Mathematics of Computation, Vol. 79, No. 270 (APRIL 2010), pp. 829-844 (16 pages) In this paper, we present an efficient Filon-type method for the integration of systems containing Bessel functions ...
Efficiently pricing multi-asset options is a challenging problem in quantitative finance. When the characteristic function is available, Fourier-based methods are more competitive than alternative ...
Boundary integral equations (BIEs) have emerged as a powerful framework for modelling wave propagation, particularly in problems defined over unbounded or complex domains. By reformulating partial ...
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