Listar por autor "Arregui, Íñigo"
Mostrando ítems 1-10 de 10
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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 ... -
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 ... -
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 ... -
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 ... -
Pricing TARN options with a stochastic local volatility model
Arregui, Íñigo; Ráfales, Jonatan (Universidad de Oviedo, Servicio de Publicaciones, 2021)[Abstract]: Target Accumulation Redemption Notes (TARNs) are financial derivatives which give their holders the right to receive periodic coupons until the accumulated sum of those ones reaches an agreed target. In this ... -
Third Emerging Trends in Applied Mathematics and Mechanics. Book of Abstracts. A Coruña, May 20-24, 2024
Cao Rial, María Teresa; Arós, Á.; Arregui, Íñigo; Vázquez, Carlos; Baamonde-Seoane, María A.; Calvo-Garrido, Maria-del-Carmen; Gonzalez Taboada, María; Varela Rodríguez, Hiram; Pereira-Sáez, María José; Brozos-Vázquez, Miguel; Souto Salorio, María José; Tarrío-Tobar, Ana D.; Ráfales, Jonatan; Rodríguez Seijo, José Manuel; Taboada-Vázquez, Raquel (Universidade da Coruña. Servizo de Publicacións, 2024)[Abstract] This volume contains the abstracts of more than fifty oral presentations to be given at the International Conference Emerging Trends in Applied Mathematics and Mechanics (ETAMM 2024) hosted by the School of ... -
Third International Conference on Computational Finance. Book of abstracts: A Coruña, 8-12 July 2019
Arregui, Íñigo; García Rodríguez, José Antonio; Vázquez, Carlos (Universidade da CoruñaUniversidade da Coruña, Servizo de Publicacións, 2019) -
Total Value Adjustment for European Options in a Multi‐Currency Setting
Arregui, Íñigo; Simonella, Roberta; Vázquez, Carlos (Elsevier, 2022)[Abstract] In this article we mainly extend to a multi-currency setting some previous works in the literature concerning total value adjustments in a single currency framework. The motivation comes from the fact that ... -
XVA for American options with two stochastic factors: modelling, mathematical analysis and numerical methods
Arregui, Íñigo; Salvador, Beatriz; Ševčovič, D.; Vázquez, Carlos (Universidad de Oviedo, Servicio de Publicaciones, 2021)[Abstract]: In this work, we derive new linear and nonlinear partial differential equations (PDEs) models for pricing American options and total value adjustment in the presence of counterparty risk. Moreover, stochastic ...