Browsing by Author "Vázquez, Carlos"
Now showing items 1-20 of 51
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A Modular Framework for Generic Quantum Algorithms
Manzano, Alberto; Musso, Daniele; Leitao, Álvaro; Gómez Tato, 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 Tato, 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 ... -
AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models
López-Salas, José Germán; Pérez-Rodríguez, Soledad; Vázquez, Carlos (Society for Industrial and Applied Mathematics (SIAM), 2021-01)[Abstract]: In this work, we mainly develop a new numerical methodology to solve a PDE model recently proposed in the literature for pricing interest rate derivatives. More precisely, we use high-order-in-time AMFR-W-methods, ... -
An efficient implementation of parallel simulated annealing algorithm in GPUs
Ferreiro Ferreiro, Ana María; García Rodríguez, José Antonio; López-Salas, José Germán; Vázquez, Carlos (Springer, 2012-09-26)[Abstract]: In this work we propose a highly optimized version of a simulated annealing (SA) algorithm adapted to the more recently developed graphic processor units (GPUs). The programming has been carried out with compute ... -
Automated design of synthetic biocircuits in the stochastic regime
Sequeiros Ferreiro, Carlos Xosé; 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) ... -
Efficient Calibration and Pricing in LIBOR Market Models with SABR Stochastic Volatility Using GPUs
Ferreiro Ferreiro, Ana María; García Rodríguez, José Antonio; López-Salas, José Germán; Vázquez, Carlos (Springer, 2016)[Abstract]: In order to overcome the drawbacks of assuming deterministic volatility coefficients in the standard LIBOR market models, several extensions of LIBOR models to incorporate stochastic volatilities have been ... -
Equilibrium models with heterogeneous agents under rational expectations and its numerical solution
Ráfales, Jonatan; Vázquez, Carlos (Elsevier B.V., 2021-05)[Abstract]: In this work we assume rational expectations to pose general equilibrium models with heterogeneous firms that can enter or exit the industry. More precisely, we assume a general Ito process for the dynamics of ... -
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 ... -
IDESS: a toolbox for identification and automated design of stochastic gene circuits
Sequeiros Ferreiro, Carlos Xosé; Pájaro Diéguez, Manuel; Vázquez, Carlos; Banga, Julio R.; Otero-Muras, Irene (Oxford University Press, 2023-11)[Abstract]: Motivation One of the main causes hampering predictability during the model identification and automated design of gene circuits in synthetic biology is the effect of molecular noise. Stochasticity may ... -
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 ... -
Jump–diffusion productivity models in equilibrium problems with heterogeneous agents
Ráfales, Jonatan; Vázquez, Carlos (Elsevier B.V., 2024-11)[Abstract]: In this paper we adopt a rational expectations framework to formulate general equilibrium models with heterogeneous agents. The productivity dynamics are characterized by a jump–diffusion model, thus allowing ... -
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 ... -
Mathematical models and numerical methods for a capital valuation adjustment (KVA) problem
Trevisani, Davide; López-Salas, José Germán; Vázquez, Carlos; García Rodríguez, José Antonio (Elsevier B.V., 2025-03)[Abstract]: In this work we rigorously establish mathematical models to obtain the capital valuation adjustment (KVA) as part of the total valuation adjustments (XVAs). For this purpose, we use a semi-replication strategy ...