Listar por autor "Ferreiro Ferreiro, Ana María"
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An efficient implementation of parallel simulated annealing algorithm in GPUs
Ferreiro Ferreiro, Ana María; García Rodríguez, José Antonio; López Salas, José Germán; Vázquez, Carlos (Springer, 2012-09-26)[Abstract]: 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 has been carried out with compute ... -
SABR/LIBOR market models: Pricing and calibration for some interest rate derivatives
Ferreiro Ferreiro, Ana María; García Rodríguez, José Antonio; López Salas, José Germán; Vázquez, Carlos (Elsevier, 2014-09-01)[Abstract]: 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, several extensions of LIBOR models ... -
Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs
Fernández, J. L.; Ferreiro Ferreiro, Ana María; García Rodríguez, José Antonio; Leitao, Álvaro; López Salas, José Germán; Vázquez, Carlos (Elsevier, 2013-08)[Abstract]: 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 optimization algorithm and to ... -
Well-balanced flux-splitting finite volume methods using two matrices. Application to Shallow Water Equations with topography
Fernández-Nieto, E.D.; Ferreiro Ferreiro, Ana María; García Rodríguez, José Antonio; Martínez-Gavara, A. (Universidade da Coruña, 2010)