Carlos
Vázquez Cendón
Catedrático de Universidade
José Germán
López Salas
Profesor Axudante Doutor
Publications by the researcher in collaboration with José Germán López Salas (10)
2021
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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
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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
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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
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Sparse Grid Combination Technique for Hagan SABR/LIBOR Market Model
NOVEL METHODS IN COMPUTATIONAL FINANCE (SPRINGER-VERLAG BERLIN), pp. 477-500
2016
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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
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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
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SABR/LIBOR market models: Pricing and calibration for some interest rate derivatives
Applied Mathematics and Computation, Vol. 242, pp. 65-89
2013
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An efficient implementation of parallel simulated annealing algorithm in GPUs
Journal of Global Optimization
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Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs
Mathematics and Computers in Simulation, Vol. 94, pp. 55-75
2012
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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