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We propose an offline-online procedure for Fourier transform based option pricing. The method supports the acceleration of such essential tasks of mathematical finance as model calibration, real-time pricing, and, more generally, risk…
In this paper, we propose a new trigonometric interpolation algorithm and establish relevant convergent properties. The method adjusts an existing trigonometric interpolation algorithm such that it can better leverage Fast Fourier Transform…
We develop the convergence theory for a well-known method for the interpolation of functions on the real axis with rational functions. Precise new error estimates for the interpolant are de- rived using existing theory for trigonometric…
We present a new rational approximation algorithm based on the empirical interpolation method for interpolating a family of parametrized functions to rational polynomials with invariant poles, leading to efficient numerical algorithms for…
We investigate an interpolation/extrapolation method that, given scattered observations of the Fourier transform, approximates its inverse. The interpolation algorithm takes advantage of modelling the available data via a shape-driven…
The authors propose a robust semi-parametric empirical likelihood method to integrate all available information from multiple samples with a common center of measurements. Two different sets of estimating equations are used to improve the…
This paper describes applications of extrapolation for the computation of coefficients in an expansion of infrared divergent integrals. An extrapolation procedure is performed with respect to a parameter introduced by dimensional…
In this paper, we study convergence and superconvergence theory of integer and fractional derivatives of the one-point and the two-point Hermite interpolations. When considering the integer-order derivative, exponential decay of the error…
Bayesian Model Mixing (BMM) is a statistical technique that can be used to combine models that are predictive in different input domains into a composite distribution that has improved predictive power over the entire input space. We…
A research frontier has emerged in scientific computation, wherein numerical error is regarded as a source of epistemic uncertainty that can be modelled. This raises several statistical challenges, including the design of statistical…
The Empirical Interpolation Method (EIM) is a greedy procedure that constructs approximate representations of two-variable functions in separated form. In its classical presentation, the two variables play a non-symmetric role. In this…
Parareal is a well-known parallel-in-time algorithm that combines a coarse and fine propagator within a parallel iteration. It allows for large-scale parallelism that leads to significantly reduced computational time compared to serial…
In this paper, for solving a class of linear parabolic equations in rectangular domains, we have proposed an efficient Parareal exponential integrator finite element method. The proposed method first uses the finite element approximation…
One of the most effective techniques of experimental mathematics is to compute mathematical entities such as integrals, series or limits to high precision, then attempt to recognize the resulting numerical values. Recently these techniques…
A novel technique for calibration transfer called the Modified Four Point Interpolant (MFPI) method is introduced for near infrared spectra. The method is founded on physical intuition and utilizes a series of quasiconformal maps in the…
This paper contains a transcript of my presentation at the Wyant Tribute Symposium on August 2, 2021 at SPIE's Optics & Photonics conference in San Diego, California. The technical part of the paper has no overlap with a previous article of…
Mixture models have found uses in many areas. To list a few: unsupervised learning, empirical Bayes, latent class and trait models. The current applications of mixture models to empirical data is limited to computing a mixture model from…
Although there is growing interest in measuring integrated information in computational and cognitive systems, current methods for doing so in practice are computationally unfeasible. Existing and novel integration measures are investigated…
This paper introduces Exp-ParaDiag, a novel time-parallel method that combines the strength of exponential integrators into the ParaDiag framework. We develop and analyze Exp-ParaDiag based on first and second order accurate exponential…
The fundamental purpose of the present work is to constitute an enhanced Euler method with adaptive inverse-quadratic and inverse-multi-quadratic radial basis function (RBF) interpolation technique to solve initial value problems. These…