Browsing by Author "Vázquez, Carlos"
Now showing items 1-15 of 15
-
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 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 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 ... -
Global Optimization for Automatic Model Points Selection in Life Insurance Portfolios
Ferreiro, Ana M.; Ferri, Enrico; García-Naya, José A.; 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 ... -
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 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 ... -
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 ... -
Quantum Arithmetic for Directly Embedded Arrays
Manzano, Alberto; Musso, Daniele; Leitao, Álvaro; Gómez, Andrés; Vázquez, Carlos; Ordóñez, Gustavo; Rodríguez Nogueiras, María (MDPI, 2021)[Abstract] We describe a general-purpose framework to implement quantum algorithms relying upon an efficient handling of arrays. The cornerstone of the framework is the direct embedding of information into quantum amplitudes, ... -
Quasi-Regression Monte-Carlo Method for Semi-Linear PDEs and BSDEs
Gobet, Emmanuel; López-Salas, José Germán; Vázquez, Carlos (MDPI AG, 2019-08-06)[Abstract] In this work we design a novel and efficient quasi-regression Monte Carlo algorithm in order to approximate the solution of discrete time backward stochastic differential equations (BSDEs), and we analyze the ... -
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, Ìñigo; 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 ... -
Transient hysteresis and inherent stochasticity in gene regulatory networks
Pájaro Diéguez, Manuel; Otero-Muras, Irene; Vázquez, Carlos; Alonso, Antonio (Nature Publishing Group, 2019-10-08)[Abstract] Cell fate determination, the process through which cells commit to differentiated states is commonly mediated by gene regulatory motifs with mutually exclusive expression states. The classical deterministic ...
