  We present a numerical method for the frequent pricing of financial
derivatives that depends on a large number of variables. The method is based on
the construction of a polynomial basis to interpolate the value function of the
problem by means of a hierarchical orthogonalization process that allows to
reduce the number of degrees of freedom needed to have an accurate
representation of the value function. In the paper we consider, as an example,
a GARCH model that depends on eight parameters and show that a very large
number of contracts for different maturities and asset and parameters values
can be valued in a small computational time with the proposed procedure. In
particular the method is applied to the problem of model calibration. The
method is easily generalizable to be used with other models or problems.
