Iñigo Arregui Álvarez

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Publications

Journal articles
  • Íñigo Arregui, Mirco Martini, Roberta Simonella, Carlos Vázquez. Total value adjustment in a multi-currency framework with stochastic exchange rates and mean reversion spreads, preprint.
  • I. Arregui, A. López-Núñez, C. Vázquez. Pricing American real options with double continuation region under Heston model, preprint.
  • Iñigo Arregui, Álvaro Leitao, Beatriz Salvador, Carlos Vázquez.
     Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk,
    International Journal of Computer Mathematics, 101 (2024) 8, 821-841.
  • Iñigo Arregui, J. Jesús Cendán, María González.
     Numerical simulation of a time dependent lubrication problem arising in magnetic reading processes,
    Discrete and Continuous Dynamical Systems, Series S, 17 (2024) 7, 2436-2449.
  • Iñigo Arregui, Roberta Simonella, Carlos Vázquez.
     Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework,
    Communications in Nonlinear Science and Numerical Simulation, 130 (2024) Article Nr. 107725.
  • Iñigo Arregui, Roberta Simonella, Carlos Vázquez.
     Total value adjustment for European options in a multi-currency setting,
    Applied Mathematics and Computation, 413 (2022) Article Nr. 126647.
  • Iñigo Arregui, Beatriz Salvador, Daniel Ševčovič, Carlos Vázquez.
     PDE models for American options with counterparty risk and two stochastic factors: mathematical analysis and numerical solution,
    Computers & Mathematics with Applications, 79 (2020) 5, 1525-1542.
  • Iñigo Arregui, Jonatan Ráfales.
     A stochastic local volatility technique for TARN options,
    International Journal of Computer Mathematics, 97 (2020) 5, 1133-1149.
  • 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.
  • 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.
  • 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.
  • 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.
  • Iñigo Arregui, Beatriz Salvador, Carlos Vázquez.
     PDE models and numerical methods for total value adjustment in European and American options with counterparty risk,
    Applied Mathematics and Computation, 308 (2017) 31-53.
  • Iñigo Arregui, Beatriz Salvador, Carlos Vázquez.
     A numerical strategy for telecommunications networks capacity planning under demand and price uncertainty,
    Journal of Computational and Applied Mathematics, 318 (2017) 491-503.
  • Iñigo Arregui, Carlos Vázquez.
     Evaluation of the optimal utility of some investment projects with irreversible environmental effects,
    Pure and Applied Geophysics, 172 (2015) 149-165.
  • Iñigo Arregui, Jesús I. Díaz, Carlos Vázquez.
     A nonlinear bilaplacian equation with hinged boundary conditions and very weak solutions: analysis and numerical solution,
    Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A, Matemáticas, 108 (2014) 2, 867-879.
  • Iñigo Arregui, José Jesus Cendán, Carlos Vázquez.
     Adaptive numerical methods for an hydrodynamic problem arising in magnetic reading devices,
    Mathematics and Computers in Simulation, 99 (2014) 190-202.
  • Iñigo Arregui, Carlos Vázquez.
     Numerical solution of an optimal investment problem with proportional transaction costs,
    Journal of Computational and Applied Mathematics, 236 (2012) 12, 2923-2937.
  • Antonio Acción, Iñigo Arregui, Carlos Vázquez.
     Numerical solution of a free boundary problem associated to investments with instantaneous irreversible environmental effects,
    Applied Mathematics and Computation, 215 (2010) 9, 3461-3472.
  • Iñigo Arregui, José Jesus Cendán, Carlos Parés, Carlos Vázquez.
     Numerical solution of a 1-D elastohydrodynamic problem in magnetic storage devices,
    Mathematical Modelling and Numerical Analysis, 42 (2008) 4, 645-665.
  • Iñigo Arregui, José Jesus Cendán, Carlos Vázquez.
     Numerical simulation of head/tape magnetic reading devices by a new 2-D model,
    Finite Elements in Analysis and Design, 43 (2007) 4, 311-320.
  • Iñigo Arregui, José Jesus Cendán, Carlos Vázquez.
     A duality method for the compressible Reynolds equation. Application to simulation of read/write processes in magnetic storage devices,
    Journal of Computational and Applied Mathematics, 175 (2005) 1, 31-40.
  • Iñigo Arregui, José Jesus Cendán, Carlos Vázquez.
     Mathematical analysis and numerical simulation of a Reynolds-Koiter model for the elastohydrodynamic journal-bearing device,
    Mathematical Modelling and Numerical Analysis, 36 (2002) 2, 325-343.
  • Iñigo Arregui, Carlos Vázquez.
     Finite element solution of a Reynolds-Koiter coupled problem for the elastic journal bearing,
    Computer Methods in Applied Mechanics and Engineering, 190 (2001) 2051-2062.
  • Iñigo Arregui, José Jesus Cendán, Carlos Vázquez.
     Existence of solution of an elastohydrodynamic Reynolds-Koiter model,
    Comptes Rendus Mathématique, 333 (2001) 1047-1052.
  • Iñigo Arregui, Philippe Destuynder, Michel Salaün.
     An Eulerian approach for large displacements of thin shells including geometrical non-linearities,
    Computer Methods in Applied Mechanics and Engineering, 140 (1997) 361-381.
  • I. Arregui, M. Salaün.
     Interpolation d'une surface déterminée par des noeuds et des normales,
    Comptes Rendus Mathématique, 318 (1994) 265-268.

