Publicaciones en las que colabora con José Germán López Salas (9)

2025

  1. Mathematical models and numerical methods for a capital valuation adjustment (KVA) problem

    Applied Mathematics and Computation, Vol. 488

2024

  1. IMEX-RK Finite Volume Methods for Nonlinear 1d Parabolic PDEs. Application to Option Pricing

    SEMA SIMAI Springer Series (Springer Science and Business Media Deutschland GmbH), pp. 419-432

  2. Second Order Finite Volume IMEX Runge-Kutta Schemes for Two Dimensional Parabolic PDEs in Finance

    SEMA SIMAI Springer Series (Springer Science and Business Media Deutschland GmbH), pp. 145-158

2020

  1. Global optimization for data assimilation in landslide tsunami models

    Journal of Computational Physics, Vol. 403

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. 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