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Other researchers information

Published papers
  • 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.