Congreso de Matemática Aplicada: Gijón (Asturias), Spain, June 14-18, 2021

  2. XVA for American options with two stochastic factors:: modelling, mathematical analysis and numerical methods

    Proceedings of the XXVI Congreso de Ecuaciones Diferenciales y Aplicaciones, XVI Congreso de Matemática Aplicada: Gijón (Asturias), Spain, June 14-18, 2021

2020

  1. A stochastic local volatility technique for TARN options

    International Journal of Computer Mathematics, Vol. 97, Núm. 5, pp. 1133-1149

  2. 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. A local discontinuous Galerkin method for the compressible Reynolds lubrication equation

    Applied Mathematics and Computation, Vol. 349, pp. 337-347

  3. Application of a local discontinuous galerkin method to the 1D compressible reynolds equation

    SEMA SIMAI Springer Series (Springer International Publishing), pp. 63-75

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

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

  5. Third International Conference on Computational Finance: Book of abstracts ed. lit.

    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