J. G. López-Salas

Available identifiers

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

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