Carlos Vázquez

According to our database, Carlos Vázquez authored at least 66 papers between 1998 and 2025.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2025

Mathematical models and numerical methods for a capital valuation adjustment (KVA) problem.

Davide Trevisani, José G. López-Salas, Carlos Vázquez, José Antonio García-Rodríguez

Appl. Math. Comput., 2025

2024

Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework.

Iñigo Arregui, Roberta Simonella, Carlos Vázquez

Commun. Nonlinear Sci. Numer. Simul., March, 2024

Jump-diffusion productivity models in equilibrium problems with heterogeneous agents.

Jonatan Ráfales, Carlos Vázquez

Math. Comput. Simul., 2024

Quasi-Regression Monte-Carlo scheme for semi-linear PDEs and BSDEs with large scale parallelization on GPUs.

Emmanuel Gobet, José G. López-Salas, Carlos Vázquez

CoRR, 2024

Deep Joint Learning valuation of Bermudan Swaptions.

Francisco Gomez Casanova, Álvaro Leitao, Fernando De Lope Contreras, Carlos Vázquez

CoRR, 2024

Corrigendum to "article: A stochastic theta-SEIHRD model: adding randomness to covid-19 spread, " [Communications in Nonlinear Science and Numerical Simulation, 115 (2022), 106731].

Álvaro Leitao, Carlos Vázquez

Commun. Nonlinear Sci. Numer. Simul., 2024

PDEs for pricing interest rate derivatives under the new generalized Forward Market Model (FMM).

José G. López-Salas, Soledad Pérez-Rodríguez, Carlos Vázquez

Comput. Math. Appl., 2024

2023

IDESS: a toolbox for identification and automated design of stochastic gene circuits.

Carlos Sequeiros, Manuel Pájaro, Carlos Vázquez, Julio R. Banga, Irene Otero-Muras

Bioinform., October, 2023

XVA in a multi-currency setting with stochastic foreign exchange rates.

Roberta Simonella, Carlos Vázquez

Math. Comput. Simul., May, 2023

Model and numerical methods for pricing renewable energy certificate derivatives.

María A. Baamonde-Seoane, María del Carmen Calvo-Garrido, Carlos Vázquez

Commun. Nonlinear Sci. Numer. Simul., April, 2023

Global Optimization Approach for Parameter Estimation in Stochastic Dynamic Models of Biosystems.

Carlos Sequeiros, Irene Otero-Muras, Carlos Vázquez, Julio R. Banga

IEEE ACM Trans. Comput. Biol. Bioinform., 2023

Pricing renewable energy certificates with a Crank-Nicolson Lagrange-Galerkin numerical method.

María A. Baamonde-Seoane, María del Carmen Calvo-Garrido, Carlos Vázquez

J. Comput. Appl. Math., 2023

2022

The stochastic θ-SEIHRD model: Adding randomness to the COVID-19 spread.

Álvaro Leitao, Carlos Vázquez

Commun. Nonlinear Sci. Numer. Simul., 2022

Total value adjustment for European options in a multi-currency setting.

Iñigo Arregui, Roberta Simonella, Carlos Vázquez

Appl. Math. Comput., 2022

2021

AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models.

José G. López-Salas, Soledad Pérez-Rodríguez, Carlos Vázquez

SIAM J. Sci. Comput., 2021

Equilibrium models with heterogeneous agents under rational expectations and its numerical solution.

Jonatan Ráfales, Carlos Vázquez

Commun. Nonlinear Sci. Numer. Simul., 2021

PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model.

María del Carmen Calvo-Garrido, Sidi Diop, Andrea Pascucci, Carlos Vázquez

Commun. Nonlinear Sci. Numer. Simul., 2021

Numerical solution of a nonlinear PDE model for pricing Renewable Energy Certificates (RECs).

María A. Baamonde-Seoane, María del Carmen Calvo-Garrido, Michael Coulon, Carlos Vázquez

Appl. Math. Comput., 2021

2020

A new calibration of the Heston Stochastic Local Volatility Model and its parallel implementation on GPUs.

Ana Maria Ferreiro-Ferreiro, José Antonio García-Rodríguez, Luis A. Souto, Carlos Vázquez

Math. Comput. Simul., 2020

Numerical upscaling of the free boundary dam problem in multiscale high-contrast media.

Juan Galvis, Luis F. Contreras, Carlos Vázquez

J. Comput. Appl. Math., 2020

PDE models for American options with counterparty risk and two stochastic factors: Mathematical analysis and numerical solution.

