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Artigos en 2018

  1. Álvaro Leitao Rodríguez, Cornelis W. Oosterlee, Luis Ortiz Gracia, Sander M. Bohte. On the data-driven COS method, Applied Mathematics and Computation, 317 (2018), 15, 68-84.
  2. Álvaro Leitao Rodríguez, Luis Ortiz Gracia. Model-free computation of risk contributions in credit portfolios, Social Science Research Network, (2018), .
  3. Álvaro Leitao Rodríguez; Luis Ortiz Gracia; Emma I. Wagner. SWIFT valuation of discretely monitored arithmetic Asian options, Journal of Computational Science, 28 (2018), 120-139.
  4. Antonio A. Alonso, Rodolfo Bermejo, Manuel Pájaro, Carlos Vázquez. Numerical analysis of a method for a partial integro-differential equation model in regulatory gene networks, Mathematical Models and Methods in Applied Sciences, 28 (2018), 10, 2069-2095.
  5. Cea, Luis; Fraga, Ignacio. Incorporating antecedent moisture conditions and intra-event variability of rainfall on flood frequency analysis in poorly gauged basins, Water Resources Research, (2018), .
  6. Fraga, Ignacio; Cea, Luis; Puertas, Jerónimo. Effect of rainfall uncertainty on the performance of physically-based rainfall-runoff models, Hydrological Processes, (2018), .
  7. 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, 76 (2018), 4, 725-740.
  8. José Germán López-Salas, Carlos Vázquez. PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique, Computers & Mathematics with Applications, 75 (2018), 5, 1616-1634.
  9. José Luis Fernández, Ana Maria Ferreiro, Jose Antonio García-Rodríguez, Carlos Vázquez. GPU parallel implementation for Asset-Liability Management in insurance companies, Journal of Computational Science, 24 (2018), 232-254.
  10. Lina von Sydow, Slobodan Milovanovic, Elisabeth Larsson, Karel In't Hout, Magnus Wiktorsson, Cornelis W. Oosterlee, Victor Shcherbakov, Maarten Wyns, Alvaro Leitao, Shashi Jain, Tinne Haentjens, Johan Walden. BENCHOP–SLV: The BENCHmarking project in option pricing – Stochastic and Local Volatility problems, International Journal of Computer Mathematics, 10 (2018), 1910-1923.
  11. M. Suárez-Taboada, J.A.S. Witteveen, L. A. Grzelak and Cornelis W. Oosterlee. Uncertainty Quantification and Heston Model, Journal of Mathematics in Industry, 8 (2018), 5, .
  12. Manuel Pájaro, Irene Otero-Muras, Antonio A. Alonso, Carlos Vázquez. SELANSI: a toolbox for the numerical simulation of stochastic gene regulatory networks, Bioinformatics, 34 (2018), 5, 893-895.
  13. María del Carmen Calvo-Garrido, Carlos Vázquez. Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options, Nonlinear Analysis: Real World Applications, 39 (2018), 157-165.
  14. María González, Virginia Selgas. Analysis of a velocity-stress-pressure formulation for a fluid-structure interaction problem Journal title, Applied Numerical Mathematics, 123 (2018), 275-299.