Modelos e métodos numéricos en enxeñaría e ciencias aplicadas (M2NICA): Envíos recentes
Mostrando ítems 11-15 de 95
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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, ... -
Efficient Calibration and Pricing in LIBOR Market Models with SABR Stochastic Volatility Using GPUs
(Springer, 2016)[Abstract]: In order to overcome the drawbacks of assuming deterministic volatility coefficients in the standard LIBOR market models, several extensions of LIBOR models to incorporate stochastic volatilities have been ... -
PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique
(Elsevier, 2018-03-01)[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, ... -
Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs
(Society for Industrial and Applied Mathematics (SIAM), 2016-06)[Abstract]: In this paper, we design a novel algorithm based on Least-Squares Monte Carlo (LSMC) in order to approximate the solution of discrete time Backward Stochastic Differential Equations (BSDEs). Our algorithm allows ... -
Speedup of Calibration and Pricing with SABR Models: From Equities to Interest Rates Derivatives
(Springer, 2015)[Abstract]: In the more classical models for equities and interest rates evolution, constant volatility is usually assumed. However, in practice the volatilities are not constant in financial markets and different models ...