Browsing by Author "Pérez-Rodríguez, Soledad"

Now showing items 1-2 of 2

    • AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models 

      López Salas, José Germán; Pérez-Rodríguez, Soledad; Vázquez, Carlos (Society for Industrial and Applied Mathematics (SIAM), 2021-01)
      [Abstract]: In this work, we mainly develop a new numerical methodology to solve a PDE model recently proposed in the literature for pricing interest rate derivatives. More precisely, we use high-order-in-time AMFR-W-methods, ...

    • PDEs for pricing interest rate derivatives under the new generalized Forward Market Model (FMM) 

      López Salas, José Germán; Pérez-Rodríguez, Soledad; Vázquez, Carlos (Elsevier, 2024-09-01)
      [Abstract]: In this article we derive partial differential equations (PDEs) for pricing interest rate derivatives under the generalized Forward Market Model (FMM) recently presented by A. Lyashenko and F. Mercurio in [1] ...