Modelos e métodos numéricos en enxeñaría e ciencias aplicadas (M2NICA): Envíos recentes

Mostrando ítems 16-20 de 95

    • 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 ...

    • 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 ...

    • 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 ...

    • XVA for American options with two stochastic factors: modelling, mathematical analysis and numerical methods 

      Arregui, Íñigo; Salvador, Beatriz; Ševčovič, D.; Vázquez, Carlos (Universidad de Oviedo, Servicio de Publicaciones, 2021)
      [Abstract]: In this work, we derive new linear and nonlinear partial differential equations (PDEs) models for pricing American options and total value adjustment in the presence of counterparty risk. Moreover, stochastic ...

    • Pricing TARN options with a stochastic local volatility model 

      Arregui, Íñigo; Ráfales, Jonatan (Universidad de Oviedo, Servicio de Publicaciones, 2021)
      [Abstract]: Target Accumulation Redemption Notes (TARNs) are financial derivatives which give their holders the right to receive periodic coupons until the accumulated sum of those ones reaches an agreed target. In this ...