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

DOI10.1016/J.CAMWA.2017.11.024MaRDI QIDQ1732425zbMATH OpenOpenAlexFDO

Authors J. G. López-Salas, Carlos Vázquez

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

stochastic volatility modelsSABR/LIBOR market modelssparse gridscombination techniquehigh 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)

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Cited in

(14)

• AMFR-W numerical methods for solving high-dimensional SABR/LIBOR PDE models
• A numerical method for pricing spread options on LIBOR rates with a PDE model
• Analysis and computation of a discrete costly observation model for growth estimation and management of biological resources
• On approximate matrix factorization and TASE W-methods for the time integration of parabolic partial differential equations
• A new parameterization for the drift-free simulation in the Libor market model
• PDEs for pricing interest rate derivatives under the new generalized forward market model (FMM)
• AMF-type W-methods for parabolic problems with mixed derivatives
• Total value adjustment for European options in a multi-currency setting
• Dirichlet forms and finite element methods for the SABR model
• AMFR-W-methods for parabolic problems with mixed derivates. Applications to the Heston model
• A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates
• Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework
• High-order compact difference method for two-dimension elliptic and parabolic equations with mixed derivatives
• Sparse grid combination technique for Hagan SABR/LIBOR market model

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