Sparse Grid Combination Technique for Hagan SABR/LIBOR Market Model

DOI10.1007/978-3-319-61282-9_27zbMath1420.91519OpenAlexW2755264433MaRDI QIDQ4626522

Carlos Vázquez, José G. López-Salas

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

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

Related Items

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

Uses Software

• CUDA

Cites Work

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• 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
• The Market Model of Interest Rate Dynamics
• The efficient solution of fluid dynamics problems by the combination technique
• Sparse grids
• Algorithms for Numerical Analysis in High Dimensions
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