Listar Modelos e métodos numéricos en enxeñaría e ciencias aplicadas (M2NICA) por autor "Vázquez, Carlos"
Mostrando ítems 21-32 de 32
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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 ... -
Pricing pension plans based on average salary without early retirement: partial differential equation modeling and numerical solution
Calvo-Garrido, María-del-Carmen; Vázquez, Carlos (Infopro Digital Services, 2012)[Abstract] In this paper, a partial differential equation model for the pricing of pension plans based on average salary is posed by using the dynamic hedging methodology. The existence and uniqueness of solutions for ... -
Pricing pension plans under jump–diffusion models for the salary
Calvo-Garrido, María-del-Carmen; Vázquez, Carlos (Elsevier, 2014)[Abstract] In this paper we consider the valuation of a defined benefit pension plan in the presence of jumps in the underlying salary and including the possibility of early retirement. We will consider that the salary ... -
Pricing renewable energy certificates with a Crank–Nicolson Lagrange–Galerkin numerical method
Baamonde-Seoane, María A.; Calvo-Garrido, María-del-Carmen; Vázquez, Carlos (2023-04)[Abstract]: The valuation problem of renewable energy certificates can be formulated in terms of a nonlinear PDE model where the underlying stochastic factors are the accumulated green certificates sold by an authorized ... -
Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach
Calvo-Garrido, María-del-Carmen; Vázquez, Carlos; Ehrhardt, Matthias (2017)[Abstract] In this paper, we consider the numerical valuation of swing options in electricity markets based on a two-factor model. These kinds of contracts are modeled as pathdependent options with multiple exercise ... -
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 ... -
SELANSI: A toolbox for simulation of stochastic gene regulatory networks
Pájaro Diéguez, Manuel; Otero-Muras, Irene; Vázquez, Carlos; Alonso, Antonio (Oxford University Press, 2018-03)[Abstract]: Motivation Gene regulation is inherently stochastic. In many applications concerning Systems and Synthetic Biology such as the reverse engineering and the de novo design of genetic circuits, stochastic effects ... -
The stochastic θ-SEIHRD model: Adding randomness to the COVID-19 spread
Leitao, Álvaro; Vázquez, Carlos (Elsevier, 2022)[Abstract]: In this article we mainly extend a newly introduced deterministic model for the COVID-19 disease to a stochastic setting. More precisely, we incorporated randomness in some coefficients by assuming that they ... -
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 ... -
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 ... -
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 ...