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PDEs for pricing interest rate derivatives under the new generalized Forward Market Model (FMM)
dc.contributor.author | López Salas, José Germán | |
dc.contributor.author | Pérez-Rodríguez, Soledad | |
dc.contributor.author | Vázquez, Carlos | |
dc.date.accessioned | 2024-07-19T08:51:04Z | |
dc.date.available | 2024-07-19T08:51:04Z | |
dc.date.issued | 2024-09-01 | |
dc.identifier.citation | J. G. López-Salas, S. Pérez-Rodríguez, y C. Vázquez, «PDEs for pricing interest rate derivatives under the new generalized Forward Market Model (FMM)», Computers & Mathematics with Applications, vol. 169, pp. 88-98, sep. 2024, doi: 10.1016/j.camwa.2024.06.010. | es_ES |
dc.identifier.issn | 1873-7668 | |
dc.identifier.issn | 0898-1221 | |
dc.identifier.uri | http://hdl.handle.net/2183/38166 | |
dc.description.abstract | [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] to model the dynamics of the Risk Free Rates (RFRs) that are replacing the traditional IBOR rates in the financial industry. Moreover, for the numerical solution of the proposed PDEs formulation, we develop some adaptations of the finite differences methods developed in [2] that are very suitable to treat the presence of spatial mixed derivatives. This work is the first article in the literature where PDE methods are used to value RFR derivatives. Additionally, Monte Carlo-based methods will be designed and the results are compared with those obtained by the numerical solution of PDEs. | es_ES |
dc.description.sponsorship | S. Pérez-Rodríguez has been partially supported by the Spanish Ministry of Science and Innovation through project PID2022-141385NB-I00 . J.G. López-Salas and C. Vázquez acknowledge the funding by the Spanish Ministry of Science and Innovation through the projects PID2019-10858RB-I00 and PID2022-141058OB-I00 , as well as from the Galician Government through grant ED431C 2022/47 , including FEDER financial support. Also J.G. López-Salas and C. Vázquez acknowledge the support received from the Centro de Investigación en Tecnologías de la Información y las Comunicaciones de Galicia, CITIC, as a center accredited for excellence within the Galician University System and a member of the CIGUS Network, receives subsidies from the Department of Education, Science, Universities, and Vocational Training of the Xunta de Galicia. Additionally, it is co-financed by the EU through the FEDER Galicia 2021-27 operational program ED431G 2023/01 . | es_ES |
dc.description.sponsorship | Xunta de Galicia; ED431C 2022/47 | es_ES |
dc.description.sponsorship | Xunta de Galicia; ED431G 2023/01 | es_ES |
dc.language.iso | eng | es_ES |
dc.publisher | Elsevier | es_ES |
dc.relation | info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2021-2023/PID2022-141385NB-I00/ES/AVANCES EN METODOS DE INTEGRACION TEMPORAL PARA PROBLEMAS DIFERENCIALES. APLICACIONES A BIOLOGIA, ENERGIA Y FINANZAS | es_ES |
dc.relation | info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/PID2019-108584RB-I00/ES/METODOS MATEMATICOS Y COMPUTACIONALES PARA NUEVOS RETOS EN FINANZAS CUANTITATIVAS, MEDIAMBIENTE, BIOTECNOLOGIA E INGENIERIA/ | es_ES |
dc.relation | info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2021-2023/PID2022-141058OB-I00/ES/METODOS MATEMATICOS Y SIMULACION NUMERICA EN ECONOMIA Y FINANZAS CUANTITATIVAS, BIOTECNOLOGIA, MEDIOAMBIENTE E INGENIERIA | es_ES |
dc.relation.uri | https://doi.org/10.1016/j.camwa.2024.06.010 | es_ES |
dc.rights | Atribución-NoComercial-SinDerivadas 3.0 España | es_ES |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | * |
dc.subject | IBOR replacement | es_ES |
dc.subject | Generalized forward market model | es_ES |
dc.subject | Forward rates | es_ES |
dc.subject | Finite differences | es_ES |
dc.subject | AMFR-W methods | es_ES |
dc.title | PDEs for pricing interest rate derivatives under the new generalized Forward Market Model (FMM) | es_ES |
dc.type | info:eu-repo/semantics/article | es_ES |
dc.rights.access | info:eu-repo/semantics/openAccess | es_ES |
UDC.journalTitle | Computers & Mathematics with Applications | es_ES |
UDC.volume | 169 | es_ES |
UDC.startPage | 88 | es_ES |
UDC.endPage | 98 | es_ES |
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