Carlos Vázquez

77 papers Journal 73Unranked 4

Year	Rank	Type	Title / Venue / Authors
2026	J	`jnl`	Modelling, mathematical analysis and computation of the total value adjustment including KVA and multi-currency. Commun. Nonlinear Sci. Numer. Simul. Davide Trevisani, José G. López-Salas, Carlos Vázquez
2026	J	`jnl`	Models and numerical methods for equilibrium problems with heterogeneous agents involving two productive sectors. J. Comput. Appl. Math. Jonatan Ráfales, Carlos Vázquez
2026	J	`jnl`	Pricing American real options with double continuation region under Heston model. Appl. Math. Comput. Iñigo Arregui, Alejandro López-Núñez, Carlos Vázquez
2026	J	`jnl`	Two-productive sector equilibrium problems with heterogeneous agents under jump-diffusion models. Comput. Appl. Math. Jonatan Ráfales, Carlos Vázquez
2025	J	`jnl`	Deep joint learning valuation of Bermudan swaptions. Int. J. Comput. Math. Francisco Gomez Casanova, Álvaro Leitao, Fernando De Lope Contreras, Carlos Vázquez
2025	J	`jnl`	Mathematical models and numerical methods for a capital valuation adjustment (KVA) problem. Appl. Math. Comput. Davide Trevisani, José G. López-Salas, Carlos Vázquez, José Antonio García-Rodríguez
2024	J	`jnl`	AMFR-W numerical methods for solving high dimensional SABR/LIBOR PDE models. CoRR José G. López-Salas, Soledad Pérez-Rodríguez, Carlos Vázquez
2024	J	`jnl`	An efficient implementation of parallel simulated annealing algorithm in GPUs. CoRR Ana M. Ferreiro, José Antonio García-Rodríguez, José G. López-Salas, Carlos Vázquez
2024	J	`jnl`	Corrigendum to "article: A stochastic theta-SEIHRD model: adding randomness to covid-19 spread, " [Communications in Nonlinear Science and Numerical Simulation, 115 (2022), 106731]. Commun. Nonlinear Sci. Numer. Simul. Álvaro Leitao, Carlos Vázquez
2024	J	`jnl`	Deep Joint Learning valuation of Bermudan Swaptions. CoRR Francisco Gomez Casanova, Álvaro Leitao, Fernando De Lope Contreras, Carlos Vázquez
2024	J	`jnl`	Editorial. Int. J. Comput. Math. Matthias Ehrhardt, Maria do Rosário Grossinho, Choi-Hong Lai, Kees Oosterlee, Daniel Sevcovic, Carlos Vázquez
2024	J	`jnl`	Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk. Int. J. Comput. Math. Iñigo Arregui, Álvaro Leitao, Beatriz Salvador, Carlos Vázquez
2024	J	`jnl`	Jump-diffusion productivity models in equilibrium problems with heterogeneous agents. Math. Comput. Simul. Jonatan Ráfales, Carlos Vázquez
2024	J	`jnl`	Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework. Commun. Nonlinear Sci. Numer. Simul. Iñigo Arregui, Roberta Simonella, Carlos Vázquez
2024	J	`jnl`	PDEs for pricing interest rate derivatives under the new generalized Forward Market Model (FMM). Comput. Math. Appl. José G. López-Salas, Soledad Pérez-Rodríguez, Carlos Vázquez
2024	J	`jnl`	Quasi-Regression Monte-Carlo scheme for semi-linear PDEs and BSDEs with large scale parallelization on GPUs. CoRR Emmanuel Gobet, José G. López-Salas, Carlos Vázquez
2024	J	`jnl`	Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs. CoRR Emmanuel Gobet, José G. López-Salas, Plamen Turkedjiev, Carlos Vázquez
2023	J	`jnl`	Global Optimization Approach for Parameter Estimation in Stochastic Dynamic Models of Biosystems. IEEE ACM Trans. Comput. Biol. Bioinform. Carlos Sequeiros, Irene Otero-Muras, Carlos Vázquez, Julio R. Banga
