14 citations · 33 across the 4 of their papers we have counts for
4 papers
SABR/LIBOR market models: pricing and calibration for some interest rate derivatives
A. M. Ferreiro, J. A. García, J. G. López-Salas +1
In order to overcome the drawbacks of assuming deterministic volatility coefficients in the standard LIBOR market models to capture volatility smiles and skews in real markets, sev…
Global optimization for data assimilation in landslide tsunamis models
A. M. Ferreiro-Ferreiro, J. A. García-Rodríguez, J. G. López-Salas +2
The goal of this article is to make automatic data assimilation for a landslide tsunami model, given by the coupling between a non-hydrostatic multi-layer shallow-water and a Savag…
Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs
J. L. Fernández, A. M. Ferreiro, J. A. García +3
For the calibration of the parameters in static and dynamic SABR stochastic volatility models, we propose the application of the GPU technology to the Simulated Annealing global op…
Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk
Joel P. Villarino, Álvaro Leitao, José A. García-Rodríguez
The goal of this work is to develop deep learning numerical methods for solving option XVA pricing problems given by non-linear PDE models. A novel strategy for the treatment of th…