GI-M2NICA - Libros, capítulos, etc.
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Sparse Grid Combination Technique for Hagan SABR/LIBOR Market Model
(Springer, 2017-09-20)[Abstract]: SABR models have been used to incorporate stochastic volatility to LIBOR market models (LMM) in order to describe interest rate dynamics and price interest rate derivatives. From the numerical point of view, ... -
Numerical Approximation of Convection-Diffusion Problems Through the PSI Method and Characteristics Method
(Springer, 2011-01-01)[Abstract]: In this work we present some numerical methods for solving evolutive convection-diffusion problems. In order to obtain a physically admissible solution we search for monotone and accurate methods that are also ...