Journal articles

  1. 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.
  2. 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, 101 (2024) 8, 821-841
  3. 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, 17 (2024) 7, 2436-2449
  4. 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
  5. 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
  6. 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
  7. Iñigo Arregui, Jonatan Ráfales.
     A stochastic local volatility technique for TARN options [Published paper]
    International Journal of Computer Mathematics, 97 (2020) 5, 1133-1149
  8. 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
  9. 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
  10. 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
  11. 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
  12. 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
  13. 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
  14. 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
  15. 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
  16. 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
  17. 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
  18. 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
  19. 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
  20. 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
  21. 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
  22. 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
  23. 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
  24. 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
  25. 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
  26. 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