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Cuchulainn
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Re: New Book: PDE Valuation of Interest Rate Derivatives

November 19th, 2017, 9:11 pm

Since the PDE has no correlation then it would seem ADI is a bit too much effort for this relatively benign problem. In two recent Wilmott articles we (with Paui and Alan ) solved a similar problem using ADE.

But more importantly, has no one used the Hopscotch method (is claimed 3-4 times faster than ADI). And it is unconditionally stable, 2nd order accurate. Easy to program.