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ORCIDJosé G. López-Salas
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2020 – today
- 2025
[j10]Davide Trevisani, José G. López-Salas
, Carlos Vázquez, José Antonio García-Rodríguez:
Mathematical models and numerical methods for a capital valuation adjustment (KVA) problem. Appl. Math. Comput. 488: 129105 (2025)- 2024
- [j9]José G. López-Salas, Soledad Pérez-Rodríguez, Carlos Vázquez:
PDEs for pricing interest rate derivatives under the new generalized Forward Market Model (FMM). Comput. Math. Appl. 169: 88-98 (2024) - [j8]Víctor González Tabernero, José G. López-Salas, Manuel Jesús Castro Díaz, José Antonio García-Rodríguez:
Boundary Treatment for High-Order IMEX Runge-Kutta Local Discontinuous Galerkin Schemes for Multidimensional Nonlinear Parabolic PDEs. SIAM J. Sci. Comput. 46(5): 3282- (2024) - [i9]Emmanuel Gobet, José G. López-Salas, Carlos Vázquez:
Quasi-Regression Monte-Carlo scheme for semi-linear PDEs and BSDEs with large scale parallelization on GPUs. CoRR abs/2407.21084 (2024) - [i8]Emmanuel Gobet, José G. López-Salas, Plamen Turkedjiev, Carlos Vázquez:
Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs. CoRR abs/2407.21085 (2024) - [i7]Ana M. Ferreiro, José Antonio García-Rodríguez, José G. López-Salas, Carlos Vázquez:
An efficient implementation of parallel simulated annealing algorithm in GPUs. CoRR abs/2408.00018 (2024) - [i6]José G. López-Salas, Soledad Pérez-Rodríguez, Carlos Vázquez:
AMFR-W numerical methods for solving high dimensional SABR/LIBOR PDE models. CoRR abs/2408.00559 (2024) - [i5]Ana Maria Ferreiro-Ferreiro, José Antonio García-Rodríguez, José G. López-Salas, Cipriano Escalante, Manuel Jesús Castro Díaz:
Global optimization for data assimilation in landslide tsunamis models. CoRR abs/2408.11819 (2024) - [i4]José G. López-Salas, M. Suárez-Taboada, Manuel Jesús Castro Díaz, Ana Maria Ferreiro-Ferreiro, José Antonio García-Rodríguez:
IMEX-RK finite volume methods for nonlinear 1d parabolic PDEs. Application to option pricing. CoRR abs/2409.01125 (2024) - [i3]José G. López-Salas, M. Suárez-Taboada, Manuel J. Castro, Ana Maria Ferreiro-Ferreiro, José Antonio García-Rodríguez:
Second order finite volume IMEX Runge-Kutta schemes for two dimensional parabolic PDEs in finance. CoRR abs/2409.01131 (2024) - [i2]José G. López-Salas, M. Suárez-Taboada, Manuel Jesús Castro Díaz, Ana Maria Ferreiro-Ferreiro, José Antonio García-Rodríguez:
A second order finite volume IMEX Runge-Kutta scheme for two dimensional PDEs in finance. CoRR abs/2410.02925 (2024) - [i1]Víctor González Tabernero, José G. López-Salas, Manuel Jesús Castro Díaz, José Antonio García-Rodríguez:
Boundary treatment for high-order IMEX Runge-Kutta local discontinuous Galerkin schemes for multidimensional nonlinear parabolic PDEs. CoRR abs/2410.02927 (2024) - 2021
- [j7]José G. López-Salas, Soledad Pérez-Rodríguez, Carlos Vázquez:
AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models. SIAM J. Sci. Comput. 43(1): B30-B54 (2021) - 2020
- [j6]Ana Maria Ferreiro-Ferreiro, José Antonio García-Rodríguez, José G. López-Salas, Cipriano Escalante, Manuel J. Castro:
Global optimization for data assimilation in landslide tsunami models. J. Comput. Phys. 403 (2020)
2010 – 2019
- 2018
- [j5]José G. López-Salas, Carlos Vázquez:
PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique. Comput. Math. Appl. 75(5): 1616-1634 (2018) - 2016
- [j4]Emmanuel Gobet, José G. López-Salas, Plamen Turkedjiev, Carlos Vázquez:
Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs. SIAM J. Sci. Comput. 38(6) (2016) - 2014
- [j3]Ana M. Ferreiro, José Antonio García-Rodríguez, José G. López-Salas, Carlos Vázquez:
SABR/LIBOR market models: Pricing and calibration for some interest rate derivatives. Appl. Math. Comput. 242: 65-89 (2014) - 2013
- [j2]Ana M. Ferreiro, José Antonio García-Rodríguez, José G. López-Salas, Carlos Vázquez:
An efficient implementation of parallel simulated annealing algorithm in GPUs. J. Glob. Optim. 57(3): 863-890 (2013) - [j1]J. L. Fernández, Ana M. Ferreiro, José Antonio García-Rodríguez, Álvaro Leitao, José G. López-Salas, Carlos Vázquez:
Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs. Math. Comput. Simul. 94: 55-75 (2013)
Coauthor Index
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