Carlos Vázquez

Affiliations:
  • University of A Coruña, Department of Mathematics, Spain


According to our database1, Carlos Vázquez authored at least 53 papers between 1998 and 2022.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

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Bibliography

2022
Total value adjustment for European options in a multi-currency setting.
Appl. Math. Comput., 2022

2021
AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models.
SIAM J. Sci. Comput., 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

A stochastic θ-SEIHRD model: adding randomness to the COVID-19 spread.
CoRR, 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
Parallel two-phase methods for global optimization on GPU.
Math. Comput. Simul., 2019

Preface.
Int. J. Comput. Math., 2019

A Monte Carlo approach to American options pricing including counterparty risk.
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
GPU parallel implementation for asset-liability management in insurance companies.
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

SELANSI: a toolbox for simulation of stochastic gene regulatory networks.
Bioinform., 2018

2017
A direct LU solver for pricing American bond options under Hull-White model.
J. Comput. Appl. Math., 2017

A numerical strategy for telecommunications networks capacity planning under demand and price uncertainty.
J. Comput. Appl. Math., 2017

Multicurve LIBOR market models and drift-free simulation.
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

Quantification of Model Risk: Data Uncertainty.
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

Computing American option price under regime switching with rationality parameter.
Comput. Math. Appl., 2016

CVA Computing by PDE Models.
Proceedings of the Numerical Analysis and Its Applications - 6th International Conference, 2016

2015
Enthalpy balance methods <i>versus</i> temperature models in ice sheets.
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

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

An efficient implementation of parallel simulated annealing algorithm in GPUs.
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
A numerical method for pricing spread options on LIBOR rates with a PDE model.
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
Numerical techniques for pricing callable bonds with notice.
Appl. Math. Comput., 2005

2003
On a Doubly Nonlinear Parabolic Obstacle Problem Modelling Ice Sheet Dynamics.
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

A Parallel Approach for Solving a Lubrication Problem in Industrial Devices.
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.
Appl. Math. Comput., 1998

High Performance Computing of an Industrial Problem in Tribology.
Proceedings of the Vector and Parallel Processing, 1998


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