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PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique.
José G. López-Salas
Carlos Vázquez
Published in:
Comput. Math. Appl. (2018)
Keyphrases
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numerical solution
partial differential equations
numerical methods
ordinary differential equations
difference equations
image processing
computer vision
pairwise
differential equations
finite difference
feature extraction
image denoising
curve evolution
matrix valued