AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models

DOI10.1137/20M1348595zbMath1456.65073MaRDI QIDQ5147983

Carlos Vázquez, José G. López-Salas, S. Pérez-Rodríguez

Publication date: 29 January 2021

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

zbMATH Keywords

finite differenceshigh-dimensional PDEsAMFR-W-methodsSABR-LIBOR market modelssparse grid combination technique

Mathematics Subject Classification ID

Computational methods for sparse matrices (65F50) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30) Parallel numerical computation (65Y05) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (4)

Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework ⋮ Total value adjustment for European options in a multi-currency setting ⋮ Boundary corrections on multi-dimensional PDEs ⋮ PDEs for pricing interest rate derivatives under the new generalized forward market model (FMM)

Uses Software

• RODAS

Cites Work

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