PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique
type: Item
instance of: scholarly article
title: PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique
zbMATH Open document ID: 1409.91277
author: J. G. López-Salas
author: Carlos Vázquez
publication date: 2019-03-25T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
zbMATH DE Number: 7041075
zbMATH Keywords: stochastic volatility models
zbMATH Keywords: SABR/LIBOR market models
zbMATH Keywords: high dimensional PDEs
zbMATH Keywords: sparse grids
zbMATH Keywords: combination technique
describes a project that uses: CUDA
MaRDI profile type: Publication
full work available at URL: j.camwa.2017.11.024
OpenAlex ID: W2781240167
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DOI: 10.1016/J.CAMWA.2017.11.024
published in: Computers & Mathematics with Applications
description: scientific article; zbMATH DE number 7041075