Iñigo Arregui
Orcid: 0000-0002-2456-4092
According to our database1,
Iñigo Arregui
authored at least 14 papers
between 2010 and 2024.
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Bibliography
2024
Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework.
Commun. Nonlinear Sci. Numer. Simul., March, 2024
Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk.
Int. J. Comput. Math., 2024
2022
Appl. Math. Comput., 2022
2020
Int. J. Comput. Math., 2020
PDE models for American options with counterparty risk and two stochastic factors: Mathematical analysis and numerical solution.
Comput. Math. Appl., 2020
2019
Int. J. Comput. Math., 2019
A local discontinuous Galerkin method for the compressible Reynolds lubrication equation.
Appl. Math. Comput., 2019
2018
Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation.
Comput. Math. Appl., 2018
2017
A numerical strategy for telecommunications networks capacity planning under demand and price uncertainty.
J. Comput. Appl. Math., 2017
PDE models and numerical methods for total value adjustment in European and American options with counterparty risk.
Appl. Math. Comput., 2017
2016
Proceedings of the Numerical Analysis and Its Applications - 6th International Conference, 2016
2014
Adaptive numerical methods for an hydrodynamic problem arising in magnetic reading devices.
Math. Comput. Simul., 2014
2012
Numerical solution of an optimal investment problem with proportional transaction costs.
J. Comput. Appl. Math., 2012
2010
Numerical solution of a free boundary problem associated to investments with instantaneous irreversible environmental effects.
Appl. Math. Comput., 2010