Carlos Vázquez

Publication Activity (10 Years)

Years Active: 1998-2024
Publications (10 Years): 43

Top Topics

Renewable Energy

Diffusion Models

Numerical Methods

Top Venues

Appl. Math. Comput.

Commun. Nonlinear Sci. Numer. Simul.

Comput. Math. Appl.

Math. Comput. Simul.

Publications

Francisco Gomez Casanova, Álvaro Leitao, Fernando De Lope Contreras, Carlos Vázquez
Deep Joint Learning valuation of Bermudan Swaptions. CoRR (2024)
José G. López-Salas, Soledad Pérez-Rodríguez, Carlos Vázquez
PDEs for pricing interest rate derivatives under the new generalized Forward Market Model (FMM). Comput. Math. Appl. 169 (2024)
Jonatan Ráfales, Carlos Vázquez
Jump-diffusion productivity models in equilibrium problems with heterogeneous agents. Math. Comput. Simul. 225 (2024)
Iñigo Arregui, Roberta Simonella, Carlos Vázquez
Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework. Commun. Nonlinear Sci. Numer. Simul. 130 (2024)
Álvaro Leitao, Carlos Vázquez
Corrigendum to "article: A stochastic theta-SEIHRD model: adding randomness to covid-19 spread, " [Communications in Nonlinear Science and Numerical Simulation, 115 (2022), 106731]. Commun. Nonlinear Sci. Numer. Simul. 134 (2024)
Emmanuel Gobet, José G. López-Salas, Plamen Turkedjiev, Carlos Vázquez
Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs. CoRR (2024)
Emmanuel Gobet, José G. López-Salas, Carlos Vázquez
Quasi-Regression Monte-Carlo scheme for semi-linear PDEs and BSDEs with large scale parallelization on GPUs. CoRR (2024)
Carlos Sequeiros, Irene Otero-Muras, Carlos Vázquez, Julio R. Banga
Global Optimization Approach for Parameter Estimation in Stochastic Dynamic Models of Biosystems. IEEE ACM Trans. Comput. Biol. Bioinform. 20 (3) (2023)
Roberta Simonella, Carlos Vázquez
XVA in a multi-currency setting with stochastic foreign exchange rates. Math. Comput. Simul. 207 (2023)
Carlos Sequeiros, Manuel Pájaro, Carlos Vázquez, Julio R. Banga, Irene Otero-Muras
IDESS: a toolbox for identification and automated design of stochastic gene circuits. Bioinform. 39 (10) (2023)
María A. Baamonde-Seoane, María del Carmen Calvo-Garrido, Carlos Vázquez
Pricing renewable energy certificates with a Crank-Nicolson Lagrange-Galerkin numerical method. J. Comput. Appl. Math. 422 (2023)
María A. Baamonde-Seoane, María del Carmen Calvo-Garrido, Carlos Vázquez
Model and numerical methods for pricing renewable energy certificate derivatives. Commun. Nonlinear Sci. Numer. Simul. 118 (2023)
Álvaro Leitao, Carlos Vázquez
The stochastic θ-SEIHRD model: Adding randomness to the COVID-19 spread. Commun. Nonlinear Sci. Numer. Simul. 115 (2022)
Iñigo Arregui, Roberta Simonella, Carlos Vázquez
Total value adjustment for European options in a multi-currency setting. Appl. Math. Comput. 413 (2022)
María del Carmen Calvo-Garrido, Sidi Diop, Andrea Pascucci, Carlos Vázquez
PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model. Commun. Nonlinear Sci. Numer. Simul. 102 (2021)
José G. López-Salas, S. Pérez-Rodríguez, Carlos Vázquez
AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models. SIAM J. Sci. Comput. 43 (1) (2021)
María A. Baamonde-Seoane, María del Carmen Calvo-Garrido, Michael Coulon, Carlos Vázquez
Numerical solution of a nonlinear PDE model for pricing Renewable Energy Certificates (RECs). Appl. Math. Comput. 404 (2021)
Ana Maria Ferreiro-Ferreiro, José Antonio García-Rodríguez, Luis A. Souto, Carlos Vázquez
Efficient Model Points Selection in Insurance by Parallel Global Optimization Using Multi CPU and Multi GPU. Bus. Inf. Syst. Eng. 62 (1) (2020)
Eva Balsa-Canto, Alejandro López-Núñez, Carlos Vázquez
biofilm structures and its numerical simulation. Appl. Math. Comput. 384 (2020)
Iñigo Arregui, Beatriz Salvador, Daniel Sevcovic, Carlos Vázquez
PDE models for American options with counterparty risk and two stochastic factors: Mathematical analysis and numerical solution. Comput. Math. Appl. 79 (5) (2020)
