| Department | Economy |
| 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 |
This section shows the teaching given in degrees, masters and other officers studies in last 6 years.
| Subject and involved studies | Type | Total hours |
|---|---|---|
| Mathematics I | Core | 175 |
| Mathematics II | Core | 50 |
|
Mathematics II
Concurrent Programme of Studies for Degree in Technical Architecture and Degree in Business Studies
|
Core | 75 |
| Subject and involved studies | Type | Total hours |
|---|---|---|
|
Mathematics I
Degree in Nautic and Maritime Transport
|
Core | 32 |
|
Mathematics II
Concurrent Programme of Studies for Degree in Business Management and Administration and Degree in Law
Degree in Bussiness Administration
|
Core | 68 |
|
Mathematics II
Degree in Nautic and Maritime Transport
|
Core | 27 |
|
Mathematics II
Degree in Marine Technologies
|
Core | 63 |
|
Mathematics III
Degree in Marine Technologies
|
Core | 21 |
| Subject and involved studies | Type | Total hours |
|---|---|---|
|
Calculus
Degree in Computer Engineering
|
Core | 60 |
| Subject and involved studies | Type | Total hours |
|---|---|---|
|
Calculus
Degree in Computer Engineering
|
Core | 38 |
Defined tutoring by teacher for 2019/2020 academic course.
| 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 |
No available EOG works or final master thesis directed by current teacher since 2013 year.
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) |