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| Nombre | Arregui Álvarez, Iñigo |
| Área conocimiento | Matemática aplicada |
| Categoría | Profesor Titular de Universidad |
| Dedicación | Total |
| Correo | inigo.arregui@udc.es |
| Web personal | http://dm.udc.es/staff/arregui |
| Grupo investigación | M2NICA |
Localización
| Centro | Campus | Teléfono | Extensión |
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Docencia
| Titulación(es) | Asignatura(s) |
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Artículos publicados
- Iñigo Arregui, Roberta Simonella, Carlos Vázquez.
Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework.
Communications in Nonlinear Science and Numerical Simulation, 130 (2024) , Article Nr. 107725.
- Iñigo Arregui, Álvaro Leitao, Beatriz Salvador, Carlos Vázquez.
Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk.
International Journal of Computer Mathematics, 101 (2024) , 8 , 821-841.
- Iñigo Arregui, J. Jesús Cendán, María González.
Numerical simulation of a time dependent lubrication problem arising in magnetic reading processes.
Discrete and Continuous Dynamical Systems, Series S, 17 (2024) , 7 , 2436-2449.
- Iñigo Arregui, Roberta Simonella, Carlos Vázquez.
Total value adjustment for European options in a multi-currency setting.
Applied Mathematics and Computation, 413 (2022) , Article Nr. 126647.
- Iñigo Arregui, Beatriz Salvador, Daniel Ševčovič, Carlos Vázquez.
PDE models for American options with counterparty risk and two stochastic factors: mathematical analysis and numerical solution.
Computers & Mathematics with Applications, 79 (2020) , 5 , 1525-1542.
- Iñigo Arregui, Jonatan Ráfales.
A stochastic local volatility technique for TARN options.
International Journal of Computer Mathematics, 97 (2020) , 5 , 1133-1149.
- Iñigo Arregui, J. Jesús Cendán, María González.
A local discontinuous Galerkin method for the compressible Reynolds lubrication equation.
Applied Mathematics and Computation, 349 (2019) , 337-347.
- Iñigo Arregui, Beatriz Salvador, Carlos Vázquez.
A Monte Carlo approach to American options pricing including counterparty risk.
International Journal of Computer Mathematics, 96 (2019) , 11 , 2157-2176.
- Iñigo Arregui, Beatriz Salvador, Daniel Ševčovič, Carlos Vázquez.
Mathematical analysis of a nonlinear PDE model for European options with counterparty risk.
Comptes Rendus Mathématique, 357 (2019) , 3 , 252-257.
- Iñigo Arregui, Beatriz Salvador, Daniel Ševčovič, Carlos Vázquez.
Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation.
Computers & Mathematics with Applications, 76 (2018) , 4 , 725-740.
- Iñigo Arregui, Beatriz Salvador, Carlos Vázquez.
PDE models and numerical methods for total value adjustment in European and American options with counterparty risk.
Applied Mathematics and Computation, 308 (2017) , 31-53.
- Iñigo Arregui, Beatriz Salvador, Carlos Vázquez.
A numerical strategy for telecommunications networks capacity planning under demand and price uncertainty.
Journal of Computational and Applied Mathematics, 318 (2017) , 491-503.
- Iñigo Arregui, Carlos Vázquez.
Evaluation of the optimal utility of some investment projects with irreversible environmental effects.
Pure and Applied Geophysics, 172 (2015) , 149-165.
- Iñigo Arregui, Jesús I. Díaz, Carlos Vázquez.
A nonlinear bilaplacian equation with hinged boundary conditions and very weak solutions: analysis and numerical solution.
Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A, Matemáticas, 108 (2014) , 2 , 867-879.
- Iñigo Arregui, José Jesus Cendán, Carlos Vázquez.
Adaptive numerical methods for an hydrodynamic problem arising in magnetic reading devices.
Mathematics and Computers in Simulation, 99 (2014) , 190-202.
- Iñigo Arregui, Carlos Vázquez.
Numerical solution of an optimal investment problem with proportional transaction costs.
Journal of Computational and Applied Mathematics, 236 (2012) , 12 , 2923-2937.
- Antonio Acción, Iñigo Arregui, Carlos Vázquez.
Numerical solution of a free boundary problem associated to investments with instantaneous irreversible environmental effects.
Applied Mathematics and Computation, 215 (2010) , 9 , 3461-3472.
- Iñigo Arregui, José Jesus Cendán, Carlos Parés, Carlos Vázquez.
Numerical solution of a 1-D elastohydrodynamic problem in magnetic storage devices.
Mathematical Modelling and Numerical Analysis, 42 (2008) , 4 , 645-665.
- Iñigo Arregui, José Jesus Cendán, Carlos Vázquez.
Numerical simulation of head/tape magnetic reading devices by a new 2-D model.
Finite Elements in Analysis and Design, 43 (2007) , 4 , 311-320.
- Iñigo Arregui, José Jesus Cendán, Carlos Vázquez.
A duality method for the compressible Reynolds equation. Application to simulation of read/write processes in magnetic storage devices.
Journal of Computational and Applied Mathematics, 175 (2005) , 1 , 31-40.
- Iñigo Arregui, José Jesus Cendán, Carlos Vázquez.
Mathematical analysis and numerical simulation of a Reynolds-Koiter model for the elastohydrodynamic journal-bearing device.
Mathematical Modelling and Numerical Analysis, 36 (2002) , 2 , 325-343.
- Iñigo Arregui, José Jesus Cendán, Carlos Vázquez.
Existence of solution of an elastohydrodynamic Reynolds-Koiter model.
Comptes Rendus Mathématique, 333 (2001) , 1047-1052.
- Iñigo Arregui, Carlos Vázquez.
Finite element solution of a Reynolds-Koiter coupled problem for the elastic journal bearing.
Computer Methods in Applied Mechanics and Engineering, 190 (2001) , 2051-2062.
- Iñigo Arregui, Philippe Destuynder, Michel Salaün.
An Eulerian approach for large displacements of thin shells including geometrical non-linearities.
Computer Methods in Applied Mechanics and Engineering, 140 (1997) , 361-381.
- I. Arregui, M. Salaün.
Interpolation d'une surface déterminée par des noeuds et des normales.
Comptes Rendus Mathématique, 318 (1994) , 265-268.
- Métodos matemáticos y simulación numérica en economía y finanzas cuantitativas, biotecnología, medioambiente e ingeniería.