Ana Maria Ferreiro-Ferreiro, José Antonio García-Rodríguez, Luis A. Souto, Carlos Vázquez
A new calibration of the Heston Stochastic Local Volatility Model and its parallel implementation on GPUs. Math. Comput. Simul. 177 (2020)
Juan Galvis, Luis F. Contreras, Carlos Vázquez
Numerical upscaling of the free boundary dam problem in multiscale high-contrast media. J. Comput. Appl. Math. 367 (2020)
Álvaro Leitao, Carlos Vázquez
A stochastic θ-SEIHRD model: adding randomness to the COVID-19 spread. CoRR (2020)
Ana M. Ferreiro, José Antonio García-Rodríguez, Luis A. Souto, Carlos Vázquez
Basin Hopping with synched multi L-BFGS local searches. Parallel implementation in multi-CPU and GPUs. Appl. Math. Comput. 356 (2019)
Matthias Ehrhardt, Maria do Rosário Grossinho, Manuel Guerra, João Janela, Choi-Hong Lai, Daniel Sevcovic, Carlos Vázquez
Preface. Int. J. Comput. Math. 96 (11) (2019)
Iñigo Arregui, Beatriz Salvador, Carlos Vázquez
A Monte Carlo approach to American options pricing including counterparty risk. Int. J. Comput. Math. 96 (11) (2019)
Ana M. Ferreiro, José Antonio García-Rodríguez, Carlos Vázquez, Eliana Costa e Silva, Aldina Correia
Parallel two-phase methods for global optimization on GPU. Math. Comput. Simul. 156 (2019)
José G. López-Salas, Carlos Vázquez
PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique. Comput. Math. Appl. 75 (5) (2018)
Iñigo Arregui, Beatriz Salvador, Daniel Sevcovic, Carlos Vázquez
Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation. Comput. Math. Appl. 76 (4) (2018)
José L. Fernández, Ana M. Ferreiro, José Antonio García-Rodríguez, Carlos Vázquez
GPU parallel implementation for asset-liability management in insurance companies. J. Comput. Sci. 24 (2018)
Manuel Pájaro, Irene Otero-Muras, Carlos Vázquez, Antonio A. Alonso
SELANSI: a toolbox for simulation of stochastic gene regulatory networks. Bioinform. 34 (5) (2018)
Antonio Falcó, Lluis Navarro, Carlos Vázquez
A direct LU solver for pricing American bond options under Hull-White model. J. Comput. Appl. Math. 309 (2017)
Iñigo Arregui, Beatriz Salvador, Carlos Vázquez
PDE models and numerical methods for total value adjustment in European and American options with counterparty risk. Appl. Math. Comput. 308 (2017)
J. L. Fernández, Maria R. Nogueiras, M. Pou, Carlos Vázquez
Multicurve LIBOR market models and drift-free simulation. Int. J. Comput. Math. 94 (11) (2017)
Z. Krajcovicová, P. P. Pérez-Velasco, Carlos Vázquez
Quantification of Model Risk: Data Uncertainty. GSI (2017)
Iñigo Arregui, Beatriz Salvador, Carlos Vázquez
A numerical strategy for telecommunications networks capacity planning under demand and price uncertainty. J. Comput. Appl. Math. 318 (2017)
Rafael Company, Vera N. Egorova, Lucas Jódar, Carlos Vázquez
Computing American option price under regime switching with rationality parameter. Comput. Math. Appl. 72 (3) (2016)
Iñigo Arregui, Beatriz Salvador, Carlos Vázquez
CVA Computing by PDE Models. NAA (2016)
Emmanuel Gobet, José G. López-Salas, Plamen Turkedjiev, Carlos Vázquez
Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs. SIAM J. Sci. Comput. 38 (6) (2016)
Rafael Company, Vera N. Egorova, Lucas Jódar, Carlos Vázquez
Finite difference methods for pricing American put option with rationality parameter: Numerical analysis and computing. J. Comput. Appl. Math. 304 (2016)
María del Carmen Calvo-Garrido, Carlos Vázquez
A new numerical method for pricing fixed-rate mortgages with prepayment and default options. Int. J. Comput. Math. 93 (5) (2016)
Natividad Calvo, José Durany, Carlos Vázquez
temperature models in ice sheets. Commun. Nonlinear Sci. Numer. Simul. 22 (Issues) (2015)
María del Carmen Calvo-Garrido, Carlos Vázquez
Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance. Appl. Math. Comput. 271 (2015)
Ana M. Ferreiro, José Antonio García-Rodríguez, José G. López-Salas, Carlos Vázquez
