ListarGI-M2NICA - Congresos, conferencias, etc. por tema "GPUs"

Mostrando ítems 1-2 de 2

    • Quasi-Regression Monte-Carlo Method for Semi-Linear PDEs and BSDEs 

      Gobet, Emmanuel; López-Salas, José Germán; Vázquez, Carlos (MDPI AG, 2019-08-06)
      [Abstract] In this work we design a novel and efficient quasi-regression Monte Carlo algorithm in order to approximate the solution of discrete time backward stochastic differential equations (BSDEs), and we analyze the ...

    • 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 ...