2023	J	`jnl`	IDESS: a toolbox for identification and automated design of stochastic gene circuits. Bioinform. Carlos Sequeiros, Manuel Pájaro, Carlos Vázquez, Julio R. Banga, Irene Otero-Muras
2023	J	`jnl`	Model and numerical methods for pricing renewable energy certificate derivatives. Commun. Nonlinear Sci. Numer. Simul. María A. Baamonde-Seoane, María del Carmen Calvo-Garrido, Carlos Vázquez
2023	J	`jnl`	Pricing renewable energy certificates with a Crank-Nicolson Lagrange-Galerkin numerical method. J. Comput. Appl. Math. María A. Baamonde-Seoane, María del Carmen Calvo-Garrido, Carlos Vázquez
2023	J	`jnl`	XVA in a multi-currency setting with stochastic foreign exchange rates. Math. Comput. Simul. Roberta Simonella, Carlos Vázquez
2022	J	`jnl`	The stochastic θ-SEIHRD model: Adding randomness to the COVID-19 spread. Commun. Nonlinear Sci. Numer. Simul. Álvaro Leitao, Carlos Vázquez
2022	J	`jnl`	Total value adjustment for European options in a multi-currency setting. Appl. Math. Comput. Iñigo Arregui, Roberta Simonella, Carlos Vázquez
2021	J	`jnl`	AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models. SIAM J. Sci. Comput. José G. López-Salas, Soledad Pérez-Rodríguez, Carlos Vázquez
2021	J	`jnl`	Equilibrium models with heterogeneous agents under rational expectations and its numerical solution. Commun. Nonlinear Sci. Numer. Simul. Jonatan Ráfales, Carlos Vázquez
2021	J	`jnl`	Numerical solution of a nonlinear PDE model for pricing Renewable Energy Certificates (RECs). Appl. Math. Comput. María A. Baamonde-Seoane, María del Carmen Calvo-Garrido, Michael Coulon, Carlos Vázquez
2021	J	`jnl`	PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model. Commun. Nonlinear Sci. Numer. Simul. María del Carmen Calvo-Garrido, Sidi Diop, Andrea Pascucci, Carlos Vázquez
2020	J	`jnl`	A new calibration of the Heston Stochastic Local Volatility Model and its parallel implementation on GPUs. Math. Comput. Simul. Ana Maria Ferreiro-Ferreiro, José Antonio García-Rodríguez, Luis A. Souto, Carlos Vázquez
2020	J	`jnl`	A stochastic θ-SEIHRD model: adding randomness to the COVID-19 spread. CoRR Álvaro Leitao, Carlos Vázquez
2020	J	`jnl`	A two-dimensional multi-species model for different Appl. Math. Comput. Eva Balsa-Canto, Alejandro López-Núñez, Carlos Vázquez
2020	J	`jnl`	Efficient Model Points Selection in Insurance by Parallel Global Optimization Using Multi CPU and Multi GPU. Bus. Inf. Syst. Eng. Ana Maria Ferreiro-Ferreiro, José Antonio García-Rodríguez, Luis A. Souto, Carlos Vázquez
2020	J	`jnl`	Numerical upscaling of the free boundary dam problem in multiscale high-contrast media. J. Comput. Appl. Math. Juan Galvis, Luis F. Contreras, Carlos Vázquez
2020	J	`jnl`	PDE models for American options with counterparty risk and two stochastic factors: Mathematical analysis and numerical solution. Comput. Math. Appl. Iñigo Arregui, Beatriz Salvador, Daniel Sevcovic, Carlos Vázquez
2019	J	`jnl`	A Monte Carlo approach to American options pricing including counterparty risk. Int. J. Comput. Math. Iñigo Arregui, Beatriz Salvador, Carlos Vázquez
2019	J	`jnl`	Basin Hopping with synched multi L-BFGS local searches. Parallel implementation in multi-CPU and GPUs. Appl. Math. Comput. Ana M. Ferreiro, José Antonio García-Rodríguez, Luis A. Souto, Carlos Vázquez
2019	J	`jnl`	Parallel two-phase methods for global optimization on GPU. Math. Comput. Simul. Ana M. Ferreiro, José Antonio García-Rodríguez, Carlos Vázquez, Eliana Costa e Silva, Aldina Correia
