José G. López-Salas

Orcid: 0000-0002-4533-0754

According to our database1, José G. López-Salas authored at least 15 papers between 2013 and 2025.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of five.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Dataset
Other 

Links

Online presence:

On csauthors.net:

Bibliography

2025
Mathematical models and numerical methods for a capital valuation adjustment (KVA) problem.
Appl. Math. Comput., 2025

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

Global optimization for data assimilation in landslide tsunamis models.
CoRR, 2024

Quasi-Regression Monte-Carlo scheme for semi-linear PDEs and BSDEs with large scale parallelization on GPUs.
CoRR, 2024

PDEs for pricing interest rate derivatives under the new generalized Forward Market Model (FMM).
Comput. Math. Appl., 2024

2021
AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models.
SIAM J. Sci. Comput., 2021

2020
Global optimization for data assimilation in landslide tsunami models.
J. Comput. Phys., 2020

2018
PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique.
Comput. Math. Appl., 2018

2016
Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs.
SIAM J. Sci. Comput., 2016

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

An efficient implementation of parallel simulated annealing algorithm in GPUs.
J. Glob. Optim., 2013


  Loading...