AXUDAS PARA A CONSOLIDACIÓN E ESTRUTURACIÓN DE UNIDADES DE INVESTIGACIÓN COMPETITIVAS.GRC 2022
| Funding entity | Consellería de Educación |
| Main researches | Carlos Vázquez Cendón |
| Type | Proyecto Programas Autonomicos |
| Dates | From 01/01/2022 to 20/11/2025 |
| Department | Mathematics |
| Knowledgment area | Applied Mathematics |
| Research | Research group Modelos y métodos numéricos en ingeniería y ciencias aplicadas |
| Research lines | No data available from Curriculum Management System at UDC. (SUXI). |
| Contacto | UDC directory |
| Orcid id0000-0002-4533-0754 ResearcherIDE-9525-2017 Scopus55363144800 | |
This section shows the teaching given in degrees, masters and other officers studies in last 6 years.
| Subject and involved studies | Type | Distance hours | Total hours |
|---|---|---|---|
| Calculus | Core | 0 | 117 |
| Final Year Dissertation. Mention in Computer Science | Compulsory | 0 | 4 |
| Final Year Dissertation. Mention in Information Technology | Compulsory | 0 | 1.5 |
| Numerical and Statistical Methods | Compulsory | 0 | 30 |
| Professional Software in Finance | Optional | 0 | 12 |
| Subject and involved studies | Type | Distance hours | Total hours |
|---|---|---|---|
|
Calculus
Degree in Computer Engineering
|
Core | 0 | 188 |
|
Final Year Dissertation
Concurrent Programme of Studies for Degree in Business Management and Administration and Degree in Law
Degree in Bussiness Administration
|
Compulsory | 0 | 4 |
|
Final Year Dissertation
Concurrent Programme of Studies for Degree in Technical Architecture and Degree in Business Studies
Concurrent Programme of Studies for Degree in Tourism and Degree in Business Science
Degree in Business Studies
|
Compulsory | 0 | 4 |
|
Master's Dissertation
Máster Universitario en Matemática Industrial
|
Compulsory | 0 | 12.5 |
|
Mathematical Modeling in Finance
Máster Universitario en Matemática Industrial
Máster Universitario en Matemática Industrial
|
Optional | 0 | 6 |
|
Mathematics 2
Degree in Chemistry by the University of A Coruña
|
Core | 0 | 16 |
|
Numerical and Statistical Methods
Degree in Nanoscience and Nanotechnology
|
Compulsory | 0 | 20 |
|
Professional Software in Finance
Máster Universitario en Matemática Industrial
|
Optional | 0 | 12 |
| Subject and involved studies | Type | Distance hours | Total hours |
|---|---|---|---|
|
Advanced Calculus
Degree in Nanoscience and Nanotechnology
|
Core | 0 | 20 |
|
Calculus
Degree in Computer Engineering
|
Core | 0 | 170 |
|
Calculus
Degree in Industrial Technology Engineering
Degree in Mechanical Engineering
|
Core | 0 | 50 |
|
Master's Dissertation
Máster Universitario en Matemática Industrial
|
Compulsory | 0 | 10 |
|
Professional Software in Finance
Máster Universitario en Matemática Industrial
|
Optional | 0 | 5 |
| Subject and involved studies | Type | Distance hours | Total hours |
|---|---|---|---|
|
Calculus
Automation and Industrial Electronics Engineering
Degree in Electrical Engineering
Industrial Engineering
|
Core | 0 | 30 |
|
Calculus
Degree in Industrial Technology Engineering
Degree in Mechanical Engineering
|
Core | 0 | 105 |
|
Differential Equations
Automation and Industrial Electronics Engineering
Degree in Electrical Engineering
|
Core | 0 | 120 |
|
Professional Software in Finance
Máster Universitario en Matemática Industrial
|
Optional | 0 | 5 |
| Subject and involved studies | Type | Distance hours | Total hours |
|---|---|---|---|
|
Calculus
Degree in Industrial Technology Engineering
Degree in Mechanical Engineering
|
Core | 0 | 50 |
|
Calculus
Automation and Industrial Electronics Engineering
Degree in Electrical Engineering
Industrial Engineering
|
Core | 0 | 60 |
|
Differential Equations
Automation and Industrial Electronics Engineering
Degree in Electrical Engineering
|
Core | 0 | 75 |
|
Linear Algebra
Automation and Industrial Electronics Engineering
Degree in Electrical Engineering
|
Core | 0 | 78 |
|
Mathematics I
Concurrent Programme of Studies for Degree in Business Management and Administration and Degree in Law
Degree in Bussiness Administration
Social and Legal Sciences
|
Core | 0 | 92 |
| Subject and involved studies | Type | Distance hours | Total hours |
|---|---|---|---|
|
Mathematics I
Degree in Economics
|
Core | 0 | 3 |
|
Mathematics I
Concurrent Programme of Studies for Degree in Business Management and Administration and Degree in Law
Degree in Bussiness Administration
|
Core | 0 | 183 |
|
Mathematics II
Degree in Economics
|
Core | 0 | 50 |
|
Mathematics II
Concurrent Programme of Studies for Degree in Technical Architecture and Degree in Business Studies
Concurrent Programme of Studies for Degree in Tourism and Degree in Business Science
Degree in Business Studies
|
Core | 0 | 75 |
Defined tutoring by teacher for 2024/2025 academic course.