2019	J	`jnl`	Preface. Int. J. Comput. Math. Matthias Ehrhardt, Maria do Rosário Grossinho, Manuel Guerra, João Janela, Choi-Hong Lai, Daniel Sevcovic, Carlos Vázquez
2018	J	`jnl`	GPU parallel implementation for asset-liability management in insurance companies. J. Comput. Sci. José L. Fernández, Ana M. Ferreiro, José Antonio García-Rodríguez, Carlos Vázquez
2018	J	`jnl`	PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique. Comput. Math. Appl. José G. López-Salas, Carlos Vázquez
2018	J	`jnl`	SELANSI: a toolbox for simulation of stochastic gene regulatory networks. Bioinform. Manuel Pájaro, Irene Otero-Muras, Carlos Vázquez, Antonio A. Alonso
2018	J	`jnl`	Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation. Comput. Math. Appl. Iñigo Arregui, Beatriz Salvador, Daniel Sevcovic, Carlos Vázquez
2017	J	`jnl`	A direct LU solver for pricing American bond options under Hull-White model. J. Comput. Appl. Math. Antonio Falcó, Lluis Navarro, Carlos Vázquez
2017	J	`jnl`	A numerical strategy for telecommunications networks capacity planning under demand and price uncertainty. J. Comput. Appl. Math. Iñigo Arregui, Beatriz Salvador, Carlos Vázquez
2017	J	`jnl`	Multicurve LIBOR market models and drift-free simulation. Int. J. Comput. Math. J. L. Fernández, Maria R. Nogueiras, M. Pou, Carlos Vázquez
2017	J	`jnl`	PDE models and numerical methods for total value adjustment in European and American options with counterparty risk. Appl. Math. Comput. Iñigo Arregui, Beatriz Salvador, Carlos Vázquez
2017	—	`conf`	Quantification of Model Risk: Data Uncertainty. GSI Z. Krajcovicová, P. P. Pérez-Velasco, Carlos Vázquez
2016	J	`jnl`	A new numerical method for pricing fixed-rate mortgages with prepayment and default options. Int. J. Comput. Math. María del Carmen Calvo-Garrido, Carlos Vázquez
2016	—	`conf`	CVA Computing by PDE Models. NAA Iñigo Arregui, Beatriz Salvador, Carlos Vázquez
2016	J	`jnl`	Computing American option price under regime switching with rationality parameter. Comput. Math. Appl. Rafael Company, Vera N. Egorova, Lucas Jódar, Carlos Vázquez
2016	J	`jnl`	Finite difference methods for pricing American put option with rationality parameter: Numerical analysis and computing. J. Comput. Appl. Math. Rafael Company, Vera N. Egorova, Lucas Jódar, Carlos Vázquez
2016	J	`jnl`	Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs. SIAM J. Sci. Comput. Emmanuel Gobet, José G. López-Salas, Plamen Turkedjiev, Carlos Vázquez
2015	J	`jnl`	Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance. Appl. Math. Comput. María del Carmen Calvo-Garrido, Carlos Vázquez
2015	J	`jnl`	Enthalpy balance methods Commun. Nonlinear Sci. Numer. Simul. Natividad Calvo, José Durany, Carlos Vázquez
2014	J	`jnl`	Adaptive numerical methods for an hydrodynamic problem arising in magnetic reading devices. Math. Comput. Simul. Iñigo Arregui, J. Jesús Cendán, Carlos Vázquez
2014	J	`jnl`	Pricing pension plans under jump-diffusion models for the salary. Comput. Math. Appl. María del Carmen Calvo-Garrido, Carlos Vázquez
2014	J	`jnl`	SABR/LIBOR market models: Pricing and calibration for some interest rate derivatives. Appl. Math. Comput. Ana M. Ferreiro, José Antonio García-Rodríguez, José G. López-Salas, Carlos Vázquez
2013	J	`jnl`	An efficient implementation of parallel simulated annealing algorithm in GPUs. J. Glob. Optim. Ana M. Ferreiro, José Antonio García-Rodríguez, José G. López-Salas, Carlos Vázquez
