Sparse grid combination technique for Hagan SABR/LIBOR market model

DOI10.1007/978-3-319-61282-9_27MaRDI QIDQ4626522zbMATH OpenOpenAlexFDO

Authors J. G. López-Salas, Carlos Vázquez

Publication date 28 February 2019

Published in Novel Methods in Computational Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-61282-9_27

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(2)

• AMFR-W numerical methods for solving high-dimensional SABR/LIBOR PDE models
• PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique

Describes a project that uses

Uses Software

• CUDA

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