9 citations · 11 across the 5 of their papers we have counts for
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math.NA2015
Parametric Integration by Magic Point Empirical Interpolation
Maximilian Gaß, Kathrin Glau
We derive analyticity criteria for explicit error bounds and an exponential rate of convergence of the magic point empirical interpolation method introduced by Barrault et al. (200…
q-fin.CP2015★ 2 cited
Magic points in finance: Empirical integration for parametric option pricing
Maximilian Gaß, Kathrin Glau, Maximilian Mair
We propose an offline-online procedure for Fourier transform based option pricing. The method supports the acceleration of such essential tasks of mathematical finance as model cal…
q-fin.CP2015★ 9 cited
Chebyshev Interpolation for Parametric Option Pricing
Maximilian Gaß, Kathrin Glau, Mirco Mahlstedt +1
Recurrent tasks such as pricing, calibration and risk assessment need to be executed accurately and in real-time. Simultaneously we observe an increase in model sophistication on t…