Across modern data-intensive disciplines, the union of numerical computation, statistics, and machine learning has become ...

Spherical approximation techniques form a cornerstone of modern numerical integration on curved domains. These methods seek to approximate integrals over the unit sphere or related manifolds by ...

In their 2001 paper, Longstaff and Schwartz suggested a method for American option pricing using simulation and regression, and since then this method has rapidly gained importance. However, the idea ...

Approximation methods in function spaces characterise how well complex functions can be represented or recovered using limited information such as function values or ...

We propose to use stratified approximations based on the gamma and lognormal distributions for the pricing of options on average, such as Asian options and bond prices in the Dothan model. We show ...