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Pre-prints


  1. Ana María Ferreiro, Jose Antonio García-Rodríguez, Carlos Vázquez, Eliana Costa e Silva, Aldina Correia. GPU parallelization of two-phase optimization algorithms.
  2. Iñigo Arregui, Beatriz Salvador, Carlos Vázquez. A Monte Carlo approach to American options pricing including counterparty risk.
  3. Iñigo Arregui, J. Jesús Cendán, María González. A local discontinuous Galerkin method for the compressible Reynolds lubrication equation.
  4. José Luis Fernández, Enrico Ferri y Carlos Vázquez. Asymptotic stability of empirical processes and related functionals.
  5. M. Carmen Calvo-Garrido, Matthias Ehrhardt, Carlos Vázquez. Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations.
  6. M. Suárez-Taboada, J.A.S. Witteveen, L. A. Grzelak and Cornelis W. Oosterlee. Uncertainty Quantification and Heston Model.
  7. Sara Dutra-Lópes, Carlos Vázquez. Real world scenarios with negative interest rates based on the LIBOR Market Model.
  8. Zuzana Krajcovicova, Pedro Pablo Pérez-Velasco, Carlos Vázquez. A new approach to quantification of model risk for practitioners.