Iñigo Arregui, Beatriz Salvador, Daniel Sevcovic, Carlos Vázquez

Comput. Math. Appl., 2020

Efficient Model Points Selection in Insurance by Parallel Global Optimization Using Multi CPU and Multi GPU.

Ana Maria Ferreiro-Ferreiro, José Antonio García-Rodríguez, Luis A. Souto, Carlos Vázquez

Bus. Inf. Syst. Eng., 2020

A two-dimensional multi-species model for different <i>Listeria monocytogenes</i> biofilm structures and its numerical simulation.

Eva Balsa-Canto, Alejandro López-Núñez, Carlos Vázquez

Appl. Math. Comput., 2020

2019

Parallel two-phase methods for global optimization on GPU.

Ana M. Ferreiro, José Antonio García-Rodríguez, Carlos Vázquez, Eliana Costa e Silva, Aldina Correia

Math. Comput. Simul., 2019

Preface.

Matthias Ehrhardt, Maria do Rosário Grossinho, Manuel Guerra, João Janela, Choi-Hong Lai, Daniel Sevcovic, Carlos Vázquez

Int. J. Comput. Math., 2019

A Monte Carlo approach to American options pricing including counterparty risk.

Iñigo Arregui, Beatriz Salvador, Carlos Vázquez

Int. J. Comput. Math., 2019

Basin Hopping with synched multi L-BFGS local searches. Parallel implementation in multi-CPU and GPUs.

Ana M. Ferreiro, José Antonio García-Rodríguez, Luis A. Souto, Carlos Vázquez

Appl. Math. Comput., 2019

2018

GPU parallel implementation for asset-liability management in insurance companies.

José L. Fernández, Ana M. Ferreiro, José Antonio García-Rodríguez, Carlos Vázquez

J. Comput. Sci., 2018

PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique.

José G. López-Salas, Carlos Vázquez

Comput. Math. Appl., 2018

Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation.

Iñigo Arregui, Beatriz Salvador, Daniel Sevcovic, Carlos Vázquez

Comput. Math. Appl., 2018

SELANSI: a toolbox for simulation of stochastic gene regulatory networks.

Manuel Pájaro, Irene Otero-Muras, Carlos Vázquez, Antonio A. Alonso

Bioinform., 2018

2017

A direct LU solver for pricing American bond options under Hull-White model.

Antonio Falcó, Lluis Navarro, Carlos Vázquez

J. Comput. Appl. Math., 2017

A numerical strategy for telecommunications networks capacity planning under demand and price uncertainty.

Iñigo Arregui, Beatriz Salvador, Carlos Vázquez

J. Comput. Appl. Math., 2017

Multicurve LIBOR market models and drift-free simulation.

J. L. Fernández, Maria R. Nogueiras, M. Pou, Carlos Vázquez

Int. J. Comput. Math., 2017

PDE models and numerical methods for total value adjustment in European and American options with counterparty risk.

Iñigo Arregui, Beatriz Salvador, Carlos Vázquez

Appl. Math. Comput., 2017

Quantification of Model Risk: Data Uncertainty.

Z. Krajcovicová, P. P. Pérez-Velasco, Carlos Vázquez

Proceedings of the Geometric Science of Information - Third International Conference, 2017

2016

Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs.

Emmanuel Gobet, José G. López-Salas, Plamen Turkedjiev, Carlos Vázquez

SIAM J. Sci. Comput., 2016

Finite difference methods for pricing American put option with rationality parameter: Numerical analysis and computing.

Rafael Company, Vera N. Egorova, Lucas Jódar, Carlos Vázquez

J. Comput. Appl. Math., 2016

A new numerical method for pricing fixed-rate mortgages with prepayment and default options.

María del Carmen Calvo-Garrido, Carlos Vázquez

Int. J. Comput. Math., 2016

Computing American option price under regime switching with rationality parameter.

Rafael Company, Vera N. Egorova, Lucas Jódar, Carlos Vázquez

Comput. Math. Appl., 2016

CVA Computing by PDE Models.

Iñigo Arregui, Beatriz Salvador, Carlos Vázquez

Proceedings of the Numerical Analysis and Its Applications - 6th International Conference, 2016

2015

Enthalpy balance methods <i>versus</i> temperature models in ice sheets.

Natividad Calvo, José Durany, Carlos Vázquez

Commun. Nonlinear Sci. Numer. Simul., 2015

Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance.

María del Carmen Calvo-Garrido, Carlos Vázquez

Appl. Math. Comput., 2015

2014

Adaptive numerical methods for an hydrodynamic problem arising in magnetic reading devices.

