Modelos y métodos numéricos en ingeniería y ciencias aplicadas (M2NICA)

Equilibrium models with heterogeneous agents under rational expectations and its numerical solution

A Massively Parallel Hybrid Finite Volume / Finite Element Scheme for Computational Fluid Dynamics

PDE models for the valuation of a defaultable coupon-bearing bond under an extended JDCEV model

The CTMC-Heston model: calibration and exotic option pricing with SWIFT

A semi-implicit hybrid finite volume / finite element scheme for all Mach number flows on staggered unstructured meshes

Stabilization and a posteriori error analysis of a mixed FEM for convection¿diffusion problems with mixed boundary conditions

Nonparametric density estimation and bandwidth selection with B-spline bases: A novel Galerkin method

AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models

Numerical solution of a nonlinear PDE model for pricing Renewable Energy Certificates (RECs)

Extension of the Two-Component Pressure Approach for modelling mixed free-surface-pressurized flows with the 2D shallow water equations

Global Optimization for Automatic Model Points Selection in Life Insurance Portfolios

Numerical upscaling of the free boundary dam problem in multiscale high-contrast media

A New Technique for Improved Use of Thermal Energy from Waste Effluents

Quasi-Regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs

Non-Eulerian Newmark Methods: A Powerful Tool for Free-Boundary Continuum Mechanics Problems

A new calibration of the Heston Stochastic Local Volatility model and its parallel implementation on GPUs

A two-dimensional multi-species model for different Listeria Monocytogenes biofilm structures and its numerical simulation

LIBOR market model including credit risk under real world measure

A stochastic local volatility technique for TARN options

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

Global optimization for data assimilation in landslide tsunami models

Model-free computation of risk contributions in credit portfolios

Comparative Study of FDA and Time Series Approaches for Seabed Classification from Acoustic Curves

Robustness and dispersion analysis of the Partition of Unity Finite Element Method applied to the Helmholtz equation

On an adaptive stabilized mixed finite element method for the Oseen problem with mixed boundary conditions

On Calibration Neural Networks for extracting implied information from American options

A stochastic ¿-SEIHRD model: adding randomness to the COVID-19 spread

Efficient model points selection in insurance by parallel global optimization using multi CPU and multi GPU

A Monte Carlo approach to American options pricing including counterparty risk

Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements

Basin Hopping with synched multi L-BFGS local searches Parallel implementation in multi-CPU and GPUs

A new mathematical model for pricing a mine extraction project

A non-parametric fluid-equivalent approach for the acoustic characterization of rigid porous materials

A new approach to quantification of model risk for practitioners

Rolling Adjoints: Fast Greeks along Monte Carlo scenarios for early-exercise options

Mathematical analysis of a nonlinear PDE model for European options with counterparty risk

A posteriori error analysis of an augmented dual-mixed method in linear elasticity with mixed boundary conditions

Parallel two-phase methods for global optimization on GPU

The stochastic collocation Monte Carlo sampler: Highly efficient sampling from "expensive" distributions

BENCHOP-SLV: The BENCHmarking project in option pricing - Stochastic and Local Volatility problems

Asymptotic stability of empirical processes and related functionals

New a posteriori error estimator for an stabilized mixed method applied to incompressible fuid flows

Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations

Numerical methods for PDE models related to pricing and expected lifetime of an extraction project

A local discontinuous Galerkin method for the compressible Reynolds lubrication equation

Exponential equilibration of genetic circuits using entropy methods

An a posteriori error analysis of a velocity-pseudostress formulation of the generalized Stokes problem

Transient hysteresis and inherent stochasticity in gene regulatory networks

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

Efficient simulation of stochastic gene regulatory networks

Numerical analysis of a method for a partial integro-differential equation model in regulatory gene networks

PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique

A new numerical method fo the PIDE formulation of a gene networks problem and its numerical analysis

Analysis of a velocity-stress-pressure formulation for a fluid-structure interaction problem Journal title

Real world scenarios with negative interest rates based on the LIBOR Market Model

Uncertainty Quantification and Heston Model.