| Quarter | Day | Site |
|---|---|---|
| 1st quarter |
Thursday
17:30 a 20:30 |
MS TEAMS |
| 1st quarter |
Friday
10:30 a 13:30 |
MS TEAMS |
| 2nd quarter |
Monday
17:30 a 20:30 |
MS TEAMS |
| 2nd quarter |
Tuesday
17:30 a 20:30 |
MS TEAMS |
Directed or codirected by current teacher since 2013 year.
| Pricing interest rate derivatives under monetary changes |
| Quantitative finance: derivative instruments |
| Theoretical and practical study of the valuation of financial options: Asian Options |
Select merit type and year to query research merits.
AXUDAS PARA A CONSOLIDACIÓN E ESTRUTURACIÓN DE UNIDADES DE INVESTIGACIÓN COMPETITIVAS.GRC 2022
| Funding entity | Consellería de Educación |
| Main researches | Carlos Vázquez Cendón |
| Type | Proyecto Programas Autonomicos |
| Dates | From 01/01/2022 to 20/11/2025 |
AXUDAS PARA A CONSOLIDACIÓN E ESTRUTURACIÓN DE UNIDADES DE INVESTIGACIÓN COMPETITIVAS.GRC
| Funding entity | Consellería de Cultura, Educación e Ordenación Universitaria |
| Main researches | Carlos Vázquez Cendón |
| Type | Proyecto Programas Autonomicos |
| Dates | From 01/01/2019 to 20/11/2021 |
Valuation Adjustments for Improved Risk Management (ABC-EU-XVA)
| Funding entity | Union Europea |
| Main researches | Carlos Vázquez Cendón |
| Type | Proyecto UE |
| Dates | From 01/11/2018 to 31/10/2022 |
METODOS MATEMATICOS Y SIMULACION NUMERICA PARA RETOS EN FINANZAS CUANTITATIVAS, MEDIOAMBIENTE, BIOTECNOLOGIA Y EFICIENCIA INDUSTRIAL
| Funding entity | Ministerio de Economía y Competitividad (MINECO) |
| Main researches | Carlos Vázquez Cendón |
| Type | Proyecto Programas Nacionales |
| Dates | From 30/12/2016 to 29/09/2020 |
Rede Tecnolóxica de Matemática Industrial
| Funding entity | Dirección General de I+D de la Xunta de Galicia |
| Main researches | Alfredo Bermúdez de Castro López-Varela |
| Type | Proyecto Programas Autonomicos |
| Dates | From 01/01/2014 to 31/12/2015 |
Modelado matemático, análisis y simulación numérica de problemas en finanzas y seguros, procesos industriales, biotecnología y medioambiente
| Funding entity | Ministerio de Economía y Competitividad (MINECO) |
| Main researches | Carlos Vázquez Cendón |
| Type | Proyecto Programas Nacionales |
| Dates | From 01/01/2014 to 31/12/2017 |
HIPECA-High Performance Calibration and Computation in Finance
| Funding entity | German Federal Ministry of Education and Research |
| Main researches | Carlos Vázquez Cendón y Matthias Ehrhardt |
| Type | Proyecto UE |
| Dates | From 01/01/2014 to 31/12/2015 |
Modelos, análisis matemático y resolución numérica de algunos problemas en ciencia e ingeniería basados en EDPS (MTM2010-21135-C02-01)
| Funding entity | Ministerio de Ciencia e Innovación |
| Main researches | Carlos Vázquez Cendón |
| Type | Proyecto Programas Nacionales |
| Dates | From 01/01/2011 to 30/06/2015 |
Red Gallega de Computación de Altas Prestaciones II
| Funding entity | Xunta de Galicia |
| Main researches | Ramón Doallo Biempica |
| Type | Proyecto Programas Autonomicos |
| Dates | From 01/01/2010 to 31/12/2011 |
CUSIMANN: An optimized simulated annealing software for GPUs.
