Listar por autor "López Salas, José Germán"
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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 ... -
Analysis and numerical methods for stochastic volatility models in valuation of financial derivatives
López Salas, José Germán (2016)[Abstract] The main objective of this thesis concerns to the study of the SABR stochastic volatility model for the underlyings (equity or interest rates) in order to price several market derivatives. When dealing with ... -
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 ... -
Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs
Gobet, Emmanuel; López Salas, José Germán; Turkedjiev, Plamen; Vázquez, Carlos (Society for Industrial and Applied Mathematics (SIAM), 2016-06)[Abstract]: 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 Equations (BSDEs). Our algorithm allows ...