Listar por autor "Vázquez, Carlos"
Mostrando ítems 1-20 de 33
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A Modular Framework for Generic Quantum Algorithms
Manzano, Alberto; Musso, Daniele; Leitao, Álvaro; Gómez, Andrés; Vázquez, Carlos; Ordóñez, Gustavo; Rodríguez Nogueiras, María (MDPI, 2022)[Abstract] We describe a general-purpose framework to design quantum algorithms. This framework relies on two pillars: a basic data structure called quantum matrix and a modular structure based on three quasi-independent ... -
A new numerical method for pricing fixed-rate mortgages withprepayment and default options
Calvo-Garrido, María-del-Carmen; Vázquez, Carlos (Taylor & Francis Online, 2016)[Abstract] In this paper we consider the valuation of fixed-rate mortgages including prepayment and default options,where the underlying stochastic factors are the house price and the interest rate. The mathematical modelto ... -
A Numerical Strategy for Telecommunications Networks Capacity Planning Under Demand and Price Uncertainty
Arregui, Íñigo; Salvador, Beatriz; Vázquez, Carlos (Elsevier BV * North-Holland, 2017-07)[Abstract] The massive use of Internet in the last twenty years has created a huge demand for telecommunications networks capacity. In this work, financial option pricing methods are applied to the problem of network ... -
A Survey on Quantum Computational Finance for Derivatives Pricing and VaR
Gómez, Andrés; Leitao, Álvaro; Manzano, Alberto; Musso, Daniele; Nogueiras, María R.; Ordóñez, Gustavo; Vázquez, Carlos (Springer, 2022-10)[Abstract]: We review the state of the art and recent advances in quantum computing applied to derivative pricing and the computation of risk estimators like Value at Risk. After a brief description of the financial ... -
A Two-Dimensional Multi-Species Model for Different Listeria Monocytogenes Biofilm Structures and Its Numerical Simulation
Balsa-Canto, Eva; López-Núñez, Alejandro; Vázquez, Carlos (Elsevier BV, 2020-11-01)[Abstract] In this work we propose a two-dimensional multi-species model to describe the dynamics of biofilms formed by the pathogenic bacteria Listeria monocytogenes. Different Listeria monocytogenes strains produce ... -
Automated design of synthetic biocircuits in the stochastic regime
Sequeiros, Carlos; Vázquez, Carlos; Banga, Julio R.; Otero-Muras, Irene (IFAC Secretariat / Elsevier, 2022)[Abstract]: In this work, we present an optimization-based design strategy for gene regulatory networks (GRNs) in the stochastic regime (i.e., in the presence of molecular noise). The approach exploits a recently developed ... -
Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance
Calvo-Garrido, María-del-Carmen; Vázquez, Carlos (Elsevier, 2015)[Abstract] In the pricing of fixed rate mortgages with prepayment and default options, we introduce jump-diffusion models for the house price evolution. These models take into account sudden changes in the price (jumps) ... -
Global Optimization for Automatic Model Points Selection in Life Insurance Portfolios
Ferreiro, Ana M.; Ferri, Enrico; García Rodríguez, José Antonio; Vázquez, Carlos (MDPI AG, 2021-02-25)[Abstract] Starting from an original portfolio of life insurance policies, in this article we propose a methodology to select model points portfolios that reproduce the original one, preserving its market risk under a ... -
Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
Calvo-Garrido, María-del-Carmen; Vázquez, Carlos; Ehrhardt, Matthias (Elsevier, 2019)[Abstract] In this paper we consider the valuation of swing options with the possibility of incorporating spikes in the underlying electricity price. This kind of contracts are modelled as path dependent options with ... -
Libor Market Model for pricing derivatives on two interest rate curves
Fernández Pérez, J.L.; Pou Bueno, Marta; Rodríguez Nogueiras, María; Vázquez, Carlos (Universidade da Coruña, 2010) -
Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement
