José G. López-Salas

According to our database, José G. López-Salas authored at least 7 papers between 2013 and 2021.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2021

AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models.

José G. López-Salas, S. Pérez-Rodríguez, Carlos Vázquez

SIAM J. Sci. Comput., 2021

2020

Global optimization for data assimilation in landslide tsunami models.

Ana Maria Ferreiro-Ferreiro, José Antonio García-Rodríguez, José G. López-Salas, Cipriano Escalante, Manuel J. Castro

J. Comput. Phys., 2020

2018

PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique.

José G. López-Salas, Carlos Vázquez

Comput. Math. Appl., 2018

2016

Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs.

Emmanuel Gobet, José G. López-Salas, Plamen Turkedjiev, Carlos Vázquez

SIAM J. Sci. Comput., 2016

2014

SABR/LIBOR market models: Pricing and calibration for some interest rate derivatives.

Ana M. Ferreiro, José Antonio García-Rodríguez, José G. López-Salas, Carlos Vázquez

Appl. Math. Comput., 2014

2013

Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs.

J. L. Fernández, Ana M. Ferreiro, José Antonio García-Rodríguez, Álvaro Leitao, José G. López-Salas, Carlos Vázquez

Math. Comput. Simul., 2013

An efficient implementation of parallel simulated annealing algorithm in GPUs.

Ana M. Ferreiro, José Antonio García-Rodríguez, José G. López-Salas, Carlos Vázquez

J. Glob. Optim., 2013