| An efficient implementation of parallel simulated annealing algorithm in GPUs AM Ferreiro, JA García, JG López-Salas, C Vázquez Journal of global optimization 57, 863-890, 2013 | 106 | 2013 |
| Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs E Gobet, JG López-Salas, P Turkedjiev, C Vázquez SIAM Journal on Scientific Computing 38 (6), C652-C677, 2016 | 66 | 2016 |
| Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs JL Fernández, AM Ferreiro, JA García-Rodríguez, A Leitao, ... Mathematics and Computers in Simulation 94, 55-75, 2013 | 21 | 2013 |
| PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique JG López-Salas, C Vázquez Computers & Mathematics with Applications 75 (5), 1616-1634, 2018 | 17 | 2018 |
| SABR/LIBOR market models: pricing and calibration for some interest rate derivatives AM Ferreiro, JA Garcia-Rodriguez, JG López-Salas, C Vazquez Applied Mathematics and Computation 242, 65-89, 2014 | 15 | 2014 |
| Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements A Agarwal, S De Marco, E Gobet, JG López-Salas, F Noubiagain, A Zhou ESAIM: Proceedings and Surveys 65, 1-26, 2019 | 14 | 2019 |
| Quasi-regression Monte-Carlo scheme for semi-linear PDEs and BSDEs with large scale parallelization on GPUs E Gobet, JG López-Salas, C Vázquez Archives of Computational Methods in Engineering 27 (3), 889-921, 2020 | 10 | 2020 |
| AMFR-W numerical methods for solving high-dimensional SABR/LIBOR PDE models JG López-Salas, S Pérez-Rodríguez, C Vázquez SIAM Journal on Scientific Computing 43 (1), B30-B54, 2021 | 7 | 2021 |
| Global optimization for data assimilation in landslide tsunami models AM Ferreiro-Ferreiro, JA García-Rodríguez, JG López-Salas, C Escalante, ... Journal of Computational Physics 403, 109069, 2020 | 7 | 2020 |
| Sparse grid combination technique for Hagan SABR/LIBOR market model JG López-Salas, CV Cendón Novel Methods in Computational Finance, 477-500, 2017 | 2 | 2017 |
| Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Variation Margin requirements A Agarwal, S de Marco, E Gobet, J López-Salas, F Noubiagain, A Zhou Available at HAL, 2018 | 1 | 2018 |
| PDEs for pricing interest rate derivatives under the new generalized Forward Market Model (FMM) JG López-Salas, S Pérez-Rodríguez, C Vázquez Computers & Mathematics with Applications 169, 88-98, 2024 | | 2024 |
| Mathematical models and numerical methods for a capital valuation adjustment (KVA) problem D Trevisani, JG López-Salas, C Vázquez, JA García-Rodríguez | | 2024 |
| Second order finite volume IMEX Runge-Kutta schemes for option pricing nonlinear PDEs in finance JG López-Salas, M Suárez, MJ Castro-Díaz, AM Ferreiro, ... Málaga, 2023 | | 2023 |
| IMEX-RK Finite Volume Methods for Nonlinear 1d Parabolic PDEs. Application to Option Pricing JG López-Salas, M Suárez-Taboada, MJ Castro, AM Ferreiro-Ferreiro, ... XVI International Conference on Hyperbolic Problems: Theory, Numerics …, 2022 | | 2022 |
| Second Order Finite Volume IMEX Runge-Kutta Schemes for Two Dimensional Parabolic PDEs in Finance JG López-Salas, M Suárez-Taboada, MJ Castro, AM Ferreiro-Ferreiro, ... XVI International Conference on Hyperbolic Problems: Theory, Numerics …, 2022 | | 2022 |
| Second order finite volume IMEX-RK numerical methods for 1d models in option pricing JG López-Salas, M Suárez-Taboada, MJ Castro-Díaz, ... Málaga, 2022 | | 2022 |
| Regression Monte Carlo methods for HJB-type equations: which approximation space? D Barrera, E Gobet, J Lopez-Salas, P Turkedjiev, C Vasquez, J Zubelli ICODE workshop on numerical solution of HJB equations, 2020 | | 2020 |
| Modeling and computing the adjustment of IM in pricing/hedging derivatives A Agarwal, F Bourgey, E Gobet, J Lopez-Salas, S de Marco, F Noubiagain, ... Quant Minds, 2019 | | 2019 |
| Efficient calibration and pricing in LIBOR Market Models with SABR stochastic volatility using GPUs AM Ferreiro, JA García, JG López-Salas, C Vázquez Progress in Industrial Mathematics at ECMI 2014 18, 65-74, 2016 | | 2016 |
