Numerical solution of a free boundary problem associated to investments with instantaneous irreversible environmental effects. - A. Acción; Iñigo Arregui; Carlos Vázquez 002 (Appl. Math. Comput., 2010)

Numerical solution of an optimal investment problem with proportional transaction costs. - Iñigo Arregui; Carlos Vázquez 002 (J. Comput. Appl. Math., 2012)

Adaptive numerical methods for an hydrodynamic problem arising in magnetic reading devices. - Iñigo Arregui; J. Jesús Cendán; Carlos Vázquez 002 (Math. Comput. Simul., 2014)

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 local discontinuous Galerkin method for the compressible Reynolds lubrication equation. - Iñigo Arregui; J. Jesús Cendán; María González (Appl. Math. Comput., 2019)

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)

A stochastic local volatility technique for TARN options. - Iñigo Arregui; Jonatan Ráfales (Int. J. Comput. Math., 2020)

Total value adjustment for European options in a multi-currency setting. - Iñigo Arregui; Roberta Simonella; Carlos Vázquez 002 (Appl. Math. Comput., 2022)

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)

Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework. - Iñigo Arregui; Roberta Simonella; Carlos Vázquez 002 (Commun. Nonlinear Sci. Numer. Simul., 2024)