José Antonio García-Rodríguez
Orcid: 0000-0002-8057-5706
According to our database1,
José Antonio García-Rodríguez
authored at least 23 papers
between 2005 and 2025.
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Bibliography
2025
Mathematical models and numerical methods for a capital valuation adjustment (KVA) problem.
Appl. Math. Comput., 2025
2024
High-order well-balanced numerical schemes for one-dimensional shallow-water systems with Coriolis terms.
Appl. Math. Comput., May, 2024
Boundary Treatment for High-Order IMEX Runge-Kutta Local Discontinuous Galerkin Schemes for Multidimensional Nonlinear Parabolic PDEs.
SIAM J. Sci. Comput., 2024
A second order finite volume IMEX Runge-Kutta scheme for two dimensional PDEs in finance.
CoRR, 2024
Second order finite volume IMEX Runge-Kutta schemes for two dimensional parabolic PDEs in finance.
CoRR, 2024
IMEX-RK finite volume methods for nonlinear 1d parabolic PDEs. Application to option pricing.
CoRR, 2024
2023
Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk.
J. Comput. Appl. Math., June, 2023
2022
2020
A new calibration of the Heston Stochastic Local Volatility Model and its parallel implementation on GPUs.
Math. Comput. Simul., 2020
J. Comput. Phys., 2020
Efficient Model Points Selection in Insurance by Parallel Global Optimization Using Multi CPU and Multi GPU.
Bus. Inf. Syst. Eng., 2020
2019
Math. Comput. Simul., 2019
Basin Hopping with synched multi L-BFGS local searches. Parallel implementation in multi-CPU and GPUs.
Appl. Math. Comput., 2019
2018
J. Comput. Sci., 2018
2014
SABR/LIBOR market models: Pricing and calibration for some interest rate derivatives.
Appl. Math. Comput., 2014
2013
Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs.
Math. Comput. Simul., 2013
J. Glob. Optim., 2013
Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs.
Appl. Math. Comput., 2013
2009
Math. Comput. Simul., 2009
High Order Extensions of Roe Schemes for Two-Dimensional Nonconservative Hyperbolic Systems.
J. Sci. Comput., 2009
2007
Improved FVM for two-layer shallow-water models: Application to the Strait of Gibraltar.
Adv. Eng. Softw., 2007
2005
The numerical treatment of wet/dry fronts in shallow flows: application to one-layer and two-layer systems.
Math. Comput. Model., 2005