ListarGI-M2NICA - Artigos por tema "Sparse grid combination technique"
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AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models
(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, ...