Publications by the researcher in collaboration with Carlos Vázquez Cendón (14)

2023

  1. Model and numerical methods for pricing renewable energy certificate derivatives

    Communications in Nonlinear Science and Numerical Simulation, Vol. 118

  2. Pricing renewable energy certificates with a Crank–Nicolson Lagrange–Galerkin numerical method

    Journal of Computational and Applied Mathematics, Vol. 422

2017

  1. Pricing of mortgages with prepayment and default options: numerical methods for the case with adjustable (floating) rate

    SeMA Journal: Boletín de la Sociedad Española de Matemática Aplicada, Vol. 74, Núm. 3, pp. 279-298

  2. Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach

    Journal of Computational Finance, Vol. 20, Núm. 3, pp. 81-107

2016

  1. A new numerical method for pricing fixed-rate mortgages with prepayment and default options

    International Journal of Computer Mathematics, Vol. 93, Núm. 5, pp. 761-780

2015

  1. Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance

    Applied Mathematics and Computation, Vol. 271, pp. 730-742

  2. Pricing adjustable-rate mortgages with prepayment and default options

    Proceedings of the XXIV Congress on Differential Equations and Applications, XIV Congress on Applied Mathematics

2014

  1. Pricing pension plans under jump-diffusion models for the salary

    Computers and Mathematics with Applications, Vol. 68, Núm. 12, pp. 1933-1944

2013

  1. Mathematical analysis and numerical methods for pricing pension plans allowing early retirement

    SIAM Journal on Applied Mathematics, Vol. 73, Núm. 5, pp. 1747-1767