77 citations · 180 across the 8 of their papers we have counts for
4 papers · 1 filter
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…
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…