Pages that link to "Item:Q1732425"
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The following pages link to PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique (Q1732425):
Displaying 11 items.
- Analysis and computation of a discrete costly observation model for growth estimation and management of biological resources (Q2004579) (← links)
- High-order compact difference method for two-dimension elliptic and parabolic equations with mixed derivatives (Q2143697) (← links)
- AMFR-W-methods for parabolic problems with mixed derivates. Applications to the Heston model (Q2223823) (← links)
- Total value adjustment for European options in a multi-currency setting (Q2246492) (← links)
- A new parameterization for the drift-free simulation in the Libor market model (Q2341004) (← links)
- Sparse Grid Combination Technique for Hagan SABR/LIBOR Market Model (Q4626522) (← links)
- AMF-type W-methods for Parabolic Problems with Mixed Derivatives (Q4683933) (← links)
- AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models (Q5147983) (← links)
- Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework (Q6183818) (← links)
- On approximate matrix factorization and TASE W-methods for the time integration of parabolic partial differential equations (Q6571378) (← links)
- PDEs for pricing interest rate derivatives under the new generalized forward market model (FMM) (Q6585361) (← links)
