Publications in collaboration with researchers from 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