GPU parallel implementation for Asset-Liability Management in insurance companies

On the data-driven COS method

Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options

SWIFT valuation of discretely monitored arithmetic Asian options

SELANSI: a toolbox for the numerical simulation of stochastic gene regulatory networks

Routes to Multiple Equilibria for Mass-Action Kinetic Systems

A numerical strategy for telecommunications networks capacity planning under demand and price uncertainty

Modelling reveals the role of aging and glucose uptake impairment in L1A1 Listeria monocytogenes biofilm life cycle

Effective stochastic modeling and numerical simulation of gene regulatory networks with protein bursting

On an efficient multiple time step Monte Carlo simulation of the SABR model

Augmented mixed finite element method for the Oseen problem: a priori and a posteriori error analyses

An Elrod-Adams cavitation model for a new nonlinear Reynolds equation in piezoviscous hydrodynamic lubrication

A Direct LU Solver for Pricing American Bond Options under Hull-White model

Adjoint method for parameter identification problems in models of stirred tank chemical reactors

Numerical methods for a reaction-diffusion system modelling biofilm formation

On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options

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

Multicurve LIBOR Market Models and drift-free Simulation

Pricing swing options in electricity markets with two stochastic factors using a partial differential equations approach

Pricing of mortgages with prepayment and default options: numerical methods for the case with ajustable (floating) rate

Finite difference methods for pricing American put option with rationality parameter: numerical analysis and computing

Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs

A new numerical method for pricing fixed-rate mortgages with prepayment and default options

Modelling and computing American option price under regime switching with rationality parameter

Stability of stochastic gene networks using entropy methods

On the applicability of deterministic approximations to model genetic circuits

Stability of stochastic gene regulatory networks using entropy methods

Comparison of pressure and displacement formulations for finite elements in linear time-harmonic acoustics

Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance

GPU Acceleration of the Stochastic Grid Bundling Method for Early-Exercise options

Pure Lagrangian and Semi-Lagrangian finite element methods for the numerical solution of Navier-Stokes equations

A posteriori error analysis of an augmented mixed finite element method for Darcy flow

A Drift-Free Simulation Method for pricing commodity derivatives

Shaping protein distributions in stochastic self-regulated gene expressions networks

Enthalpy balance methods versus temperature models in ice sheets

A new parameterization for the drift-free simulation in the Libor market model

Evaluation of the optimal utility of some investment projects with irreversible environmental effects

Second-order pure Lagrange¿Galerkin methods for fluid-structure interaction problems

A nonlinear bilaplacian equation with hinged boundary conditions and very weak solutions: analysis and numerical solution

Stabilized dual-mixed method for the problem of linear elasticity with mixed boundary conditions

Spatially Dispersionless, Unconditionally Stable FC-AD Solvers for Variable-Coefficient PDEs

PURE LAGRANGIAN AND SEMI-LAGRANGIAN FINITE ELEMENT METHODS FOR THE NUMERICAL SOLUTION OF CONVECTION-DIFFUSION PROBLEMS

SABR/LIBOR market models: Pricing and calibration for some interest rate derivatives

Pricing pension plans under jump-diffusion models for the salary

Physical and Spurious Modes in Mixed Finite Element Formulation for the Galbrun Equation

Adaptive numerical methods for an hydrodynamic problem arising in magnetic reading devices

Low cost a posteriori error estimators for an augmented mixed FEM in linear elasticity

Parallelization of shallow water simulations on current multi-threaded systems

Numerical simulation of pollutant transport in a shallow-water system on the Cell heterogeneous processor

An efficient implementation of parallel simulated annealing algorithm on GPUs

Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs

Mathematical Analysis and Numerical Methods for a PDE Model of a Stock Loan Pricing Problem

Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs

Homogenization of the layer-structured dam problem with isotropic permeability

A new more consistent Reynolds model for piezoviscous hydrodynamic lubrication problems in line contact devices

Numerical solution of an optimal investment problem with proportional transaction costs

Pricing pension plans based on average salary without early retirement: partial differential equation modeling and numerical solution

NUMERICAL ANALYSIS OF A SECOND ORDER PURE LAGRANGE-GALERKIN METHOD FOR CONVECTION-DIFFUSION PROBLEMS. PART I: TIME DISCRETIZATION

Remarks on the stability of Cartesian PMLs in corners

Mathematical analysis and numerical methods for pricing pension plans allowing early retirement

Numerical solution of a PDE model for a rachet-cap pricing with BGM interest rate dynamics

