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Carlos Vázquez 0002
Person information
- affiliation: University of A Coruña, Department of Mathematics, Spain
Other persons with the same name
- Carlos Vázquez — disambiguation page
- Carlos Vázquez 0001
— École de technologie supérieure, Montréal, Canada (and 1 more)
- Carlos Vázquez 0003
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2020 – today
- 2025
- [j60]Davide Trevisani, José G. López-Salas, Carlos Vázquez, José Antonio García-Rodríguez:
Mathematical models and numerical methods for a capital valuation adjustment (KVA) problem. Appl. Math. Comput. 488: 129105 (2025) - 2024
- [j59]José G. López-Salas
PDEs for pricing interest rate derivatives under the new generalized Forward Market Model (FMM). Comput. Math. Appl. 169: 88-98 (2024) - [j58]Iñigo Arregui
Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework. Commun. Nonlinear Sci. Numer. Simul. 130: 107725 (2024) - [j57]Álvaro Leitao, Carlos Vázquez:
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. 134: 107997 (2024) - [j56]Jonatan Ráfales, Carlos Vázquez
Jump-diffusion productivity models in equilibrium problems with heterogeneous agents. Math. Comput. Simul. 225: 313-331 (2024) - [i6]Francisco Gomez Casanova, Álvaro Leitao, Fernando De Lope Contreras, Carlos Vázquez:
Deep Joint Learning valuation of Bermudan Swaptions. CoRR abs/2404.11257 (2024) - [i5]Emmanuel Gobet, José G. López-Salas, Carlos Vázquez:
Quasi-Regression Monte-Carlo scheme for semi-linear PDEs and BSDEs with large scale parallelization on GPUs. CoRR abs/2407.21084 (2024) - [i4]Emmanuel Gobet, José G. López-Salas, Plamen Turkedjiev, Carlos Vázquez:
Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs. CoRR abs/2407.21085 (2024) - [i3]Ana M. Ferreiro, José Antonio García-Rodríguez, José G. López-Salas, Carlos Vázquez:
An efficient implementation of parallel simulated annealing algorithm in GPUs. CoRR abs/2408.00018 (2024) - [i2]José G. López-Salas, Soledad Pérez-Rodríguez, Carlos Vázquez:
AMFR-W numerical methods for solving high dimensional SABR/LIBOR PDE models. CoRR abs/2408.00559 (2024) - 2023
- [j55]Carlos Sequeiros, Manuel Pájaro
IDESS: a toolbox for identification and automated design of stochastic gene circuits. Bioinform. 39(10) (2023) - [j54]María A. Baamonde-Seoane
Model and numerical methods for pricing renewable energy certificate derivatives. Commun. Nonlinear Sci. Numer. Simul. 118: 107066 (2023) - [j53]María A. Baamonde-Seoane
Pricing renewable energy certificates with a Crank-Nicolson Lagrange-Galerkin numerical method. J. Comput. Appl. Math. 422: 114891 (2023) - [j52]Roberta Simonella
XVA in a multi-currency setting with stochastic foreign exchange rates. Math. Comput. Simul. 207: 59-79 (2023) - [j51]Carlos Sequeiros
Global Optimization Approach for Parameter Estimation in Stochastic Dynamic Models of Biosystems. IEEE ACM Trans. Comput. Biol. Bioinform. 20(3): 1971-1982 (2023) - 2022
- [j50]Iñigo Arregui
Total value adjustment for European options in a multi-currency setting. Appl. Math. Comput. 413: 126647 (2022) - [j49]Álvaro Leitao
The stochastic θ-SEIHRD model: Adding randomness to the COVID-19 spread. Commun. Nonlinear Sci. Numer. Simul. 115: 106731 (2022) - 2021
- [j48]María A. Baamonde-Seoane
Numerical solution of a nonlinear PDE model for pricing Renewable Energy Certificates (RECs). Appl. Math. Comput. 404: 126199 (2021) - [j47]Jonatan Ráfales, Carlos Vázquez:
Equilibrium models with heterogeneous agents under rational expectations and its numerical solution. Commun. Nonlinear Sci. Numer. Simul. 96: 105673 (2021) - [j46]María del Carmen Calvo-Garrido
PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model. Commun. Nonlinear Sci. Numer. Simul. 102: 105914 (2021) - [j45]José G. López-Salas
AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models. SIAM J. Sci. Comput. 43(1): B30-B54 (2021) - 2020
