77 citations · 109 across the 5 of their papers we have counts for
5 papers
Second order finite volume IMEX Runge-Kutta schemes for two dimensional parabolic PDEs in finance
J. G. López-Salas, M. Suárez-Taboada, M. J. Castro +2
We present a novel and general methodology for building second-order finite volume implicit-explicit Runge-Kutta numerical schemes for solving two-dimensional financial parabolic P…
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…
An efficient implementation of parallel simulated annealing algorithm in GPUs
A. M. Ferreiro, J. A. García, J. G. López-Salas +1
In this work we propose a highly optimized version of a simulated annealing (SA) algorithm adapted to the more recently developed Graphic Processor Units (GPUs). The programming ha…
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…