José G. López-Salas

Publication Activity (10 Years)

Years Active: 2013-2024
Publications (10 Years): 7

Top Topics

Numerical Solution

Monte Carlo Methods

Matrix Inversion

Markovian Decision

Top Venues

Comput. Math. Appl.

SIAM J. Sci. Comput.

J. Comput. Phys.

Publications

José G. López-Salas, Soledad Pérez-Rodríguez, Carlos Vázquez
PDEs for pricing interest rate derivatives under the new generalized Forward Market Model (FMM). Comput. Math. Appl. 169 (2024)
Emmanuel Gobet, José G. López-Salas, Plamen Turkedjiev, Carlos Vázquez
Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs. CoRR (2024)
Emmanuel Gobet, José G. López-Salas, Carlos Vázquez
Quasi-Regression Monte-Carlo scheme for semi-linear PDEs and BSDEs with large scale parallelization on GPUs. CoRR (2024)
José G. López-Salas, S. Pérez-Rodríguez, Carlos Vázquez
AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models. SIAM J. Sci. Comput. 43 (1) (2021)
Ana Maria Ferreiro-Ferreiro, José Antonio García-Rodríguez, José G. López-Salas, Cipriano Escalante, Manuel J. Castro
Global optimization for data assimilation in landslide tsunami models. J. Comput. Phys. 403 (2020)
José G. López-Salas, Carlos Vázquez
PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique. Comput. Math. Appl. 75 (5) (2018)
Emmanuel Gobet, José G. López-Salas, Plamen Turkedjiev, Carlos Vázquez
Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs. SIAM J. Sci. Comput. 38 (6) (2016)
Ana M. Ferreiro, José Antonio García-Rodríguez, José G. López-Salas, Carlos Vázquez
SABR/LIBOR market models: Pricing and calibration for some interest rate derivatives. Appl. Math. Comput. 242 (2014)
J. L. Fernández, Ana M. Ferreiro, José Antonio García-Rodríguez, Álvaro Leitao, José G. López-Salas, Carlos Vázquez
Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs. Math. Comput. Simul. 94 (2013)
Ana M. Ferreiro, José Antonio García-Rodríguez, José G. López-Salas, Carlos Vázquez
An efficient implementation of parallel simulated annealing algorithm in GPUs. J. Glob. Optim. 57 (3) (2013)