Ferreiro-Ferreiro, Ana María; García-Rodríguez, José A.; Souto, Luis; Vázquez, Carlos A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs. (English) Zbl 1510.91110 Math. Comput. Simul. 177, 467-486 (2020). MSC: 91B70 PDFBibTeX XMLCite \textit{A. M. Ferreiro-Ferreiro} et al., Math. Comput. Simul. 177, 467--486 (2020; Zbl 1510.91110) Full Text: DOI
Ferreiro-Ferreiro, A. M.; García-Rodríguez, J. A.; López-Salas, J. G.; Escalante, C.; Castro, M. J. Global optimization for data assimilation in landslide tsunami models. (English) Zbl 1453.86028 J. Comput. Phys. 403, Article ID 109069, 22 p. (2020). MSC: 86A15 65K10 86A05 86-08 65M08 65Y05 65Z05 PDFBibTeX XMLCite \textit{A. M. Ferreiro-Ferreiro} et al., J. Comput. Phys. 403, Article ID 109069, 22 p. (2020; Zbl 1453.86028) Full Text: DOI
Ferreiro, Ana M.; García-Rodríguez, José Antonio; Vázquez, Carlos; Costa e Silva, E.; Correia, A. Parallel two-phase methods for global optimization on GPU. (English) Zbl 07316568 Math. Comput. Simul. 156, 67-90 (2019). MSC: 90-XX 90Cxx 00Bxx PDFBibTeX XMLCite \textit{A. M. Ferreiro} et al., Math. Comput. Simul. 156, 67--90 (2019; Zbl 07316568) Full Text: DOI
Ferreiro-Ferreiro, Ana M.; García-Rodríguez, José A.; Souto, Luis; Vázquez, Carlos Basin hopping with synched multi L-BFGS local searches. Parallel implementation in multi-CPU and GPUs. (English) Zbl 1428.90131 Appl. Math. Comput. 356, 282-298 (2019). MSC: 90C26 68W10 68M07 90C59 PDFBibTeX XMLCite \textit{A. M. Ferreiro-Ferreiro} et al., Appl. Math. Comput. 356, 282--298 (2019; Zbl 1428.90131) Full Text: DOI
Ferreiro, Ana M.; García-Rodríguez, José A.; López-Salas, José G.; Vázquez, Carlos SABR/LIBOR market models: pricing and calibration for some interest rate derivatives. (English) Zbl 1335.91093 Appl. Math. Comput. 242, 65-89 (2014). MSC: 91G30 91G20 91G60 91G70 PDFBibTeX XMLCite \textit{A. M. Ferreiro} et al., Appl. Math. Comput. 242, 65--89 (2014; Zbl 1335.91093) Full Text: DOI