| Type | Software Registrado |
| Entity | Universidade da Coruña (UDC) |
| Authors | A.M. Ferreiro-Ferreiro, Jose Antonio García-Rodríguez, Jose German Lopez Salas, Carlos Vázquez |
| Application date | 21/03/2012 |
PDEs for pricing interest rate derivatives under the new generalized Forward Market Model (FMM)
| Authors | J.G. López-Salas, Soledad Pérez-Rodríguez, C. Vázquez |
| Journal | COMPUTERS & MATHEMATICS WITH APPLICATIONS (1987) Vol. 169 (pages 88 to 98) |
| DOI | https://doi.org/10.1016/j.camwa.2024.06.010 |
AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models
| Authors | Jose German Lopez Salas, S. Pérez-Rodríguez, Carlos Vázquez |
| Journal | SIAM JOURNAL ON SCIENTIFIC COMPUTING Vol. 43 Num. 1 |
Global optimization for data assimilation in landslide tsunami models
| Authors | A.M. Ferreiro-Ferreiro, J.A. García-Rodríguez, J.G. López-Salas, C. Escalante, M.J. Castro |
| Journal | JOURNAL OF COMPUTATIONAL PHYSICS Vol. 403 Num. 109069 (pages 1 to 22) |
Quasi-Regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs
| Authors | E. Gobet, J.G. López-Salas, C. Vázquez |
| Journal | ARCHIVES OF COMPUTATIONAL METHODS IN ENGINEERING Vol. 27 Num. 3 (pages 889 to 921) |
Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements
| Authors | A. Agarwal, S. De Marco, E. Gobet, J.G. López-Salas, F. Noubiagain, A. Zhou |
| Journal | ESAIM PROCEEDINGS & SURVEYS Vol. 65 (pages 1 to 26) |
PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique
| Authors | Jose German Lopez Salas, Carlos Vázquez |
| Journal | COMPUTERS & MATHEMATICS WITH APPLICATIONS (1987) Vol. 75 Num. 5 (pages 1616 to 1634) |
Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs
| Authors | E. Gobet, J.G. López-Salas, P. Turkedjiev, C. Vázquez |
| Journal | SIAM JOURNAL ON SCIENTIFIC COMPUTING Vol. 38 Num. 6 (pages 652 to 677) |
SABR/LIBOR market models: Pricing and calibration for some interest rate derivatives
| Authors | A.M. Ferreiro-Ferreiro, Garcia-Rodriguez, Jose A., Lopez-Salas, Jose G. , Vazquez, Carlos |
| Journal | Applied Mathematics and Computation Vol. 242 (pages 65 to 89) |
| DOI | https://doi.org/10.1016/j.amc.2014.05.017 |
An efficient implementation of parallel simulated annealing algorithm on GPUs
| Authors | A.M. Ferreiro-Ferreiro, Jose Antonio García-Rodríguez, Carlos Vázquez, Jose German Lopez Salas |
| Journal | JOURNAL OF GLOBAL OPTIMIZATION Vol. 57 Num. 3 (pages 863 to 890) |
Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs
| Authors | José Luis Fernández Pérez, A.M. Ferreiro-Ferreiro, Jose Antonio García-Rodríguez, Álvaro Leitao, Jose German Lopez Salas, Carlos Vázquez |
| Journal | MATHEMATICS AND COMPUTERS IN SIMULATION Vol. 94 (pages 55 to 75) |
Sparse grid combination technique for Hagan SABR/LIBOR Market Model
| Authors | Jose German Lopez Salas. Carlos Vázquez |
| Book |
Novel Methods for Computational Finance Publishing: SPRINGER. ISBN: 978-3-319-61281-2 |
| Pages | From 477 to 500 |
Speed up calibration and pricing of SABR models: from equities to interest rates derivatives
| Authors | A.M. Ferreiro-Ferreiro. J.A. García-Rodríguez. J.G. López-Salas. Carlos Vázquez |
| Book |
Actuarial Sciences and Quantitative Finance Publishing: SPRINGER. ISBN: 978-3-319-18239-1 |
| Pages | From 49 to 63 |
