Listar Modelos e métodos numéricos en enxeñaría e ciencias aplicadas (M2NICA) por autor "Pérez-Rodríguez, Soledad"
Mostrando ítems 1-2 de 2
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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] ...