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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. Manuel Pájaro, Irene Otero-Muras, Carlos Vázquez. Stochastic modelling of viral infection spread via a Partial Integro-Differential equation.