AMFR-W numerical methods for solving high-dimensional SABR/LIBOR PDE models

DOI10.1137/20M1348595MaRDI QIDQ5147983zbMATH OpenFDO

Authors J. G. López-Salas, S. Pérez-Rodríguez, Carlos Vázquez

Publication date 29 January 2021

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

zbMATH Keywords

finite differenceshigh-dimensional PDEsAMFR-W-methodsSABR-LIBOR market modelssparse grid combination technique

Mathematics Subject Classification ID

Computational methods for sparse matrices (65F50) Parallel numerical computation (65Y05) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50) Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial applications of other theories (91G80)

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Cites work

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• Higher order sparse grid methods for elliptic partial differential equations with variable coefficients
• Interest rate derivatives. Valuation, calibration and sensitivity analysis
• Interest rate models -- theory and practice
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• New Rosenbrock W-methods of order 3 for partial differential algebraic equations of index
• Numerical analysis of a method for a partial integro-differential equation model in regulatory gene networks
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• Sparse grids
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Cited in

(7)

• PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique
• Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework
• AMFR-W-methods for parabolic problems with mixed derivates. Applications to the Heston model
• Boundary corrections on multi-dimensional PDEs
• Sparse grid combination technique for Hagan SABR/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

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• RODAS

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