José G. López-Salas

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For the calibration of the parameters in static and dynamic SABR stochastic volatility models, we propose the application of the GPU technology to the Simulated Annealing global optimization algorithm and to the Monte Carlo simulation. This calibration has been performed for EURO STOXX 50 index and EUR/USD exchange rate with an asymptotic formula for(More)
We design a novel algorithm based on Least-Squares Monte Carlo (LSMC) in order to approximate the solution of discrete time dynamic programming equations, like Backward Stochastic Differential Equations (BSDEs). Our algorithm allows massive parallelization of the computations on many core processors such as graphics processing units (GPUs). Our approach(More)
In order to overcome the drawbacks of assuming deterministic volatility coefficients in the standard LIBOR market models to capture volatility smiles and skews in real markets, several extensions of LIBOR models to incorporate stochastic volatilities have been proposed. The efficient calibration to market data of these more complex models becomes a relevant(More)
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