An optimized simulated annealing algorithm for GPUs with application to a SABR model in finance
| Authors | A.M. Ferreiro-Ferreiro. Jose Antonio García-Rodríguez. Jose German Lopez Salas. Carlos Vázquez |
| Book |
RSME 2011.Transfer and Industrial Mathematics Publishing: Servizo de Publicacións USC. ISBN: 978-84-9887-715-1 |
| Pages | From 175 to 179 |
Second order finite volume IMEX Runge-kutta schemes for two dimensional parabolic PDEs in finance
XVIII International Conferences on Hiperbolic Problems. Theory, numerics and applications (HYP 2022)
International
| Authors | J.G. López-Salas, M. Suárez-Taboada, Manuel J. Castro Díaz, A.M. Ferreiro-Ferreiro, J.A. García-Rodríguez |
| Organization | Universidad de Málaga (UMA) |
| Place | Málaga (España) |
Second order finite volume IMEX-RK numerical methods for 1d models in option pricing
XVIII International Conferences on Hiperbolic Problems. Theory, numerics and applications (HYP 2022)
International
| Authors | J.G. López-Salas, M. Suárez-Taboada, Manuel Jesús Castro Díaz, A.M. Ferreiro-Ferreiro, Jose Antonio García-Rodríguez |
| Organization | Universidad de Málaga (UMA) |
| Place | Málaga (España) |
Quasi-regresion Monte-Carlo Scheme for BSDEs and Applicatins in Finance
21st European Conference on Mathematics for Industry (ECMI 2021)
International
| Authors | E. Gobet, J.G. López-Salas, C. Vázquez |
| Place | Online (Alemania) |
Time integration with AMF-W-type methods and applications to the Heston problem
CEDYA/CMA 2020 - XXVI CONGRESO DE ECUACIONES DIFERENCIALES Y APLICACIONES / XVI CONGRESO DE MATEMÁTICA APLICADA
International
| Authors | J.G. López-Salas, S. Pérez-Rodríguez, C. Vázquez |
| Place | Gijón (España) |
Quasi-Regression Monte-Carlo scheme for semi-linear PDEs and BSDEs
3rd International Conference on Computational Finance
International
| Authors | E. Gobet, J.G. López-Salas, C. Vázquez |
| Place | Coruña, A (España) |
Regression Monte Carlo schemes for BSDEs
International Congress on Industrial and Applied Mathematics, ICIAM 2019
International
| Authors | E. Gobet, J.G. López-Salas, C. Vázquez |
| Place | Valencia (España) |
Quasi-Regression Monte-Carlo Method for Semi-Linear PDEs and BSDEs
The 2nd XoveTIC Conference (XoveTIC 2019)
Autonomous
| Authors | E. Gobet, J.G. López-Salas, C. Vázquez |
| Organization | Universidade da Coruña |
| Place | Coruña, A (España) |
Efficient regression Monte Carlo schemes for semilinear PDEs and its application to problems arising in mathematical finance
Financial Mathematics and Supercomputing
International
| Authors | J.G. López-Salas, E. Gobet, P. Turkedjiev, C. Vázquez |
| Place | Coruña, A (España) |
Sparse grid combination technique for SABR/LIBOR market models
CEDYA + CMA 2017 - XXV CONGRESO DE ECUACIONES DIFERENCIALES Y APLICACIONES / XV CONGRESO DE MATEMÁTICA APLICADA
National
| Authors | J.G. López-Salas, C. Vázquez |
| Place | Cartagena (España) |
Parallel Stratified Regression Monte-Carlo Scheme For BSDEs
Workshop on BSDEs and SPDEs
International
| Authors | E. Gobet, J.G. López-Salas, P. Turkedjiev, C. Vázquez |
| Place | Edinburgo (Reino Unido) |
CVaR Variation Margin Pricing and Hedging
Research in Options 2017
International
| Authors | A. Agarwal, S. De Marco, E. Gobet, J.G. López-Salas, F. Noubiagain, A. Zhou |
