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All (since 1996)


    Pre-prints

  • Ana María Ferreiro, Jose Antonio García-Rodríguez, Carlos Vázquez, Eliana Costa e Silva, Aldina Correia. GPU parallelization of two-phase optimization algorithms.
  • Iñigo Arregui, Beatriz Salvador, Carlos Vázquez. A Monte Carlo approach to American options pricing including counterparty risk.
  • Iñigo Arregui, J. Jesús Cendán, María González. A local discontinuous Galerkin method for the compressible Reynolds lubrication equation.
  • José Luis Fernández, Enrico Ferri y Carlos Vázquez. Asymptotic stability of empirical processes and related functionals.
  • 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.
  • M. Suárez-Taboada, J.A.S. Witteveen, L. A. Grzelak and Cornelis W. Oosterlee. Uncertainty Quantification and Heston Model.
  • Sara Dutra-Lópes, Carlos Vázquez. Real world scenarios with negative interest rates based on the LIBOR Market Model.
  • Zuzana Krajcovicova, Pedro Pablo Pérez-Velasco, Carlos Vázquez. A new approach to quantification of model risk for practitioners.

Accepted for publication

  • Antonio A. Alonso, Rodolfo Bermejo, Manuel Pájaro, Carlos Vázquez. A new numerical method fo the PIDE formulation of a gene networks problem and its numerical analysis, Mathematical Models and Methods in Applied Sciences.
  • 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.
  • L.A. Grzelak, J.A. Witteveen, María Suárez-Taboada, C.W. Oosterlee. The stochastic collocation Monte Carlo sampler: Highly efficient sampling from "expensive" distributions, Quantitative Finance.
  • M. Suárez-Taboada, C. Vázquez. Numerical methods for PDE models related to pricing and expected lifetime of an extraction project, Discrete and Continuous Dynamical Systems - Series B.

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