Book chapters and proceedings
  • "Proceedings of the XXVI Congreso de Ecuaciones Diferenciales y Aplicaciones XVI Congreso de Matemática Aplicada"
    (Rafael Gallego, Mariano Mateos, eds). Servicio de Publicaciones de la Universidad de Oviedo, 2021. ISBN: 978-84-18482-21-2
    • Iñigo Arregui, Jonatan Ráfales
      Pricing TARN options with a stochastic local volatility model
      Pages 39-43
  • "Third International Conference on Computational Finance. Book of Abstracts"
    (Iñigo Arregui, José A. García, Carlos Vázquez, eds). Universidade da Coruña, 2019. ISBN: 978-84-9749-725-1
    • Í. Arregui, B. Salvador, D. Sevcovic, C. Vázquez
      PDE models for American options with total value adjustment and two stochastic factors
      Pages 107-110
  • "Proceedings of the 18th International Conference on Computational and Mathematical Methods in Science and Engineering"
    (J. Vigo, eds). 2018. ISBN: 978-84-697-7861-6
    • Íñigo Arregui, Jonatan Ráfales
      A stochastic local volatility technique for TARN options

  • "Numerical Analysis and its Applications"
    (I. Dimov, I. Faragó, L. Vulkov, eds). Springer, 2017. ISBN: 978-3-319-57099-0
    • Í. Arregui, B. Salvador, C. Vázquez
      PDEs and numerical methods for XVA computing
      Pages 15-24
  • "Proceedings of the 17th International Conference on Mathematical Methods in Science and Engineering"
    (J. Vigo-Aguiar, eds). 2017. ISBN: 978-84-617-8694-7
    • Í. Arregui, D. Ševčovič, C. Vázquez
      Numerical methods for nonlinear option pricing models with variable transaction costs
      Pages 131-139
  • "Proceedings of the 2015 International Conference on Computational and Mathematical Methods in Science and Engineering"
    (J. Vigo-Aguiar, eds). 2015. ISBN: 978-84-617-2230-3
    • Í. Arregui, B. Salvador, C. Vázquez
      A numerical strategy for telecommunications networks capacity planning
      Pages 152-159
  • "Proceedings of the 2011 International Conference on Computational and Mathematical Methods in Science and Engineering"
    (J. Vigo-Aguiar, eds). 2011. ISBN: 978-84-614-6167-7
    • Í. Arregui, C. Vázquez
      Numerical solution of an optimal investment problem with transaction costs
      Pages 120-126
  • "Actas XXII Congreso de Ecuaciones Diferenciales y Aplicaciones / XII Congreso de Matemática Aplicada"
    Universitat de les Illes Balears, 2011.
    • Í. Arregui, J. J. Cendán, C. Vázquez
      Técnicas de refinamiento y multimalla para la simulación de dispositivos de lectura magnética

  • "Proceedings of the 3rd International Conference on Approximation Methods and Numerical Modelling in Environment and Natural Resources"
    (B. Amaziane, D. Barrera, M. A. Fortes, M. J. Ibáñez, M. Odunlami, A. Palomares, M. Pasadas, M. L. Rodríguez, eds). Editorial Universidad de Granada, 2009. ISBN: 978-84-338-5006-5
    • A. Acción, Í. Arregui, C. Vázquez
      Numerical solution of a free boundary problem associated to investments with irreversible environmental effects
      Pages 31-36
  • "Actas XX Congreso de Ecuaciones Diferenciales y Aplicaciones / X Congreso de Matemática Aplicada"
    Universidad de Sevilla, 2007. ISBN: 978-84-690-7182-3
    • A. Acción, Í. Arregui, C. Vázquez
      Resolución numérica de un problema de frontera libre asociado a inversiones con efectos medioambientales irreversibles

  • "Numerical Mathematics and Advanced Applications"
    (A. Bermúdez de Castro, D. Gómez, P. Quintela, P. Salgado, eds). Springer, 2006. ISBN: 3-540-34287-7
    • Í. Arregui, J. J. Cendán, C. Parés, C. Vázquez
      Optimization of a duality method for the compressible Reynolds equation
      Pages 319-327
  • "Proceedings of the International Conference on Computational Methods in Sciences and Engineering"
    (T. E. Simos, eds). World Scientific, 2003. ISBN: 981-238-595-9
    • Í. Arregui, J. J. Cendán, C. Vázquez
      A duality method for the compressible Reynolds equation. Application to simulation of read/write process in magnetic storage devices

  • "Actas XVI Congreso de Ecuaciones Diferenciales y Aplicaciones / VI Congreso de Matemática Aplicada"
    Servicio de Publicaciones y Producción Documental de la U.L.P.G.C., 1999. ISBN: 84-95286-18-1
    • Í. Arregui, C. Vázquez
      Simulación numérica del eje-cojinete con el nuevo modelo elastohidrodinámico de Reynolds-Koiter

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