Publicaciones en las que colabora con José Germán López Salas (10)

2021

  1. Amfr-w numerical methods for solving high-dimensional sabr/libor pde models

    SIAM Journal on Scientific Computing, Vol. 43, Núm. 1, pp. B30-B54

2020

  1. Quasi-Regression Monte-Carlo Scheme for Semi-Linear PDEs and BSDEs with Large Scale Parallelization on GPUs

    Archives of Computational Methods in Engineering, Vol. 27, Núm. 3, pp. 889-921

2018

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

    Computers and Mathematics with Applications, Vol. 75, Núm. 5, pp. 1616-1634

2017

  1. Sparse Grid Combination Technique for Hagan SABR/LIBOR Market Model

    NOVEL METHODS IN COMPUTATIONAL FINANCE (SPRINGER-VERLAG BERLIN), pp. 477-500

2016

  1. Stratified regression monte-carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs

    SIAM Journal on Scientific Computing, Vol. 38, Núm. 6, pp. C652-C677

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