2013	J	`jnl`	Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement. SIAM J. Appl. Math. María del Carmen Calvo-Garrido, Andrea Pascucci, Carlos Vázquez
2013	J	`jnl`	Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs. Appl. Math. Comput. D. Castillo, Ana M. Ferreiro, José Antonio García-Rodríguez, Carlos Vázquez
2013	J	`jnl`	Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs. Math. Comput. Simul. J. L. Fernández, Ana M. Ferreiro, José Antonio García-Rodríguez, Álvaro Leitao, José G. López-Salas, Carlos Vázquez
2012	J	`jnl`	Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics. Appl. Math. Comput. M. Suárez-Taboada, Carlos Vázquez
2012	J	`jnl`	Numerical solution of an optimal investment problem with proportional transaction costs. J. Comput. Appl. Math. Iñigo Arregui, Carlos Vázquez
2011	J	`jnl`	Numerical methods for a fixed domain formulation of the glacier profile problem with alternative boundary conditions. J. Comput. Appl. Math. Natividad Calvo, José Durany, R. Toja, Carlos Vázquez
2010	J	`jnl`	A characteristics-finite differences method for the Hobson-Rogers uncertain volatility model. Math. Comput. Model. A. González-Gaspar, Carlos Vázquez
2010	J	`jnl`	A numerical method for pricing spread options on LIBOR rates with a PDE model. Math. Comput. Model. M. Suárez-Taboada, Carlos Vázquez
2010	J	`jnl`	Numerical solution of a free boundary problem associated to investments with instantaneous irreversible environmental effects. Appl. Math. Comput. A. Acción, Iñigo Arregui, Carlos Vázquez
2007	J	`jnl`	GLANUSIT: A software toolbox for the numerical simulation of large ice masses evolution. Adv. Eng. Softw. Natividad Calvo, José Durany, R. Toja, Carlos Vázquez
2006	J	`jnl`	Numerical Analysis of Convection-Diffusion-Reaction Problems with Higher Order Characteristics/Finite Elements. Part I: Time Discretization. SIAM J. Numer. Anal. Alfredo Bermúdez, Maria R. Nogueiras, Carlos Vázquez
2006	J	`jnl`	Numerical Analysis of Convection-Diffusion-Reaction Problems with Higher Order Characteristics/Finite Elements. Part II: Fully Discretized Scheme and Quadrature Formulas. SIAM J. Numer. Anal. Alfredo Bermúdez, Maria R. Nogueiras, Carlos Vázquez
2005	J	`jnl`	Numerical techniques for pricing callable bonds with notice. Appl. Math. Comput. J. Farto, Carlos Vázquez
2003	J	`jnl`	On a Doubly Nonlinear Parabolic Obstacle Problem Modelling Ice Sheet Dynamics. SIAM J. Appl. Math. Natividad Calvo, J. I. Díaz, José Durany, Emanuele Schiavi, Carlos Vázquez
2001	J	`jnl`	Efficient parallel numerical solver for the elastohydrodynamic Reynolds-Hertz problem. Parallel Comput. Manuel Arenaz, Ramon Doallo, Juan Touriño, Carlos Vázquez
1999	—	`conf`	A Parallel Approach for Solving a Lubrication Problem in Industrial Devices. HPCN Europe Manuel Arenaz, Ramon Doallo, Juan Touriño, Carlos Vázquez
1999	J	`jnl`	Numerical approach of temperature distribution in a free boundary model for polythermal ice sheets. Numerische Mathematik Natividad Calvo, José Durany, Carlos Vázquez
1998	J	`jnl`	An upwind numerical approach for an American and European option pricing model. Appl. Math. Comput. Carlos Vázquez
1998	—	`conf`	High Performance Computing of an Industrial Problem in Tribology. VECPAR Manuel Arenaz, Ramon Doallo, Guillermo García, Carlos Vázquez