3 papers
q-fin.PR2024
SABR/LIBOR market models: pricing and calibration for some interest rate derivatives
A. M. Ferreiro, J. A. GarcÃa, 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…
physics.geo-ph2024
Global optimization for data assimilation in landslide tsunamis models
A. M. Ferreiro-Ferreiro, J. A. GarcÃa-RodrÃguez, 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…
math.OC2024
Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs
J. L. Fernández, A. M. Ferreiro, J. A. GarcÃa +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…