Publications by the researcher in collaboration with Carlos Vázquez Cendón (13)

2022

  1. A Multi-Level Monte-Carlo with FEM for XVA in European Options

    Mathematics in Industry (Springer Medizin), pp. 321-327

2021

  1. Global optimization for automatic model points selection in life insurance portfolios

    Mathematics, Vol. 9, Núm. 5, pp. 1-19

2020

  1. A new calibration of the Heston Stochastic Local Volatility Model and its parallel implementation on GPUs

    Mathematics and Computers in Simulation, Vol. 177, pp. 467-486

  2. Efficient Model Points Selection in Insurance by Parallel Global Optimization Using Multi CPU and Multi GPU

    Business and Information Systems Engineering, Vol. 62, Núm. 1, pp. 5-20

2019

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

    Applied Mathematics and Computation, Vol. 356, pp. 282-298

  2. Parallel two-phase methods for global optimization on GPU

    Mathematics and Computers in Simulation, Vol. 156, pp. 67-90

2018

  1. GPU parallel implementation for asset-liability management in insurance companies

    Journal of Computational Science, Vol. 24, pp. 232-254

2015

  1. Speedup of calibration and pricing with SABR models: From equities to interest rates derivatives

    Actuarial Sciences and Quantitative Finance: ICASQF, Bogotá, Colombia, June 2014 (Springer International Publishing), pp. 49-63

2014

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

    Applied Mathematics and Computation, Vol. 242, pp. 65-89

2013

  1. An efficient implementation of parallel simulated annealing algorithm in GPUs

    Journal of Global Optimization

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

    Applied Mathematics and Computation, Vol. 219, Núm. 24, pp. 11233-11257

  3. Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs

    Mathematics and Computers in Simulation, Vol. 94, pp. 55-75

2012

  1. An efficient implementation of simulating annealing in GPUs and its application to calibration of SABR Stochastic volatility model

    ECCOMAS 2012 - European Congress on Computational Methods in Applied Sciences and Engineering, e-Book Full Papers