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20142023
most citedGenerating drawdown-realistic financial price paths using path signatures

1 citations · 1 across the 3 of their papers we have counts for

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math.NA2014

Convergence of the Modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term

Karel in 't Hout, Maarten Wyns

We consider the Modified Craig-Sneyd (MCS) scheme which forms a prominent time stepping method of the Alternating Direction Implicit type for multidimensional time-dependent convec…