PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique

DOI10.1016/j.camwa.2017.11.024zbMath1409.91277OpenAlexW2781240167MaRDI QIDQ1732425

Carlos Vázquez, José G. López-Salas

Publication date: 25 March 2019

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2017.11.024

zbMATH Keywords

sparse gridscombination techniquestochastic volatility modelsSABR/LIBOR market modelshigh dimensional PDEs

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

Related Items (8)

High-order compact difference method for two-dimension elliptic and parabolic equations with mixed derivatives ⋮ Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework ⋮ Sparse Grid Combination Technique for Hagan SABR/LIBOR Market Model ⋮ AMFR-W-methods for parabolic problems with mixed derivates. Applications to the Heston model ⋮ AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models ⋮ Total value adjustment for European options in a multi-currency setting ⋮ Analysis and computation of a discrete costly observation model for growth estimation and management of biological resources ⋮ AMF-type W-methods for Parabolic Problems with Mixed Derivatives

Uses Software

• CUDA

Cites Work

• SABR/LIBOR market models: pricing and calibration for some interest rate derivatives
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• On the multi-level splitting of finite element spaces
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• LIBOR and swap market models and measures
• Higher order sparse grid methods for elliptic partial differential equations with variable coefficients
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• Extrapolation of difference methods in option valuation
• A proof of the consistency of the finite difference technique on sparse grids
• Stochastic calculus for finance. I: The binomial asset pricing model.
• High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance
• Recent Developments in Computational Finance
• Linking caplets and swaptions prices in the LMM-SABR model
• Advanced Monte Carlo Methods for Barrier and Related Exotic Options
• The Market Model of Interest Rate Dynamics
• The efficient solution of fluid dynamics problems by the combination technique
• Analysis of linear difference schemes in the sparse grid combination technique
• Sparse grids
• Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems
• Algorithms for Numerical Analysis in High Dimensions
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