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On a class of semi-elliptic diffusion models. Part I: a constructive analytical approach for global existence, densities, and numerical schemes (with applications to the Libor market model)
Degenerate parabolic equations financial derivatives sen-sitivities Monte-Carlo methods
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2010/4/27
Computational parsimony makes reduced factor Libor market models popular among practioners. However, value functions and sensitivities of such models are described by degenerate parabolic (i.e. semiel...