José Germán López-Salas

An efficient implementation of parallel simulated annealing algorithm in GPUs

A. Ferreiro, J. A. García, José Germán López-Salas et al. · Journal of Global Optimization · 2012 · 73 citations · Full text

Cluster Computing, Gpu Architecture, Engineering +12

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

Emmanuel Gobet, José Germán López-Salas, Plamen Turkedjiev et al. · SIAM Journal on Scientific Computing · 2016 · 49 citations · Full text

Numerical Analysis, Engineering, Gpu Benchmarking +18

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

José Luís Fernández, A. Ferreiro, Jose Garcia-Rodriguez et al. · Mathematics and Computers in Simulation · 2013 · 14 citations · Full text

Volatility Modeling, Multivariate Stochastic Volatility, Option Pricing +10

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

José Germán López-Salas, Carlos Vázquez · Computers & Mathematics with Applications · 2017 · 12 citations · Full text

Numerical Analysis, Numerical Solution, Sabr/libor Market Models +2

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

A. Ferreiro, Jose Garcia-Rodriguez, José Germán López-Salas et al. · Applied Mathematics and Computation · 2014 · 11 citations · Full text

Term Structure Model, Asset Pricing, Derivative Pricing +4