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

DOI10.1016/J.CAMWA.2017.11.024zbMATH Open1409.91277OpenAlexW2781240167MaRDI QIDQ1732425FDOQ1732425

Carlos Vázquez, J. 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

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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)

Cites Work

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Cited In (13)

• A numerical method for pricing spread options on LIBOR rates with a PDE model
• On approximate matrix factorization and TASE W-methods for the time integration of parabolic partial differential equations
• Analysis and computation of a discrete costly observation model for growth estimation and management of biological resources
• Sparse Grid Combination Technique for Hagan SABR/LIBOR Market Model
• 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)
• Total value adjustment for European options in a multi-currency setting
• 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
• AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models
• AMF-type W-methods for Parabolic Problems with Mixed Derivatives

Uses Software

• CUDA

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