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AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models.
José G. López-Salas
S. Pérez-Rodríguez
Carlos Vázquez
Published in:
SIAM J. Sci. Comput. (2021)
Keyphrases
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numerical methods
partial differential equations
high dimensional
differential equations
numerical solution
mathematical models
numerical algorithms
multiscale
runge kutta
prior knowledge
level set
finite element method
pairwise