- [j44]Eva Balsa-Canto
A two-dimensional multi-species model for different Listeria monocytogenes biofilm structures and its numerical simulation. Appl. Math. Comput. 384: 125383 (2020) - [j43]Ana Maria Ferreiro-Ferreiro
Efficient Model Points Selection in Insurance by Parallel Global Optimization Using Multi CPU and Multi GPU. Bus. Inf. Syst. Eng. 62(1): 5-20 (2020) - [j42]Iñigo Arregui
PDE models for American options with counterparty risk and two stochastic factors: Mathematical analysis and numerical solution. Comput. Math. Appl. 79(5): 1525-1542 (2020) - [j41]Juan Galvis
Numerical upscaling of the free boundary dam problem in multiscale high-contrast media. J. Comput. Appl. Math. 367 (2020) - [j40]Ana Maria Ferreiro-Ferreiro
A new calibration of the Heston Stochastic Local Volatility Model and its parallel implementation on GPUs. Math. Comput. Simul. 177: 467-486 (2020) - [i1]Álvaro Leitao, Carlos Vázquez:
A stochastic θ-SEIHRD model: adding randomness to the COVID-19 spread. CoRR abs/2010.15504 (2020)
2010 – 2019
- 2019
- [j39]Ana M. Ferreiro
Basin Hopping with synched multi L-BFGS local searches. Parallel implementation in multi-CPU and GPUs. Appl. Math. Comput. 356: 282-298 (2019) - [j38]Matthias Ehrhardt
Preface. Int. J. Comput. Math. 96(11): 2113-2114 (2019) - [j37]Iñigo Arregui
A Monte Carlo approach to American options pricing including counterparty risk. Int. J. Comput. Math. 96(11): 2157-2176 (2019) - [j36]Ana M. Ferreiro
Parallel two-phase methods for global optimization on GPU. Math. Comput. Simul. 156: 67-90 (2019) - 2018
- [j35]Manuel Pájaro
SELANSI: a toolbox for simulation of stochastic gene regulatory networks. Bioinform. 34(5): 893-895 (2018) - [j34]José G. López-Salas
PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique. Comput. Math. Appl. 75(5): 1616-1634 (2018) - [j33]Iñigo Arregui
Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation. Comput. Math. Appl. 76(4): 725-740 (2018) - [j32]José L. Fernández, Ana M. Ferreiro
GPU parallel implementation for asset-liability management in insurance companies. J. Comput. Sci. 24: 232-254 (2018) - 2017
- [j31]Iñigo Arregui
PDE models and numerical methods for total value adjustment in European and American options with counterparty risk. Appl. Math. Comput. 308: 31-53 (2017) - [j30]J. L. Fernández, Maria R. Nogueiras, M. Pou, Carlos Vázquez
Multicurve LIBOR market models and drift-free simulation. Int. J. Comput. Math. 94(11): 2194-2207 (2017) - [j29]Antonio Falcó
A direct LU solver for pricing American bond options under Hull-White model. J. Comput. Appl. Math. 309: 442-455 (2017) - [j28]Iñigo Arregui
A numerical strategy for telecommunications networks capacity planning under demand and price uncertainty. J. Comput. Appl. Math. 318: 491-503 (2017) - [c4]Z. Krajcovicová, P. P. Pérez-Velasco, Carlos Vázquez
Quantification of Model Risk: Data Uncertainty. GSI 2017: 523-531 - 2016
- [j27]Rafael Company
Computing American option price under regime switching with rationality parameter. Comput. Math. Appl. 72(3): 741-754 (2016) - [j26]María del Carmen Calvo-Garrido
A new numerical method for pricing fixed-rate mortgages with prepayment and default options. Int. J. Comput. Math. 93(5): 761-780 (2016) - [j25]Rafael Company
Finite difference methods for pricing American put option with rationality parameter: Numerical analysis and computing. J. Comput. Appl. Math. 304: 1-17 (2016) - [j24]Emmanuel Gobet, José G. López-Salas
Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs. SIAM J. Sci. Comput. 38(6) (2016) - [c3]Iñigo Arregui
CVA Computing by PDE Models. NAA 2016: 15-24 - 2015
- [j23]María del Carmen Calvo-Garrido
Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance. Appl. Math. Comput. 271: 730-742 (2015) - [j22]Natividad Calvo, José Durany
Enthalpy balance methods versus temperature models in ice sheets. Commun. Nonlinear Sci. Numer. Simul. 22(Issues): 526-544 (2015) - 2014