Iñigo Arregui, J. Jesús Cendán, Carlos Vázquez

Math. Comput. Simul., 2014

Pricing pension plans under jump-diffusion models for the salary.

María del Carmen Calvo-Garrido, Carlos Vázquez

Comput. Math. Appl., 2014

SABR/LIBOR market models: Pricing and calibration for some interest rate derivatives.

Ana M. Ferreiro, José Antonio García-Rodríguez, José G. López-Salas, Carlos Vázquez

Appl. Math. Comput., 2014

2013

Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement.

María del Carmen Calvo-Garrido, Andrea Pascucci, Carlos Vázquez

SIAM J. Appl. Math., 2013

Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs.

J. L. Fernández, Ana M. Ferreiro, José Antonio García-Rodríguez, Álvaro Leitao, José G. López-Salas, Carlos Vázquez

Math. Comput. Simul., 2013

An efficient implementation of parallel simulated annealing algorithm in GPUs.

Ana M. Ferreiro, José Antonio García-Rodríguez, José G. López-Salas, Carlos Vázquez

J. Glob. Optim., 2013

Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs.

D. Castillo, Ana M. Ferreiro, José Antonio García-Rodríguez, Carlos Vázquez

Appl. Math. Comput., 2013

2012

Numerical solution of an optimal investment problem with proportional transaction costs.

Iñigo Arregui, Carlos Vázquez

J. Comput. Appl. Math., 2012

Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics.

M. Suárez-Taboada, Carlos Vázquez

Appl. Math. Comput., 2012

2011

Numerical methods for a fixed domain formulation of the glacier profile problem with alternative boundary conditions.

Natividad Calvo, José Durany, R. Toja, Carlos Vázquez

J. Comput. Appl. Math., 2011

2010

A numerical method for pricing spread options on LIBOR rates with a PDE model.

M. Suárez-Taboada, Carlos Vázquez

Math. Comput. Model., 2010

A characteristics-finite differences method for the Hobson-Rogers uncertain volatility model.

A. González-Gaspar, Carlos Vázquez

Math. Comput. Model., 2010

Numerical solution of a free boundary problem associated to investments with instantaneous irreversible environmental effects.

A. Acción, Iñigo Arregui, Carlos Vázquez

Appl. Math. Comput., 2010

2007

GLANUSIT: A software toolbox for the numerical simulation of large ice masses evolution.

Natividad Calvo, José Durany, R. Toja, Carlos Vázquez

Adv. Eng. Softw., 2007

2006

Numerical Analysis of Convection-Diffusion-Reaction Problems with Higher Order Characteristics/Finite Elements. Part II: Fully Discretized Scheme and Quadrature Formulas.

Alfredo Bermúdez, Maria R. Nogueiras, Carlos Vázquez

SIAM J. Numer. Anal., 2006

Numerical Analysis of Convection-Diffusion-Reaction Problems with Higher Order Characteristics/Finite Elements. Part I: Time Discretization.

Alfredo Bermúdez, Maria R. Nogueiras, Carlos Vázquez

SIAM J. Numer. Anal., 2006

2005

Numerical techniques for pricing callable bonds with notice.

J. Farto, Carlos Vázquez

Appl. Math. Comput., 2005

2003

On a Doubly Nonlinear Parabolic Obstacle Problem Modelling Ice Sheet Dynamics.

Natividad Calvo, J. I. Díaz, José Durany, Emanuele Schiavi, Carlos Vázquez

SIAM J. Appl. Math., 2003

2001

Efficient parallel numerical solver for the elastohydrodynamic Reynolds-Hertz problem.

Manuel Arenaz, Ramon Doallo, Juan Touriño, Carlos Vázquez

Parallel Comput., 2001

1999

Numerical approach of temperature distribution in a free boundary model for polythermal ice sheets.

Natividad Calvo, José Durany, Carlos Vázquez

Numerische Mathematik, 1999

A Parallel Approach for Solving a Lubrication Problem in Industrial Devices.

Manuel Arenaz, Ramon Doallo, Juan Touriño, Carlos Vázquez

Proceedings of the High-Performance Computing and Networking, 7th International Conference, 1999

1998

An upwind numerical approach for an American and European option pricing model.

Carlos Vázquez

Appl. Math. Comput., 1998

High Performance Computing of an Industrial Problem in Tribology.

Manuel Arenaz, Ramon Doallo, Guillermo García, Carlos Vázquez

Proceedings of the Vector and Parallel Processing, 1998