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Titlebook: Novel Methods in Computational Finance; Matthias Ehrhardt,Michael Günther,E. Jan W. ter Ma Book 2017 Springer International Publishing AG

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PDE Methods for SABRase .(.) = .. is the original SABR model which was introduced in Hagan et al. (Wilmott Mag 1:84–108, 2002). Special versions of the model are known as the log-normal SABR model, .(.) = ., the Normal or Bachelier SABR model, .(.) = 1 and the shifted SABR model .(.) = (. + .)., with . > 0. Recently, A
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Book 2017complexity of mathematical models employed in financial mathematics has witnessed tremendous growth. Advanced numerical techniques are now essential to the majority of present-day applications in the financial industry...Special attention is devoted to a uniform methodology for both testing the late
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