PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique (Q1732425): Difference between revisions

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-.1016/j.camwa.2017.11.024
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+The Market Model of Interest Rate Dynamics
@@ Property / cites work: The Market Model of Interest Rate Dynamics / rank @@
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+LIBOR and swap market models and measures
@@ Property / cites work: LIBOR and swap market models and measures / rank @@
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+SABR/LIBOR market models: pricing and calibration for some interest rate derivatives
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+.1016/J.CAMWA.2017.11.024
@@ Property / DOI: 10.1016/J.CAMWA.2017.11.024 / rank @@
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+Publication:1732425