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

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math.NA2015

Convergence analysis of the Modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with nonsmooth initial data

Maarten Wyns

In this paper we consider the Modified Craig-Sneyd (MCS) scheme which forms a prominent time stepping method of the Alternating Direction Implicit type for multidimensional time-de…