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Información completa
| Nombre | López Salas, José Germán |
| Área conocimiento | Matemática aplicada |
| Categoría | Profesor Contratado Interino de Sustitución |
| Dedicación | Total |
| Correo | jose.lsalas@udc.es |
| Web personal | http://pdi.udc.es/gl/File/Pdi/KQ3XH |
| Grupo investigación | M2NICA |
Localización
| Centro | Campus | Teléfono | Extensión |
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Docencia
| Titulación(es) | Asignatura(s) |
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Artículos publicados
- Davide Trevisani, José Germán López-Salas, Carlos Vázquez, José Antonio García-Rodríguez.
Mathematical models and numerical methods for a capital valuation adjustment (KVA) problem.
Applied Mathematics and Computation, 488 (2025) , 129105.
- José Germán López-Salas, Soledad Pérez-Rodríguez, Carlos Vázquez.
PDEs for pricing interest rate derivatives under the new generalized Forward Market Model (FMM).
Computers & Mathematics with Applications, 169 (2024) , 88-98.
- Víctor González Tabernero, José Germán López Salas, Manuel Castro Díaz, José Antonio García Rodríguez.
Boundary Treatment for High-Order IMEX Runge-Kutta Local Discontinuous Galerkin Schemes for Multidimensional Nonlinear Parabolic PDEs.
SIAM Journal on Scientific Computing, 46 (2024) , 5 , .
- José Germán López-Salas, Soledad Pérez-Rodríguez, Carlos Vázquez.
AMFR-W numerical methods for solving high dimensional SABR/LIBOR PDE models.
SIAM Journal on Scientific Computing, 43 (2021) , 1 , B30-B54.
- Emmanuel Gobet, José Germán López-Salas, Carlos Vázquez.
Quasi-Regression Monte-Carlo scheme for semi-linear PDEs and BSDEs with large scale parallelization on GPUs.
Archives of Computational Methods in Engineering, 27 (2020) , 889–921.
- A. Agarwal, S. De Marco, E. Gobet, J. G. López-Salas, F. Noubiagain, A. Zhou.
Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements.
ESAIM: Proceedings and Surveys, 65 (2019) , 1 - 26.
- José Germán López-Salas, Carlos Vázquez.
PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique.
Computers & Mathematics with Applications, 75 (2018) , 5 , 1616-1634.
- Emmanuel Gobet, José Germán López-Salas, Plamen Turkedjiev, Carlos Vázquez.
Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs.
SIAM Journal on Scientific Computing, 38 (2016) , 6 , 652-677.
- Ana María Ferreiro, José Antonio García-Rodríguez, José Germán López-Salas, Carlos Vázquez.
SABR/LIBOR market models: pricing and calibration for some interest rate derivatives.
Applied Mathematics and Computation, 242 (2014) , 1 , 65-89.
- Ana María Ferreiro, José Antonio García, José Germán López-Salas, Carlos Vázquez.
An efficient implementation of parallel simulated annealing algorithm on GPUs.
Journal of Global Optimization, 57 (2013) , 3 , 863-890.
- José Luis Fernández, Ana María Ferreiro, José Antonio García, Alvaro Leitao, José Germán López-Salas, Carlos Vázquez.
Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs.
Mathematics and Computers in Simulation, 94 (2013) , 55-75.
- Advanced pricing models and numerical approaches for emission allowances and renewable energy certificates (APMANA-EAREC).