| Organization | IMPA |
| Place | Rio de Janeiro (Brasil) |
Parallel stratified regression Monte-Carlo scheme for BSDEs with applications in finance
19th European Conference on Mathematics for Industry (ECMI2016)
International
| Authors | E. Gobet, J.G. López-Salas, P. Turkedjiev, C. Vázquez |
| Organization | European Consortium for Mathematics in Industry |
| Place | Santiago de Compostela (España) |
Approximation of Semiliar Parabolic PDES with GPUS Via Backward Stochastic Differential Equations
MCM 2015, The Tenth IMACS Seminar On Monte Carlo Methods
International
| Authors | E. Gobet, J.G. López-Salas, P. Turkedjiev, C. Vázquez |
| Place | Linz (Austria) |
Speed up of calibration and pricing with SABR models: from options to interest rate derivatives
First International Congress on Actuarial Sciences and Quantitative Finance
International
| Authors | A.M. Ferreiro-Ferreiro, Jose Antonio García-Rodríguez, Jose German Lopez Salas, Carlos Vázquez |
| Place | Bogotá (Colombia) |
Efficient calibration and pricing with SABR models and GPUs
Mini-Workshop in Stochastic Computing and Optimization
International
| Authors | A.M. Ferreiro-Ferreiro, Jose Antonio García-Rodríguez, Jose German Lopez Salas, Carlos Vázquez |
| Place | Wurzburg (Alemania) |
Speed up of derivatives pricing and calibration with SABR models in GPUs
Research in Options 2014
International
| Authors | A.M. Ferreiro-Ferreiro, Jose Antonio García-Rodríguez, Jose German Lopez Salas, Carlos Vázquez |
| Place | Buzios (Brasil) |
Efficient calibration and pricing in LIBOR market models with SABR stochastic volatility using GPUs
The 18th European Conference on Mathematics
International
| Authors | A.M. Ferreiro-Ferreiro, Jose Antonio García-Rodríguez, Jose German Lopez Salas, Carlos Vázquez |
| Organization | European Consortium for Mathematics in Industry |
| Place | Taormina (Italia) |
SABR/LIBOR market models: pricing and calibration for some interest rates derivatives
13th International Conference on Computational and Mathematical Methods in Science and Engineering (CMMSE 2013)
International
| Authors | A.M. Ferreiro-Ferreiro, Jose Antonio García-Rodríguez, Jose German Lopez Salas, Carlos Vázquez |
| Place | Almería (España) |
An efficient implementation of simulated annealing in GPUs and its application to caliberation of SABR stochastic volatility model
6th EUROPEAN CONGRESS ON COMPUTATIONAL METHODS IN APPLIED
SCIENCES AND ENGINEERING (ECCOMAS 2012)
International
| Authors | A.M. Ferreiro-Ferreiro, Jose Antonio García-Rodríguez, Jose German Lopez Salas, Carlos Vázquez |
| Place | Viena (Austria) |
An optimized simulated annealing algorithm for GPUs. Application to the dynamic SABR model in finance
1st Joint Conference of the Belgian, Royale Spanish and Luxembourg Mathematical Societies
International
| Authors | Ana María Ferreiro, J.A. García-Rodríguez, J.G. López-Salas, Carlos Vázquez |
| Place | Liege (Bélgica) |
An optimized simulated annealing algorithm for GPUs with application to a SABR model in finance
RSME Conference on Transfer and Industrial Mathematics
International
| Authors | Ana María Ferreiro, J.A. García-Rodríguez, J.G. López-Salas, Carlos Vázquez |
| Place | Santiago de Compostela (España) |
Academic or management positions held by teacher.