Dirichlet forms and finite element methods for the SABR Model

Keyphrases

• Finite Element Method 100%
• Kolmogorov 100%
• Finite Element Discretization 100%
• Dirichlet Form 100%
• SABR Model 100%
• Dirichlet Finite 100%
• Vanilla Options 100%
• Formed Elements 100%
• Dirichlet 50%
• Error Analysis 50%
• Non-degenerate 50%
• Low Dose Rate 50%
• Partial Differential Equations 50%
• Variational Formulation 50%
• Hilbert Space 50%
• Sobolev Spaces 50%
• Discretization Scheme 50%
• Parameter Configuration 50%
• Pricing Method 50%
• Well-posedness 50%
• Stochastic Volatility Model 50%
• Barrier Options 50%
• Deterministic numerical Method 50%
• Wavelet Approximation 50%
• Evolution Triple 50%
• Singular Weights 50%
• Non-symmetric Dirichlet Form 50%
• Interest Rate Environment 50%
• Multi-resolution Wavelet 50%

Mathematics

• Discretization 100%
• Finite Element Method 100%
• Dirichlet Form 100%
• Parabolic 66%
• Multiresolution 33%
• Wavelet 33%
• Variational Formulation 33%
• Sobolev Space 33%
• Partial Differential Equation 33%
• Error Analysis 33%
• Stochastic Volatility Model 33%
• Numerical Methods 33%
• Hilbert Space 33%
• Posedness 33%
• Barrier Option 33%