Carlos Vázquez
Orcid: 0000-0001-6591-2252Affiliations:
- University of A Coruña, Department of Mathematics, Spain
According to our database1,
Carlos Vázquez
authored at least 70 papers
between 1998 and 2026.
Collaborative distances:
Collaborative distances:
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on zbmath.org
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on orcid.org
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on d-nb.info
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Bibliography
2026
Models and numerical methods for equilibrium problems with heterogeneous agents involving two productive sectors.
J. Comput. Appl. Math., 2026
Modelling, mathematical analysis and computation of the total value adjustment including KVA and multi-currency.
Commun. Nonlinear Sci. Numer. Simul., 2026
2025
Mathematical models and numerical methods for a capital valuation adjustment (KVA) problem.
Appl. Math. Comput., 2025
2024
Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework.
Commun. Nonlinear Sci. Numer. Simul., March, 2024
Jump-diffusion productivity models in equilibrium problems with heterogeneous agents.
Math. Comput. Simul., 2024
Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk.
Int. J. Comput. Math., 2024
Quasi-Regression Monte-Carlo scheme for semi-linear PDEs and BSDEs with large scale parallelization on GPUs.
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].
Commun. Nonlinear Sci. Numer. Simul., 2024
PDEs for pricing interest rate derivatives under the new generalized Forward Market Model (FMM).
Comput. Math. Appl., 2024
2023
IDESS: a toolbox for identification and automated design of stochastic gene circuits.
Bioinform., October, 2023
Math. Comput. Simul., May, 2023
Commun. Nonlinear Sci. Numer. Simul., April, 2023
Global Optimization Approach for Parameter Estimation in Stochastic Dynamic Models of Biosystems.
IEEE ACM Trans. Comput. Biol. Bioinform., 2023
Pricing renewable energy certificates with a Crank-Nicolson Lagrange-Galerkin numerical method.
J. Comput. Appl. Math., 2023
2022
Commun. Nonlinear Sci. Numer. Simul., 2022
Appl. Math. Comput., 2022
2021
SIAM J. Sci. Comput., 2021
Equilibrium models with heterogeneous agents under rational expectations and its numerical solution.
Commun. Nonlinear Sci. Numer. Simul., 2021
PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model.
Commun. Nonlinear Sci. Numer. Simul., 2021
Numerical solution of a nonlinear PDE model for pricing Renewable Energy Certificates (RECs).
Appl. Math. Comput., 2021
2020
A new calibration of the Heston Stochastic Local Volatility Model and its parallel implementation on GPUs.
Math. Comput. Simul., 2020
Numerical upscaling of the free boundary dam problem in multiscale high-contrast media.
J. Comput. Appl. Math., 2020
PDE models for American options with counterparty risk and two stochastic factors: Mathematical analysis and numerical solution.
Comput. Math. Appl., 2020
Efficient Model Points Selection in Insurance by Parallel Global Optimization Using Multi CPU and Multi GPU.
Bus. Inf. Syst. Eng., 2020
A two-dimensional multi-species model for different <i>Listeria monocytogenes</i> biofilm structures and its numerical simulation.
Appl. Math. Comput., 2020
2019
Math. Comput. Simul., 2019
Int. J. Comput. Math., 2019
Basin Hopping with synched multi L-BFGS local searches. Parallel implementation in multi-CPU and GPUs.
Appl. Math. Comput., 2019
2018
J. Comput. Sci., 2018
PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique.
Comput. Math. Appl., 2018
Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation.
Comput. Math. Appl., 2018
Bioinform., 2018
2017
J. Comput. Appl. Math., 2017
A numerical strategy for telecommunications networks capacity planning under demand and price uncertainty.
J. Comput. Appl. Math., 2017
Int. J. Comput. Math., 2017
PDE models and numerical methods for total value adjustment in European and American options with counterparty risk.
Appl. Math. Comput., 2017
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.
SIAM J. Sci. Comput., 2016
Finite difference methods for pricing American put option with rationality parameter: Numerical analysis and computing.
J. Comput. Appl. Math., 2016
A new numerical method for pricing fixed-rate mortgages with prepayment and default options.
Int. J. Comput. Math., 2016
Comput. Math. Appl., 2016
Proceedings of the Numerical Analysis and Its Applications - 6th International Conference, 2016
2015
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.
Appl. Math. Comput., 2015
2014
Adaptive numerical methods for an hydrodynamic problem arising in magnetic reading devices.
Math. Comput. Simul., 2014
Comput. Math. Appl., 2014
SABR/LIBOR market models: Pricing and calibration for some interest rate derivatives.
Appl. Math. Comput., 2014
2013
Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement.
SIAM J. Appl. Math., 2013
Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs.
Math. Comput. Simul., 2013
J. Glob. Optim., 2013
Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs.
Appl. Math. Comput., 2013
2012
Numerical solution of an optimal investment problem with proportional transaction costs.
J. Comput. Appl. Math., 2012
Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics.
Appl. Math. Comput., 2012
2011
Numerical methods for a fixed domain formulation of the glacier profile problem with alternative boundary conditions.
J. Comput. Appl. Math., 2011
2010
Math. Comput. Model., 2010
A characteristics-finite differences method for the Hobson-Rogers uncertain volatility model.
Math. Comput. Model., 2010
Numerical solution of a free boundary problem associated to investments with instantaneous irreversible environmental effects.
Appl. Math. Comput., 2010
2007
GLANUSIT: A software toolbox for the numerical simulation of large ice masses evolution.
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.
SIAM J. Numer. Anal., 2006
Numerical Analysis of Convection-Diffusion-Reaction Problems with Higher Order Characteristics/Finite Elements. Part I: Time Discretization.
SIAM J. Numer. Anal., 2006
2005
Appl. Math. Comput., 2005
2003
SIAM J. Appl. Math., 2003
2001
Efficient parallel numerical solver for the elastohydrodynamic Reynolds-Hertz problem.
Parallel Comput., 2001
1999
Numerical approach of temperature distribution in a free boundary model for polythermal ice sheets.
Numerische Mathematik, 1999
Proceedings of the High-Performance Computing and Networking, 7th International Conference, 1999
1998
Appl. Math. Comput., 1998
Proceedings of the Vector and Parallel Processing, 1998