This journal, begun in 1943 as Mathematical Tables and Other Aids to Computation, publishes original articles on all aspects of numerical mathematics, book reviews, mathematical tables, and technical ...

This is a preview. Log in through your library . Abstract In this paper, we introduce a new theoretical framework built upon fractional Sobolev-type spaces involving ...

The implied volatility is a crucial element in any financial toolbox, since it is used to both quote and hedge options as well as for model calibration. In contrast to the Black–Scholes formula, its ...

The fast and accurate evaluation of sensitivities can be a hard task. Recent advances, such as adjoint algorithmic differentiation, are unfortunately ineffective on second order Greeks, such as gamma, ...