AMFR-W numerical methods for solving high-dimensional SABR/LIBOR PDE models
DOI10.1137/20M1348595zbMATH Open1456.65073MaRDI QIDQ5147983FDOQ5147983
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)
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finite differenceshigh-dimensional PDEsAMFR-W-methodsSABR-LIBOR market modelssparse grid combination technique
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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- Sparse grid combination technique for Hagan SABR/LIBOR market model
Cited In (7)
- PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique
- 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
- Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework
- Sparse grid combination technique for Hagan SABR/LIBOR market model
- Boundary corrections on multi-dimensional PDEs
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