The following pages link to José G. López-Salas (Q279497):
Displaying 20 items.
- SABR/LIBOR market models: pricing and calibration for some interest rate derivatives (Q279498) (← links)
- PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique (Q1732425) (← links)
- (Q2222989) (redirect page) (← links)
- Global optimization for data assimilation in landslide tsunami models (Q2222990) (← links)
- Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs (Q2227432) (← links)
- Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs (Q2833537) (← links)
- Sparse Grid Combination Technique for Hagan SABR/LIBOR Market Model (Q4626522) (← links)
- Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements (Q4967860) (← links)
- AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models (Q5147983) (← links)
- PDEs for pricing interest rate derivatives under the new generalized forward market model (FMM) (Q6585361) (← links)
- Second order finite volume IMEX Runge-Kutta schemes for two dimensional parabolic PDEs in finance (Q6613548) (← links)
- IMEX-RK finite volume methods for nonlinear 1d parabolic PDEs. Application to option pricing (Q6613572) (← links)
- Boundary treatment for high-order IMEX Runge-Kutta local discontinuous Galerkin schemes for multidimensional nonlinear parabolic PDEs (Q6623726) (← links)
- Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs (Q6738545) (← links)
- Quasi-Regression Monte-Carlo scheme for semi-linear PDEs and BSDEs with large scale parallelization on GPUs (Q6738629) (← links)
- Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs (Q6738630) (← links)
- AMFR-W numerical methods for solving high dimensional SABR/LIBOR PDE models (Q6738929) (← links)
- PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique (Q6738932) (← links)
- A second order finite volume IMEX Runge-Kutta scheme for two dimensional PDEs in finance (Q6746773) (← links)
- Mathematical models and numerical methods for a capital valuation adjustment (KVA) problem (Q6749870) (← links)