Numerical solution of an optimal investment problem with proportional transaction costs

Numerical Analysis of a second-order pure Lagrange-Galerkin method for convection-diffusion problems. Part II: fully discretized scheme and numerical results

Impedance prediction for several porous layers on a moving plate: Application to a plate coupled to an air cavity

Numerical solution of a thermomechanical coupled model governing glacier evolution

A posteriori error analysis of an augmented mixed formulation in linear elasticity with mixed and Dirichlet boundary conditions

Comments on "An explicit link between Gaussian fields and Gaussian Random Fields"

Numerical methods for a fixed domain formulation of the glacier profile problem with alternative boundary conditions

A second order characteristics finite element scheme for natural convection problems

Mathematical analysis and numerical methods for a PDE model governing ratchet-cap pricing problems

Numerical Computation of the Acoustic Pressure in a Coupled Covered Plate/Fluid Problem: Experimental Validation

An introduction to black-scholes modeling and numerical methods in derivates pricing

A numerical method for pricing spread options on LIBOR rates with a PDE model

A characteristics-finite differences method for the Hobson-Rogers uncertain volatility model

Numérical computation of the acooustic pressure in a coupled covered plate/fluid problem: experimental validation

Numerical solution of a free boundary problem associated to investments with instantaneous irreversible environmental effects

Temperature-dependent shear flow and the absence of thermal runaway in valley glaciers

Numerical simulation of passive-active cells with microperforated plates or porous veils

A multimodal method for non-uniform open waveguides

A new fully nonisothermal coupled model for the simulation of ice sheet flow

Perfectly matched layers for time-harmonic second order elliptic problems

Two-dimensional sediment transport models in shallow water equations. A second order finite volume approach over non-structured meshes

High Order Extensions of Roe Schemes for Two-Dimensional Nonconservative Hyperbolic Systems

Finite element approximation of free vibration of folded plates

Numerical análysis of some exterior problems, mixed methods and a posteriori error analysis in fluid mechanics and elasticity

Lars V. Hörmander

Simulation of shallow-water systems using graphics processing units

Simulación de corrientes de marea en el Estrecho de Gibraltar mediante modelos bicapa 2D de aguas someras

Solving shallow-water systems in 2D domains using Finite volume methods and multimedia SSE instructions

Numerical solution of a 1-D elastohydrodynamic problem in magnetic storage devices

Review in Sound Absorbing Materials

Sediment transport models in shallow water equations and numerical approach by high order finite volume methods

Validation of acoustic models for time harmonic dissipative scattering problems

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

Improved FVM for two layer shallow-water models: application to the strait of Gibraltar

Modèles Saint-Venant bicouche: application à la simulation du transport de polluants

An exact bounded perfectly matched layer for time-harmonic scattering problems

An optimal perfectly matched layer with unbounded absorbing function for time-harmonic acoustic scattering problems

GLANUSIT: a software toolbox for the numerical simulation of large ice masses evolution

A survey on mathematical aspects of lubrication

About a generalized Buckley-Leverett equation and lubrication multifluid flow.

Numerical analysis of convection-diffusion-reaction problems with higher order characteristics finite elements. Part I: Time discretization.

Numerical simulation of time-harmonic scattering problemas with an optimal PML

A coupled multivalued model for ice streams and its numerical simulation

Numerical analysis of convection-diffusion-reaction problems with higher order characteristics finite elements. Part II: Fully discretized scheme and quadrature formulas.

Fully discrete FEM-BEM method for a class of exterior nonlinear parabolic-elliptic problems in 2D.

A parallel 2D finite volume scheme for solving systems of balance laws with non conservative products: application to shallow flows.

Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange-Galerkin methods.

Micro-roughness effects in (elasto) hydrodynamic lubrication including a mass-flow preserving cavitation model.

A residual based a posteriori error estimator for an augmented mixed finite element method in linear elasticity.

A mixed finite element method for the generalized Stokes problem

An average flow model of the Reynolds roughness including mass-flow preserving cavitation

A duality method for the compressible Reynolds equation. Application to simulation of read/write processes in magnetic storage devices

Two-scale homogenization of a hydrodynamic Elrod-Adams model

Numerical techniques for pricing callable bonds with notice

Effects d¿anisotropie par homogénéisation dans un problème à frontière libre

Enriched finite element subspaces for dual-dual mixed formulations in fluid mechanics and elasticity

The Numerical Treatment of wet/dry fronts in shallow flows: application to one-layer and two-layer systems.

