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SIAM Journal on Numerical Analysis, Vol. 55, No. 3 (2017), pp. 1243-1263 (21 pages) The Heston stochastic volatility model is one of the most fundamental models in mathematical finance. In the ...
Numerous problems in numerical analysis, including matrix inversion, eigenvalue calculations and polynomial zerofinding, share the following property: The difficulty of solving a given problem is ...
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