Person:279497

Available identifiers

zbMath Open lopez-salas.jose-germanMaRDI QIDQ279497

List of research outcomes

Publication	Date of Publication	Type
Boundary treatment for high-order IMEX Runge-Kutta local discontinuous Galerkin schemes for multidimensional nonlinear parabolic PDEs	2024-10-24	Paper
Second order finite volume IMEX Runge-Kutta schemes for two dimensional parabolic PDEs in finance	2024-10-02	Paper
IMEX-RK finite volume methods for nonlinear 1d parabolic PDEs. Application to option pricing	2024-10-02	Paper
PDEs for pricing interest rate derivatives under the new generalized forward market model (FMM)	2024-08-09	Paper
Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs	2021-02-15	Paper
AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models	2021-01-29	Paper
Global optimization for data assimilation in landslide tsunami models	2021-01-28	Paper
Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements	2019-07-11	Paper
PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique	2019-03-25	Paper
Sparse Grid Combination Technique for Hagan SABR/LIBOR Market Model	2019-02-28	Paper
Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs	2016-11-18	Paper
SABR/LIBOR market models: pricing and calibration for some interest rate derivatives	2016-04-28	Paper

Research outcomes over time

This page was built for person: José G. López-Salas