José G. López-Salas
Orcid: 0000-0002-4533-0754
According to our database1,
José G. López-Salas
authored at least 16 papers
between 2013 and 2026.
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Bibliography
2026
Modelling, mathematical analysis and computation of the total value adjustment including KVA and multi-currency.
Commun. Nonlinear Sci. Numer. Simul., 2026
2025
Mathematical models and numerical methods for a capital valuation adjustment (KVA) problem.
Appl. Math. Comput., 2025
2024
Boundary Treatment for High-Order IMEX Runge-Kutta Local Discontinuous Galerkin Schemes for Multidimensional Nonlinear Parabolic PDEs.
SIAM J. Sci. Comput., 2024
A second order finite volume IMEX Runge-Kutta scheme for two dimensional PDEs in finance.
CoRR, 2024
Second order finite volume IMEX Runge-Kutta schemes for two dimensional parabolic PDEs in finance.
CoRR, 2024
IMEX-RK finite volume methods for nonlinear 1d parabolic PDEs. Application to option pricing.
CoRR, 2024
Quasi-Regression Monte-Carlo scheme for semi-linear PDEs and BSDEs with large scale parallelization on GPUs.
CoRR, 2024
PDEs for pricing interest rate derivatives under the new generalized Forward Market Model (FMM).
Comput. Math. Appl., 2024
2021
SIAM J. Sci. Comput., 2021
2020
J. Comput. Phys., 2020
2018
PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique.
Comput. Math. Appl., 2018
2016
Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs.
SIAM J. Sci. Comput., 2016
2014
SABR/LIBOR market models: Pricing and calibration for some interest rate derivatives.
Appl. Math. Comput., 2014
2013
Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs.
Math. Comput. Simul., 2013
J. Glob. Optim., 2013