PhD José Germán López Salas  

(INT-SU)

Department Economics
Knowledgment area Quantitative Methods in Economics and Business
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

Teaching

Subjects taught

This section shows the teaching given in degrees, masters and other officers studies in last 6 years.

Subject and involved studies Total hours
Mathematics I 175
Mathematics II 50
Mathematics II
Concurrent Programme of Studies for Degree in Technical Architecture and Degree in Business Studies
75
Subject and involved studies Total hours
Mathematics I
Degree in Nautic and Maritime Transport
32
Mathematics II
Concurrent Programme of Studies for Degree in Business Management and Administration and Degree in Law
Degree in Bussiness Administration
68
Mathematics II
Degree in Nautic and Maritime Transport
27
Mathematics II
Degree in Marine Technologies
63
Mathematics III
Degree in Marine Technologies
21
Subject and involved studies Total hours
Calculus
Degree in Computer Engineering
60
Subject and involved studies Total hours
Calculus
Degree in Computer Engineering
38

Defined tutoring by teacher for 2019/2020 academic course.

Faculty of Economics and Business

Quarter Day Site
1st quarter Monday
18:30 a 20:00
Despacho 331
1st quarter Wednesday
10:00 a 11:30
Despacho 331
1st quarter Friday
11:30 a 13:00
Despacho 331

EOG works and final master thesis directed

No available EOG works or final master thesis directed by current teacher since 2013 year.

Research results

Select merit type and year to query research merits.

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

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 29/12/2019

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

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

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)