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math.NA2024
AMFR-W numerical methods for solving high dimensional SABR/LIBOR PDE models
J. G. López-Salas, S. Pérez-RodrÃguez, C. Vázquez
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 hi…
math.NA2024
Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs
E. Gobet, J. G. López-Salas, P. Turkedjiev +1
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 Equation…
math.NA2024
Quasi-Regression Monte-Carlo scheme for semi-linear PDEs and BSDEs with large scale parallelization on GPUs
E. Gobet, J. G. López-Salas, C. Vázquez
In this article we design a novel quasi-regression Monte Carlo algorithm in order to approximate the solution of discrete time backward stochastic differential equations (BSDEs), a…