SABR/LIBOR market models: Pricing and calibration for some interest rate derivatives. Appl. Math. Comput. 242 (2014)
María del Carmen Calvo-Garrido, Carlos Vázquez
Pricing pension plans under jump-diffusion models for the salary. Comput. Math. Appl. 68 (12) (2014)
Iñigo Arregui, J. Jesús Cendán, Carlos Vázquez
Adaptive numerical methods for an hydrodynamic problem arising in magnetic reading devices. Math. Comput. Simul. 99 (2014)
J. L. Fernández, Ana M. Ferreiro, José Antonio García-Rodríguez, Álvaro Leitao, José G. López-Salas, Carlos Vázquez
Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs. Math. Comput. Simul. 94 (2013)
María del Carmen Calvo-Garrido, Andrea Pascucci, Carlos Vázquez
Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement. SIAM J. Appl. Math. 73 (5) (2013)
Ana M. Ferreiro, José Antonio García-Rodríguez, José G. López-Salas, Carlos Vázquez
An efficient implementation of parallel simulated annealing algorithm in GPUs. J. Glob. Optim. 57 (3) (2013)
D. Castillo, Ana M. Ferreiro, José Antonio García-Rodríguez, Carlos Vázquez
Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs. Appl. Math. Comput. 219 (24) (2013)
M. Suárez-Taboada, Carlos Vázquez
Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics. Appl. Math. Comput. 218 (9) (2012)
Iñigo Arregui, Carlos Vázquez
Numerical solution of an optimal investment problem with proportional transaction costs. J. Comput. Appl. Math. 236 (12) (2012)
Natividad Calvo, José Durany, R. Toja, Carlos Vázquez
Numerical methods for a fixed domain formulation of the glacier profile problem with alternative boundary conditions. J. Comput. Appl. Math. 235 (5) (2011)
M. Suárez-Taboada, Carlos Vázquez
A numerical method for pricing spread options on LIBOR rates with a PDE model. Math. Comput. Model. 52 (7-8) (2010)
A. González-Gaspar, Carlos Vázquez
A characteristics-finite differences method for the Hobson-Rogers uncertain volatility model. Math. Comput. Model. 52 (1-2) (2010)
A. Acción, Iñigo Arregui, Carlos Vázquez
Numerical solution of a free boundary problem associated to investments with instantaneous irreversible environmental effects. Appl. Math. Comput. 215 (9) (2010)
Natividad Calvo, José Durany, R. Toja, Carlos Vázquez
GLANUSIT: A software toolbox for the numerical simulation of large ice masses evolution. Adv. Eng. Softw. 38 (6) (2007)
Alfredo Bermúdez, Maria R. Nogueiras, Carlos Vázquez
Numerical Analysis of Convection-Diffusion-Reaction Problems with Higher Order Characteristics/Finite Elements. Part II: Fully Discretized Scheme and Quadrature Formulas. SIAM J. Numer. Anal. 44 (5) (2006)
Alfredo Bermúdez, Maria R. Nogueiras, Carlos Vázquez
Numerical Analysis of Convection-Diffusion-Reaction Problems with Higher Order Characteristics/Finite Elements. Part I: Time Discretization. SIAM J. Numer. Anal. 44 (5) (2006)
J. Farto, Carlos Vázquez
Numerical techniques for pricing callable bonds with notice. Appl. Math. Comput. 161 (3) (2005)
Natividad Calvo, J. I. Díaz, José Durany, Emanuele Schiavi, Carlos Vázquez
On a Doubly Nonlinear Parabolic Obstacle Problem Modelling Ice Sheet Dynamics. SIAM J. Appl. Math. 63 (2) (2003)
Manuel Arenaz, Ramon Doallo, Juan Touriño, Carlos Vázquez
Efficient parallel numerical solver for the elastohydrodynamic Reynolds-Hertz problem. Parallel Comput. 27 (13) (2001)
Manuel Arenaz, Ramon Doallo, Juan Touriño, Carlos Vázquez
A Parallel Approach for Solving a Lubrication Problem in Industrial Devices. HPCN Europe (1999)
Natividad Calvo, José Durany, Carlos Vázquez
Numerical approach of temperature distribution in a free boundary model for polythermal ice sheets. Numerische Mathematik 83 (4) (1999)
Manuel Arenaz, Ramon Doallo, G. García, Carlos Vázquez
High Performance Computing of an Industrial Problem in Tribology. VECPAR (1998)
Carlos Vázquez
An upwind numerical approach for an American and European option pricing model. Appl. Math. Comput. 97 (2-3) (1998)