Calvo-Garrido, María-del-Carmen; Vázquez, Carlos; Pascucci, Andrea (SIAM, 2013)[Abstract] In this paper, we address the mathematical analysis and numerical solution ofa model for pricing a defined benefit pension plan. More precisely, the benefits received by themember of the plan depend on the ... -
Mathematical analysis and numerical simulation of a Reynolds-Koiter model for the elastohydrodynamic journal-bearing device
Arregui, Íñigo; Cendán Verdes, José Jesús; Vázquez, Carlos (E D P Sciences, 2002-03)[Abstract] The aim of this work is to deduce the existence of solution of a coupled problem arising in elastohydrodynamic lubrication. The lubricant pressure and concentration are modelled by Reynolds equation, jointly ... -
Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options
Calvo-Garrido, María-del-Carmen; Vázquez, Carlos (Elsevier, 2018)[Abstract] In this paper, we address the mathematical analysis of a partial differential equation model for pricing fixed-rate mortgages with prepayment and default options, where the underlying stochastic factors are the ... -
Method for Pricing Renewable Energy Certificates
Baamonde-Seoane, María A; Calvo-Garrido, María-del-Carmen; Vázquez, Carlos (Universidade da Coruña, Servizo de Publicacións, 2023)[Abstract] In this work we present one valuation method for Renewable Energy Certificates (RECs). Starting from a system of FBSDEs and using Ito lemma, we propose a mathematical model based on a semilinear PDE with two ... -
Model and numerical methods for pricing renewable energy certificate derivatives
Baamonde-Seoane, María A.; Calvo-Garrido, María-del-Carmen; Vázquez, Carlos (Elsevier B.V., 2023-04)[Abstract]: Assuming that the price of the renewable energy certificate (REC) is known, we formulate the valuation problem of a European REC derivative in terms of a linear PDE model where the underlying stochastic factors ... -
Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework
Arregui, Íñigo; Simonella, Roberta; Vázquez, Carlos (Elsevier B.V., 2024-03)[Abstract]: In this article we make some new relevant contributions to the computation of total valuation adjustments (XVA) for financial derivatives involving several currencies. From the modelling point of view, for the ... -
Numerical solution of a 1-d elastohydrodynamic problem in magnetic storage devices
Arregui, Íñigo; Cendán Verdes, José Jesús; Parés, Carlos; Vázquez, Carlos (E D P Sciences, 2008-07)[Abstract] In this work we present new numerical methods to simulate the mechanics of head-tape magnetic storage devices. The elastohydrodynamic problem is formulated in terms of a coupled system which is governed by a ... -
Numerical Solution of a Nonlinear PDE Model for Pricing Renewable Energy Certificates (RECs)
Baamonde-Seoane, María A.; Calvo-Garrido, María-del-Carmen; Coulon, Michael; Vázquez, Carlos (Elsevier, 2021)[Abstract] In this article we present a valuation method for Renewable Energy Certificates (RECs) or green certificates. For this purpose, we propose a non-linear PDE model with two stochastic factors: the accumulated green ... -
PDE Models and Numerical Methods for Total Value Adjustment in European and American Options with Counterparty Risk
Arregui, Íñigo; Salvador, Beatriz; Vázquez, Carlos (Elsevier Inc., 2017-09-01)[Abstract] Since the last financial crisis, a relevant effort in quantitative finance research concerns the consideration of counterparty risk in financial contracts, specially in the pricing of derivatives. As a consequence ... -
PDE Models for the Pricing of a Defaultable Coupon-Bearing Bond Under an Extended JDCEV Model
Calvo-Garrido, María-del-Carmen; Diop, Sidi; Pascucci, Andrea; Vázquez, Carlos (Elsevier, 2021)[Abstract] We consider a two-factor model for the pricing of a non callable defaultable bond which pays coupons at certain given dates. The model under consideration is the Jump to Default Constant Elasticity of Variance ...