- [j21]Ana M. Ferreiro
SABR/LIBOR market models: Pricing and calibration for some interest rate derivatives. Appl. Math. Comput. 242: 65-89 (2014) - [j20]María del Carmen Calvo-Garrido
Pricing pension plans under jump-diffusion models for the salary. Comput. Math. Appl. 68(12): 1933-1944 (2014) - [j19]Iñigo Arregui
Adaptive numerical methods for an hydrodynamic problem arising in magnetic reading devices. Math. Comput. Simul. 99: 190-202 (2014) - 2013
- [j18]D. Castillo, Ana M. Ferreiro
Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs. Appl. Math. Comput. 219(24): 11233-11257 (2013) - [j17]Ana M. Ferreiro
An efficient implementation of parallel simulated annealing algorithm in GPUs. J. Glob. Optim. 57(3): 863-890 (2013) - [j16]J. L. Fernández, Ana M. Ferreiro
Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs. Math. Comput. Simul. 94: 55-75 (2013) - [j15]María del Carmen Calvo-Garrido
Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement. SIAM J. Appl. Math. 73(5): 1747-1767 (2013) - 2012
- [j14]M. Suárez-Taboada, Carlos Vázquez
Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics. Appl. Math. Comput. 218(9): 5217-5230 (2012) - [j13]Iñigo Arregui
Numerical solution of an optimal investment problem with proportional transaction costs. J. Comput. Appl. Math. 236(12): 2923-2937 (2012) - 2011
- [j12]Natividad Calvo, José Durany
Numerical methods for a fixed domain formulation of the glacier profile problem with alternative boundary conditions. J. Comput. Appl. Math. 235(5): 1394-1411 (2011) - 2010
- [j11]A. Acción, Iñigo Arregui
Numerical solution of a free boundary problem associated to investments with instantaneous irreversible environmental effects. Appl. Math. Comput. 215(9): 3461-3472 (2010) - [j10]A. González-Gaspar, Carlos Vázquez
A characteristics-finite differences method for the Hobson-Rogers uncertain volatility model. Math. Comput. Model. 52(1-2): 260-267 (2010) - [j9]M. Suárez-Taboada, Carlos Vázquez
A numerical method for pricing spread options on LIBOR rates with a PDE model. Math. Comput. Model. 52(7-8): 1074-1080 (2010)
2000 – 2009
- 2007
- [j8]Natividad Calvo, José Durany
GLANUSIT: A software toolbox for the numerical simulation of large ice masses evolution. Adv. Eng. Softw. 38(6): 410-422 (2007) - 2006
- [j7]Alfredo Bermúdez
Numerical Analysis of Convection-Diffusion-Reaction Problems with Higher Order Characteristics/Finite Elements. Part I: Time Discretization. SIAM J. Numer. Anal. 44(5): 1829-1853 (2006) - [j6]Alfredo Bermúdez
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. 44(5): 1854-1876 (2006) - 2005
- [j5]J. Farto, Carlos Vázquez
Numerical techniques for pricing callable bonds with notice. Appl. Math. Comput. 161(3): 989-1013 (2005) - 2003
- [j4]Natividad Calvo, J. I. Díaz
On a Doubly Nonlinear Parabolic Obstacle Problem Modelling Ice Sheet Dynamics. SIAM J. Appl. Math. 63(2): 683-707 (2003) - 2001
- [j3]Manuel Arenaz, Ramon Doallo, Juan Touriño
Efficient parallel numerical solver for the elastohydrodynamic Reynolds-Hertz problem. Parallel Comput. 27(13): 1743-1765 (2001)
1990 – 1999
- 1999
- [j2]Natividad Calvo, José Durany
Numerical approach of temperature distribution in a free boundary model for polythermal ice sheets. Numerische Mathematik 83(4): 557-580 (1999) - [c2]Manuel Arenaz, Ramon Doallo, Juan Touriño
A Parallel Approach for Solving a Lubrication Problem in Industrial Devices. HPCN Europe 1999: 1087-1093 - 1998
- [j1]Carlos Vázquez
An upwind numerical approach for an American and European option pricing model. Appl. Math. Comput. 97(2-3): 273-286 (1998) - [c1]Manuel Arenaz, Ramon Doallo, Guillermo García
High Performance Computing of an Industrial Problem in Tribology. VECPAR 1998: 652-665
Coauthor Index
Ana M. Ferreiro
aka: Ana Maria Ferreiro-Ferreiro
aka: Ana Maria Ferreiro-Ferreiro
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