Iñigo Arregui

15 papers Journal 14Unranked 1
YearRankTypeTitle / Venue / Authors
2026 J jnl
Pricing American real options with double continuation region under Heston model.
Appl. Math. Comput.
Iñigo Arregui, Alejandro López-Núñez, 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
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
2022 J jnl
Total value adjustment for European options in a multi-currency setting.
Appl. Math. Comput.
Iñigo Arregui, Roberta Simonella, Carlos Vázquez
2020 J jnl
A stochastic local volatility technique for TARN options.
Int. J. Comput. Math.
Iñigo Arregui, Jonatan Ráfales
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
A local discontinuous Galerkin method for the compressible Reynolds lubrication equation.
Appl. Math. Comput.
Iñigo Arregui, J. Jesús Cendán, María González
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 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
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
2016 — conf
CVA Computing by PDE Models.
NAA
Iñigo Arregui, Beatriz Salvador, 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
2012 J jnl
Numerical solution of an optimal investment problem with proportional transaction costs.
J. Comput. Appl. Math.
Iñigo Arregui, 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