Sparse grid combination technique for Hagan SABR/LIBOR market model

DOI10.1007/978-3-319-61282-9_27zbMATH Open1420.91519OpenAlexW2755264433MaRDI QIDQ4626522FDOQ4626522

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

Recommendations

• PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique
• SABR/LIBOR market models: pricing and calibration for some interest rate derivatives
• 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
• A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates

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)

Cites Work

• Title not available (Why is that?)
• Sparse grids
• Title not available (Why is that?)
• Algorithms for Numerical Analysis in High Dimensions
• Stochastic calculus for finance. I: The binomial asset pricing model.
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the multi-level splitting of finite element spaces
• Title not available (Why is that?)
• Interest rate models -- theory and practice. With smile, inflation and credit
• LIBOR and swap market models and measures
• SABR/LIBOR market models: pricing and calibration for some interest rate derivatives
• The Market Model of Interest Rate Dynamics
• Title not available (Why is that?)
• Fast matrix-vector multiplication in the sparse-grid Galerkin method
• Recent developments in computational finance. Foundations, algorithms and applications. In part based on the presentations at the international workshop on numerical algorithms in computational finance, Frankfurt/Main, Germany, July 20--22, 2011
• High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance
• Supporting openmp on cell
• Higher order sparse grid methods for elliptic partial differential equations with variable coefficients
• PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique
• The efficient solution of fluid dynamics problems by the combination technique

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

Uses Software

• CUDA

This page was built for publication: Sparse grid combination technique for Hagan SABR/LIBOR market model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4626522)