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Pre-prints

  1. A. Bermúdez, L. Río-Martín, A. Prieto. A time-harmonic/time-domain hybrid approach based on displacement-based formulations to compute the absorbing coefficient in alpha cabins.
  2. Alberto P. Manzano-Herrero, Emanuele Nastasi, Andrea Pallavicini, Carlos Vázquez. Evaluating microscopic and macroscopic models for derivative contracts on commodity indices.
  3. Davide Trevisani, José Germán López-Salas, Carlos Vázquez. Modelling, mathematical analysis and computation of the total value adjustment including KVA and multicurrency.
  4. Graziana Colonna, Ana María Ferreiro-Ferreiro, José Antonio García-Rodríguez, Carlos Vázquez. A Multi-Level Monte Carlo Lagrange-Galerkin mehod for solving a XVA hybrid model in European options.
  5. Íñigo Arregui, Alejandro López-Núñez, Carlos Vázquez. Pricing American real options with double continuation region under Heston model.
  6. Joel P. Villarino, Alvaro Leitao. On Deep Learning for computing the Dynamic Initial Margin and Margin Value Adjustment.
  7. Manuel Pájaro, Irene Otero-Muras, Carlos Vázquez. Stochastic modelling of viral infection spread via a Partial Integro-Differential equation.