Journal articles
- Iñigo Arregui, Roberta Simonella, Carlos Vázquez.
Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework
[Published paper]
Communications in Nonlinear Science and Numerical Simulation, 130 (2024) Article Nr. 107725
- Iñigo Arregui, Álvaro Leitao, Beatriz Salvador, Carlos Vázquez.
Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk
[Published paper]
International Journal of Computer Mathematics (2023)
- Iñigo Arregui, J. Jesús Cendán, María González.
Numerical simulation of a time dependent lubrication problem arising in magnetic reading processes
[Published paper]
Discrete and Continuous Dynamical Systems, Series S (2023)
- Iñigo Arregui, Roberta Simonella, Carlos Vázquez.
Total value adjustment for European options in a multi-currency setting
[Published paper]
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
[Published paper]
Computers & Mathematics with Applications, 79 (2020) 5, 1525-1542
- Iñigo Arregui, Jonatan Ráfales.
A stochastic local volatility technique for TARN options
[Published paper]
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
[Preprint][Published paper]
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
[Published paper]
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
[Preprint][Published paper]
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
[Preprint][Published paper]
Computers & Mathematics with Applications, 76 (2018) 4, 725-740
- Iñigo Arregui, Beatriz Salvador, Carlos Vázquez.
A numerical strategy for telecommunications networks capacity planning under demand and price uncertainty
[Preprint][Published paper]
Journal of Computational and Applied Mathematics, 318 (2017) 491-503
- Iñigo Arregui, Beatriz Salvador, Carlos Vázquez.
PDE models and numerical methods for total value adjustment in European and American options with counterparty risk
[Preprint][Published paper]
Applied Mathematics and Computation, 308 (2017) 31-53
- Iñigo Arregui, Carlos Vázquez.
Evaluation of the optimal utility of some investment projects with irreversible environmental effects
[Preprint][Published paper]
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
[Published paper]
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
[Preprint][Published paper]
Mathematics and Computers in Simulation, 99 (2014) 190-202
- Iñigo Arregui, Carlos Vázquez.
Numerical solution of an optimal investment problem with proportional transaction costs
[Preprint][Published paper]
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
[Published paper]
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
[Published paper]
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
[Published paper]
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
[Published paper]
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
[Published paper]
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
[Published paper]
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
[Published paper]
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
[Published paper]
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
- Iñigo Arregui, Roberta Simonella, Carlos Vázquez.
Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework [Published paper]
Communications in Nonlinear Science and Numerical Simulation, 130 (2024) Article Nr. 107725 - Iñigo Arregui, Álvaro Leitao, Beatriz Salvador, Carlos Vázquez.
Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk [Published paper]
International Journal of Computer Mathematics (2023) - Iñigo Arregui, J. Jesús Cendán, María González.
Numerical simulation of a time dependent lubrication problem arising in magnetic reading processes [Published paper]
Discrete and Continuous Dynamical Systems, Series S (2023) - Iñigo Arregui, Roberta Simonella, Carlos Vázquez.
Total value adjustment for European options in a multi-currency setting [Published paper]
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 [Published paper]
Computers & Mathematics with Applications, 79 (2020) 5, 1525-1542 - Iñigo Arregui, Jonatan Ráfales.
A stochastic local volatility technique for TARN options [Published paper]
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 [Preprint][Published paper]
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 [Published paper]
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 [Preprint][Published paper]
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 [Preprint][Published paper]
Computers & Mathematics with Applications, 76 (2018) 4, 725-740 - Iñigo Arregui, Beatriz Salvador, Carlos Vázquez.
A numerical strategy for telecommunications networks capacity planning under demand and price uncertainty [Preprint][Published paper]
Journal of Computational and Applied Mathematics, 318 (2017) 491-503 - Iñigo Arregui, Beatriz Salvador, Carlos Vázquez.
PDE models and numerical methods for total value adjustment in European and American options with counterparty risk [Preprint][Published paper]
Applied Mathematics and Computation, 308 (2017) 31-53 - Iñigo Arregui, Carlos Vázquez.
Evaluation of the optimal utility of some investment projects with irreversible environmental effects [Preprint][Published paper]
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 [Published paper]
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 [Preprint][Published paper]
Mathematics and Computers in Simulation, 99 (2014) 190-202 - Iñigo Arregui, Carlos Vázquez.
Numerical solution of an optimal investment problem with proportional transaction costs [Preprint][Published paper]
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 [Published paper]
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 [Published paper]
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 [Published paper]
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 [Published paper]
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 [Published paper]
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 [Published paper]
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 [Published paper]
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 [Published paper]
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
Departamento de Matemáticas
Facultad de Informática
Campus de Elviña, s/n
15071 - A Coruña (Spain)
Tel: +34.881.011.327
Facultad de Informática
Campus de Elviña, s/n
15071 - A Coruña (Spain)
Tel: +34.881.011.327