Íñigo Arregui

PDE models and numerical methods for total value adjustment in European and American options with counterparty risk

Íñigo Arregui, Beatriz Salvador, Carlos Vázquez · Applied Mathematics and Computation · 2017 · 27 citations

Economics, Option Pricing, Counterparty Risk +10

Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation

Íñigo Arregui, Beatriz Salvador, Daniel Ševčovič et al. · Computers & Mathematics with Applications · 2018 · 25 citations

Option Pricing, Total Value Adjustment, European Options +7

Finite element solution of a Reynolds–Koiter coupled problem for the elastic journal–bearing

Íñigo Arregui, Carlos Vázquez · Computer Methods in Applied Mechanics and Engineering · 2001 · 20 citations

Numerical Analysis, Finite Element Method, Engineering +8

PDE models for American options with counterparty risk and two stochastic factors: Mathematical analysis and numerical solution

Íñigo Arregui, Beatriz Salvador, Daniel Ševčovič et al. · Computers & Mathematics with Applications · 2019 · 16 citations

Counterparty Risk, Economics, Option Pricing +9

Numerical simulation of head–tape magnetic reading devices by a new 2-D model

Íñigo Arregui, J. Jesús Cendán, Carlos Vázquez · Finite Elements in Analysis and Design · 2007 · 15 citations

New 2-D Model, Magnetism, Electrical Engineering +6