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Articulos en 2019

  1. Álvaro Leitao Rodríguez, Justin Lars Kirkby, Luis Ortiz Gracia.. The CTMC-Heston Model: Calibration and Exotic Option Pricing with SWIFT, Social Science Research Network, (2019), .
  2. Ana María Ferreiro, José Antonio García Rodríguez, Luis Souto, Carlos Vázquez. Basin Hopping with synched multi L-BFGS local searches Parallel implementation in multi-CPU and GPUs, Applied Mathematics and Computation, 356 (2019), 282-298.
  3. Ana María Ferreiro, Jose Antonio García-Rodríguez, Carlos Vázquez, Eliana Costa e Silva, Aldina Correia. Parallel two-phase methods for global optimization on GPU, Mathematics and Computers in Simulation, 156 (2019), 67-90.
  4. 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.
  5. 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.
  6. 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.
  7. J. Carbajo, A. Prieto, J. Ramis, L. Río-Martín. A non-parametric fluid-equivalent approach for the acoustic characterization of rigid porous materials, Applied Mathematical Modelling, 76 (2019), 330-347.
  8. José Luis Fernández, Enrico Ferri y Carlos Vázquez. Asymptotic stability of empirical processes and related functionals, Journal of Mathematical Analysis and Applications, 475 (2019), 755-768.
  9. 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, 19 (2019), 2, 339-356.
  10. 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, Applied Numerical Mathematics, 139 (2019), 77-92.
  11. Manuel Pájaro, Irene Otero-Muras, Carlos Vazquez, Antonio A. Alonso. Inherent stochasticity precludes hysteresis in gene regulatory networks, Nature Communications, 10 (2019), 4581.
  12. María Suárez-Taboada, Carlos Vázquez. Numerical methods for PDE models related to pricing and expected lifetime of an extraction project, Discrete and Continuous Dynamical Systems - Series B, 24 (2019), 8, 3503-3523.
  13. Michele Pignotti, María Suarez-Taboada, Carlos Vázquez. A new mathematical model for pricing a mine extraction project, Nonlinear Analysis: Real World Applications, 50 (2019), 8-24.
  14. Sara Dutra-Lópes, Carlos Vázquez. Real world scenarios with negative interest rates based on the LIBOR Market Model, Applied Mathematical Finance, 25 (2019), 466-482.
  15. Shashi Jain, Álvaro Leitao Rodríguez, Cornelis W. Oosterlee.. Rolling adjoints: fast Greeks along Monte Carlo scenarios for early-exercise options, Journal of Computational Science, 33 (2019), 95-112.
  16. T.P. Barrios, E.M. Behrens and M. Gonzalez. A posteriori error analysis of an augmented dual-mixed method in linear elasticity with mixed boundary conditions, International Journal of Numerical Analysis and Modeling, 16 (2019), 5, 804-824.
  17. T.P. Barrios, E.M. Behrens y M. González. New a posteriori error estimator for an stabilized mixed method applied to incompressible fluid flows, Applied Mathematics and Computation, 351 (2019), 37-47.
  18. T.P. Barrios, R. Bustinza, G.C. García y M. González. An a posteriori error analysis of a velocity-pseudostress formulation of the generalized Stokes problem, Journal of Computational and Applied Mathematics, 357 (2019), 349-365.
  19. Zuzana Krajcovicova, Pedro Pablo Pérez-Velasco, Carlos Vázquez. A new approach to quantification of model risk for practitioners, Journal of Computational Finance, 23 (2019), 2, 1-27.