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WEAK CONVERGENCE RATE OF A TIME-DISCRETE SCHEME FOR THE HESTON STOCHASTIC VOLATILITY MODEL

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 ...
JSTOR Daily

The Probability That a Numerical Analysis Problem is Difficult

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 ...