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Efficient Calibration and Pricing in LIBOR Market Models with SABR Stochastic Volatility Using GPUs
dc.contributor.author | Ferreiro Ferreiro, Ana María | |
dc.contributor.author | García Rodríguez, José Antonio | |
dc.contributor.author | López Salas, José Germán | |
dc.contributor.author | Vázquez, Carlos | |
dc.date.accessioned | 2024-07-18T12:00:07Z | |
dc.date.available | 2024-07-18T12:00:07Z | |
dc.date.issued | 2016 | |
dc.identifier.citation | Ferreiro, A.M., García, J.A., López-Salas, J.G., Vázquez, C. (2016). Efficient Calibration and Pricing in LIBOR Market Models with SABR Stochastic Volatility Using GPUs. In: Russo, G., Capasso, V., Nicosia, G., Romano, V. (eds) Progress in Industrial Mathematics at ECMI 2014. ECMI 2014. Mathematics in Industry(), vol 22. Springer, Cham. https://doi.org/10.1007/978-3-319-23413-7_11 | es_ES |
dc.identifier.isbn | 978-3-319-23412-0 | |
dc.identifier.isbn | 978-3-319-23413-7 | |
dc.identifier.issn | 2198-3283 | |
dc.identifier.issn | 1612-3956 | |
dc.identifier.uri | http://hdl.handle.net/2183/38148 | |
dc.description | ©2016 This version of the article has been accepted for publication, after peer review and is subject to Springer Nature’s AM terms of use, but is not the Version of Record. The Version of Record is available online at: https://doi.org/10.1007/978-3-319-23413-7_11 | es_ES |
dc.description | The conference was held in Taormina, Italy, June 9 - 13, 2014. | es_ES |
dc.description.abstract | [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 proposed. The efficient calibration to market data of these more complex models becomes a relevant target in practice. The main objective of the present work is to efficiently calibrate some recent SABR/LIBOR market models to real market prices of caplets and swaptions. For the calibration we propose a parallelized version of the simulated annealing algorithm for multi-GPUs. The numerical results clearly illustrate the advantages of using the proposed multi-GPUs tools when applied to real market data and popular SABR/LIBOR models. | es_ES |
dc.language.iso | eng | es_ES |
dc.publisher | Springer | es_ES |
dc.relation.uri | https://doi.org/10.1007/978-3-319-23413-7_11 | es_ES |
dc.subject | Computational finance | es_ES |
dc.subject | Market model calibration | es_ES |
dc.title | Efficient Calibration and Pricing in LIBOR Market Models with SABR Stochastic Volatility Using GPUs | es_ES |
dc.type | info:eu-repo/semantics/conferenceObject | es_ES |
dc.rights.access | info:eu-repo/semantics/openAccess | es_ES |
UDC.journalTitle | Mathematics in Industry | es_ES |
UDC.volume | 22 | es_ES |
UDC.startPage | 65 | es_ES |
UDC.endPage | 74 | es_ES |
UDC.conferenceTitle | The 18th European Conference on Mathematics for Industry (ECMI 2014) | es_ES |