77 citations · 180 across the 8 of their papers we have counts for
8 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…
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…
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…
Numerical upscaling of the free boundary dam problem in multiscale high-contrast media
Juan Galvis, Carlos Vásquez, Luis F. Contreras
In this paper, we address the numerical homogenization approximation of a free-boundary dam problem posed in a heterogeneous media. More precisely, we propose a generalized multisc…