77 citations · 193 across the 13 of their papers we have counts for
13 papers
Boundary treatment for high-order IMEX Runge-Kutta local discontinuous Galerkin schemes for multidimensional nonlinear parabolic PDEs
V. González-Tabernero, J. G. López-Salas, M. J. Castro-Díaz +1
In this article, we propose novel boundary treatment algorithms to avoid order reduction when implicit-explicit Runge-Kutta time discretization is used for solving convection-diffu…
A second order finite volume IMEX Runge-Kutta scheme for two dimensional PDEs in finance
J. G. López-Salas, M. Suárez-Taboada, M. J. Castro +2
In this article we present a novel and general methodology for building second order finite volume implicit-explicit (IMEX) numerical schemes for solving two dimensional financial…
IMEX-RK finite volume methods for nonlinear 1d parabolic PDEs. Application to option pricing
J. G. López-Salas, M. Suárez-Taboada, M. J. Castro +2
The goal of this paper is to develop 2nd order Implicit-Explicit Runge-Kutta (IMEX-RK) finite volume (FV) schemes for solving 1d parabolic PDEs for option pricing, with possible no…
PDEs for pricing interest rate derivatives under the new generalized Forward Market Model (FMM)
J. G. López-Salas, S. Pérez-Rodríguez, C. Vázquez
In this article we derive partial differential equations (PDEs) for pricing interest rate derivatives under the generalized Forward Market Model (FMM) recently presented by A. Lyas…
Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements
A. Agarwal, S. De Marco, E. Gobet +3
We introduce a new class of anticipative backward stochastic differential equations with a dependence of McKean type on the law of the solution, that we name MKABSDE. We provide ex…
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…
PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique
J. G. López-Salas, C. Vázquez
SABR models have been used to incorporate stochastic volatility to LIBOR market models (LMM) in order to describe interest rate dynamics and price interest rate derivatives. From t…
AMFR-W numerical methods for solving high dimensional SABR/LIBOR PDE models
J. G. López-Salas, S. Pérez-Rodríguez, C. Vázquez
In this work we mainly develop a new numerical methodology to solve a PDE model recently proposed in the literature for pricing interest rate derivatives. More precisely, we use hi…
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…
Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs
E. Gobet, J. G. López-Salas, P. Turkedjiev +1
In this paper, we design a novel algorithm based on Least-Squares Monte Carlo (LSMC) in order to approximate the solution of discrete time Backward Stochastic Differential Equation…
Quasi-Regression Monte-Carlo scheme for semi-linear PDEs and BSDEs with large scale parallelization on GPUs
E. Gobet, J. G. López-Salas, C. Vázquez
In this article we design a novel quasi-regression Monte Carlo algorithm in order to approximate the solution of discrete time backward stochastic differential equations (BSDEs), a…
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…