Publicaciones en las que colabora con José Antonio García Rodríguez (25)

2024

  1. High-Order Well-Balanced Finite Volume Schemes for 1d and 2d Shallow-Water Equations with Variable Bathymetry and Coriolis Forces

    SEMA SIMAI Springer Series (Springer Science and Business Media Deutschland GmbH), pp. 97-109

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

    Applied Mathematics and Computation, Vol. 469

  3. IMEX-RK Finite Volume Methods for Nonlinear 1d Parabolic PDEs. Application to Option Pricing

    SEMA SIMAI Springer Series (Springer Science and Business Media Deutschland GmbH), pp. 419-432

  4. Second Order Finite Volume IMEX Runge-Kutta Schemes for Two Dimensional Parabolic PDEs in Finance

    SEMA SIMAI Springer Series (Springer Science and Business Media Deutschland GmbH), pp. 145-158

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

    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