Publicaciones en colaboración con investigadores/as de Universidad Autónoma de Madrid (7)

2019

  1. Asymptotic stability of empirical processes and related functionals

    Journal of Mathematical Analysis and Applications, Vol. 475, Núm. 1, pp. 755-768

2018

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

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

2017

  1. Multicurve LIBOR market models and drift-free simulation

    International Journal of Computer Mathematics, Vol. 94, Núm. 11, pp. 2194-2207

2015

  1. A drift-free simulation method for pricing commodity derivatives

    Applied Stochastic Models in Business and Industry, Vol. 31, Núm. 4, pp. 536-550

  2. A new parameterization for the drift-free simulation in the Libor Market Model

    Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales - Serie A: Matematicas, Vol. 109, Núm. 1, pp. 73-92

2013

  1. Drift-Free Simulation methods for pricing cross-market derivatives with LIBOR Market Model

    RECENT DEVELOPMENTS IN COMPUTATIONAL FINANCE: FOUNDATIONS, ALGORITHMS AND APPLICATIONS (WORLD SCIENTIFIC PUBL CO PTE LTD), pp. 373-405

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

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