CVA Computing by PDE Models. - Iñigo Arregui; Beatriz Salvador; Carlos Vázquez 002 (NAA, 2016)

PDE models and numerical methods for total value adjustment in European and American options with counterparty risk. - Iñigo Arregui; Beatriz Salvador; Carlos Vázquez 002 (Appl. Math. Comput., 2017)

A numerical strategy for telecommunications networks capacity planning under demand and price uncertainty. - Iñigo Arregui; Beatriz Salvador; Carlos Vázquez 002 (J. Comput. Appl. Math., 2017)

Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation. - Iñigo Arregui; Beatriz Salvador; Daniel Sevcovic; Carlos Vázquez 002 (Comput. Math. Appl., 2018)

A Monte Carlo approach to American options pricing including counterparty risk. - Iñigo Arregui; Beatriz Salvador; Carlos Vázquez 002 (Int. J. Comput. Math., 2019)

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 002 (Comput. Math. Appl., 2020)

Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model. - Beatriz Salvador; Cornelis W. Oosterlee (Appl. Math. Comput., 2021)

Corrigendum to "Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model". - Beatriz Salvador; Cornelis W. Oosterlee (Appl. Math. Comput., 2021)

Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk. - Iñigo Arregui; Álvaro Leitao; Beatriz Salvador; Carlos Vázquez 002 (Int. J. Comput. Math., 2024)