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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, Daniel Sevcovic, Carlos Vázquez. Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation.
  3. José Luis Fernández, Enrico Ferri y Carlos Vázquez. Asymptotic stability of empirical processes and related functionals.
  4. L.A. Grzelak, J.A. Witteveen, María Suárez-Taboada, C.W. Oosterlee. The stochastic collocation Monte Carlo sampler: Highly efficient sampling from "expensive" distributions.
  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, C. Vázquez. New numerical methods for PDE models related to pricing and expected lifetime of an extraction project.
  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.