77 citations · 193 across the 13 of their papers we have counts for
6 papers · 1 filter
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…
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…
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…