Browsing by Author "García Rodríguez, José Antonio"
Now showing items 1-18 of 18
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A multi-GPU shallow-water simulation with transport of contaminants
Viñas Buceta, Moisés; Lobeiras Blanco, Jacobo; Fraguela, Basilio B.; Arenaz Silva, Manuel; Amor, Margarita; García Rodríguez, José Antonio; Castro, M.J.; Doallo, Ramón (Wiley, 2012)[Abstract] This work presents cost-effective multi-graphics processing unit (GPU) parallel implementations of a finite-volume numerical scheme for solving pollutant transport problems in bidimensional domains. The fluid ... -
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 ... -
Boundary Treatment for High-Order IMEX Runge–Kutta Local Discontinuous Galerkin Schemes for Multidimensional Nonlinear Parabolic PDEs
González Taberner, Víctor; López-Salas, José Germán; Castro, M.J.; García Rodríguez, José Antonio (Society for Industrial and Applied Mathematics, 2024)[Abstract]: In this article, we propose novel boundary treatment algorithms to avoid order reduction when implicit-explicit Runge–Kutta time discretization is used for solving convection-diffusion-reaction problems with ... -
Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk
Pérez Villarino, Joel; Leitao, Álvaro; García Rodríguez, José Antonio (Elsevier B.V., 2023)[Abstract]: The goal of this work is to develop a novel strategy for the treatment of the boundary conditions for multi-dimension nonlinear parabolic PDEs. The proposed methodology allows to get rid of the heuristic choice ... -
Efficient Calibration and Pricing in LIBOR Market Models with SABR Stochastic Volatility Using GPUs
Ferreiro Ferreiro, Ana María; García Rodríguez, José Antonio; López-Salas, José Germán; Vázquez, Carlos (Springer, 2016)[Abstract]: In order to overcome the drawbacks of assuming deterministic volatility coefficients in the standard LIBOR market models, several extensions of LIBOR models to incorporate stochastic volatilities have been ... -
Global Optimization for Automatic Model Points Selection in Life Insurance Portfolios
Ferreiro, Ana M.; Ferri, Enrico; García Rodríguez, José Antonio; Vázquez, Carlos (MDPI AG, 2021-02-25)[Abstract] Starting from an original portfolio of life insurance policies, in this article we propose a methodology to select model points portfolios that reproduce the original one, preserving its market risk under a ... -
Global optimization for data assimilation in landslide tsunami models
Ferreiro Ferreiro, Ana María; García Rodríguez, José Antonio; López-Salas, José Germán; Escalante Sánchez, Cipriano; Castro Díaz, Manuel Jesús (Elsevier, 2020-02-15)[Abstract]: The goal of this article is to make automatic data assimilation for a landslide tsunami model, given by the coupling between a non-hydrostatic multi-layer shallow-water and a Savage-Hutter granular landslide ... -
High-order well-balanced numerical schemes for one-dimensional shallow-water systems with Coriolis terms
González Tabernero, Víctor; Castro, M.J.; García Rodríguez, José Antonio (Elsevier B.V., 2024-05-15)[Absctract]: The goal of this work is to develop high-order well-balanced schemes for the one-dimensional shallow-water equations with Coriolis terms. The main contribution is the development of general numerical methods ... -
IMEX-RK Finite Volume Methods for Nonlinear 1d Parabolic PDEs. Application to Option Pricing
López-Salas, José Germán; Suárez Taboada, María; Castro Díaz, Manuel Jesús; Ferreiro Ferreiro, Ana María; García Rodríguez, José Antonio (Springer Nature, 2024-06-06)[Abstract]: The goal of this paper is to develop 2nd order Implicit-Explicit Runge-Kutta (IMEX-RK) finite volume (FV) schemes for solving 1d parabolic PDEs for option pricing, with possible nonlinearities in the source and ... -
Mathematical models and numerical methods for a capital valuation adjustment (KVA) problem
Trevisani, Davide; López-Salas, José Germán; Vázquez, Carlos; García Rodríguez, José Antonio (Elsevier B.V., 2025-03)[Abstract]: In this work we rigorously establish mathematical models to obtain the capital valuation adjustment (KVA) as part of the total valuation adjustments (XVAs). For this purpose, we use a semi-replication strategy ... -
Numerical Simulation of Pollutant Transport in a Shallow-Water System on the Cell Heterogeneous Processor
González, Carlos H.; Fraguela, Basilio B.; Andrade, Diego; García Rodríguez, José Antonio; Castro, M.J. (Springer, 2013)[Abstract] This paper presents an implementation, optimized for the Cell processor, of a finite volume numerical scheme for 2D shallow-water systems with pollutant transport. A description of the special architecture and ... -
Parallelization of shallow water simulations on current multi-threaded systems
Lobeiras Blanco, Jacobo; Viñas Buceta, Moisés; Amor, Margarita; Fraguela, Basilio B.; Arenaz Silva, Manuel; García Rodríguez, José Antonio; Castro, M.J. (SAGE Journals, 2013-11)[Abstract]: In this work, several parallel implementations of a numerical model of pollutant transport on a shallow water system are presented. These parallel implementations are developed in two phases. First, the sequential ... -
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 ... -
Second Order Finite Volume IMEX Runge-Kutta Schemes for Two Dimensional Parabolic PDEs in Finance
López-Salas, José Germán; Suárez Taboada, María; Castro Díaz, Manuel Jesús; Ferreiro Ferreiro, Ana María; García Rodríguez, José Antonio (Springer Nature, 2024-06-06)[Abstract]: We present a novel and general methodology for building second order finite volume implicit-explicit Runge-Kutta numerical schemes for solving two dimensional financial parabolic PDEs with mixed derivatives. ... -
Speedup of Calibration and Pricing with SABR Models: From Equities to Interest Rates Derivatives
Ferreiro Ferreiro, Ana María; García Rodríguez, José Antonio; López-Salas, José Germán; Vázquez, Carlos (Springer, 2015)[Abstract]: In the more classical models for equities and interest rates evolution, constant volatility is usually assumed. However, in practice the volatilities are not constant in financial markets and different 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 ... -
Third International Conference on Computational Finance. Book of abstracts: A Coruña, 8-12 July 2019
Arregui, Íñigo; García Rodríguez, José Antonio; Vázquez, Carlos (Universidade da CoruñaUniversidade da Coruña, Servizo de Publicacións, 2019) -
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)