Homogenization of a non local elastohydrodynamic lubrication problem: a new free boundary model

Sensitivity and approximation of coupled fluid-structure equations by virtual control method

Modelado y simulación numérica de la dinámica y termomecánica de grandes masas de hielo.

A low order mixed finite element method for a class of quasi-Newtonian Stokes flows. Part I: a- priori error analysis.

An exact bounded PML for the Helmholtz equation.

A low order mixed finite element method for a class of quasi-Newtonian Stokes flows. Part II: a- posteriori error analysis.

On the existence of solution for a nonhomogeneous Stokes-rod coupled model.

Finite elements numerical solution of a coupled profile-velocity-temperature shallow ice sheet approximation model

Computation of the vibration models of plates and shells by low-order MITC quadrilateral finite elements

Numerical simulation of the elastohydrodynamic Reynolds-rod model for lubrication of rough surfaces

Two-scale homgenization of a Reynolds-rod elastohydrodynamic model

Finite element analysis of pressure formulation of the elastoacoustic problem

Error estimates for low-order isoparametric quadrilateral finite elements for plates

A modal synthesis method for the elastoacoustic vibration problem

On a doubly nonlinear parabolic obstacle problem modelling ice sheet dynamics

Numerical approach of thermomechanical coupled problems with moving boundaries in theoretical glaciology

Mathematical analysis and numerical simulation of a Reynolds-Koiter model for the elastohydrodynamic journal-bearing device

Numerical simulation of a lubricated hertzian contact problem under imposed load

Existence of solution of an elastohydrodynamic Reynolds-Koiter model.

Finite element computation of the vibrations of a plate-fluid system with interface damping.

Finite element solution of a Reynolds-Koiter coupled problem for the elastic journal-beaing.

Mathematical Analysis of a Stefan Problem with Dirichlet-Signorini Boundary Conditions Appearing in Polythermic Ice Sheet Modeling.

Mathematical analysis of some new Reynolds-rodelastohydrodynamic models.

Efficient parallel numerical solver for the elastohydrodynamic Reynolds-Hertz problem

A fully discrete BEM-FEM method for an exterior elasticity system in the plane

On a fem-bem formulation for an exterior quasilinear problem in the plane

Numerical computation of ice sheet profiles with free boundary models

Finite element analysis of the vibration problem of a plate coupled with a fluid

High Performance Computing of a New Numerical Algorithm for an Industrial Problem in Tribology

Numerical approach of temperature distribution in a free boundary model for polythermal ice sheets

A Parallel Approach for Solving a Lubrication Problem in Industrial Devices

Resolución Eficiente dun Problema de Lubricación Bóla-Plano mediante Técnicas de Vectorización e Paralelización

Finite Element Computation of Three- Dimensional Elastoacoustic Vibrations

Approximation of the vibration modes of a plate by Reissner- Mindlin equations

Characteristics method for the formulation and computation of a free boundary cavitation problem

Solución numérica de problemas de contacto rodante esférico en lubricación elastohidrodinámica

An upwind numerical approach for an American and European option pricing model

An Elastohydrodynamic Coupled Problem Between a Piezoviscous Reynolds Equation and a Higed Plate Model

Comparación de Algoritmos Numéricos en problemas de Lubricación Hidrodinámica en Dimensión uno

An Eulerian Approach for large displacements of thin shells including geometrical non-linearities

Numerical Simulation of two coupled Problems with Free Boundary in Tribology

Numerical solution of a Reynolds-Hertz Coupled Problem with a Nonlocal Constraint

Comparación de Algoritmos Numéricos en Problemas de Lubricación con Cavitación en Superficies Rugosas

A Mixed Dirichlet-Neuman Problem for a Nonlinear Reynolds equation on Elastohydrodynamic Piezoviscous Lubrication

Contacto elastohidrodinámico en lubricación piezoviscosa de dispositivos. Eje Cojinete con imposición de carga

Existence of solution for elastohydrodynamic lubrications problems with a New Model for cavitation

Numerical computation of Free Boundary Problems in Elastohydrodynamic Lubrication