Publicaciones (40) Publicaciones de José Antonio García Rodríguez

2024

  1. High-order well-balanced numerical schemes for one-dimensional shallow-water systems with Coriolis terms

    Applied Mathematics and Computation, Vol. 469

2023

  1. Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk

    Journal of Computational and Applied Mathematics, Vol. 425

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

  3. Global optimization for data assimilation in landslide tsunami models

    Journal of Computational Physics, Vol. 403

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

  3. Third International Conference on Computational Finance: Book of abstracts ed. lit.

    Servizo de Publicacións

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. A multi-GPU shallow-water simulation with transport of contaminants

    Concurrency Computation Practice and Experience

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

    Journal of Global Optimization

  3. 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

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

    Journal of Supercomputing

  5. Parallelization of shallow water simulations on current multi-threaded systems

    International Journal of High Performance Computing Applications, Vol. 27, Núm. 4, pp. 493-512

  6. 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

2010

  1. Numerical simulation in Physics and Engineering: proceedings of the XIV Spanish-French Jacques-Louis Lions School : (A Coruña, Spain, September 6-10th, 2010) dir. congr.

    Servizo de Publicacións