PDEs for pricing interest rate derivatives under the new generalized forward market model (FMM)

DOI10.1016/j.camwa.2024.06.010MaRDI QIDQ6585361

J. G. López-Salas, Soledad Pérez-Rodríguez, Carlos Vázquez

Publication date: 9 August 2024

Published in: Computers & Mathematics with Applications (Search for Journal in Brave)

zbMATH Keywords

finite differencesforward ratesAMFR-W methodsgeneralized forward market modelIBOR replacement

Mathematics Subject Classification ID

Partial differential equations (35-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Title not available (Why is that?)
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• MATHEMATICAL ANALYSIS AND NUMERICAL METHODS FOR A PARTIAL DIFFERENTIAL EQUATIONS MODEL GOVERNING A RATCHET CAP PRICING IN THE LIBOR MARKET MODEL
• Linking caplets and swaptions prices in the LMM-SABR model
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• AMF-type W-methods for Parabolic Problems with Mixed Derivatives
• AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models
• Stochastic differential equations. An introduction with applications.

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