Iñigo Arregui

Publication Activity (10 Years)

Years Active: 2010-2024
Publications (10 Years): 10

Top Topics

Finite Element Method

Capacity Planning

Black Scholes Model

Top Venues

Appl. Math. Comput.

Comput. Math. Appl.

Int. J. Comput. Math.

Math. Comput. Simul.

Publications

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)
Iñigo Arregui, Roberta Simonella, Carlos Vázquez
Total value adjustment for European options in a multi-currency setting. Appl. Math. Comput. 413 (2022)
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)
Iñigo Arregui, Jonatan Ráfales
A stochastic local volatility technique for TARN options. Int. J. Comput. Math. 97 (5) (2020)
Iñigo Arregui, Beatriz Salvador, Carlos Vázquez
A Monte Carlo approach to American options pricing including counterparty risk. Int. J. Comput. Math. 96 (11) (2019)
Iñigo Arregui, J. Jesús Cendán, María González
A local discontinuous Galerkin method for the compressible Reynolds lubrication equation. Appl. Math. Comput. 349 (2019)
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)
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)
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)
Iñigo Arregui, Beatriz Salvador, Carlos Vázquez
CVA Computing by PDE Models. NAA (2016)
Iñigo Arregui, J. Jesús Cendán, Carlos Vázquez
Adaptive numerical methods for an hydrodynamic problem arising in magnetic reading devices. Math. Comput. Simul. 99 (2014)
Iñigo Arregui, Carlos Vázquez
Numerical solution of an optimal investment problem with proportional transaction costs. J. Comput. Appl. Math. 236 (12) (2012)
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)