Listar OpenAIRE por autor "Vázquez, Carlos"

Mostrando ítems 1-9 de 9

    • 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 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 ...

    • 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 ...

    • 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 ...

    • 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, ...

    • Rationale and Design of a Scope 3 Capital Charge 

      Trevisani, Davide; López, José Germán; Kenyon, Chris; Vázquez, Carlos; Berrahoui, Mourad (Universidade da Coruña, Servizo de Publicacións, 2023)
      [Abstract] Climate change is caused by greenhouse gas emissions, and governments have introduced over seventy carbon pricing instruments (CPIs). Banks finance a significant fraction of global emissions, and many have ...

    • 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 in a multi-currency setting with stochastic foreign exchange rates 

      Simonella, Roberta; Vázquez, Carlos (Elsevier B.V., 2023-05)
      [Abstract]: In the present article we address the modelling and the numerical computation of the total value adjustment for European options in a multi-currency setting when the foreign exchange rates between the different ...