Publicaciones en las que colabora con Beatriz Salvador (8)

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

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

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