Listar Grupos de investigación 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 ...

    • 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 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 ...

    • 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 ...

    • 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 ...