Chebyshev interpolation for multivariate real-time problems in finance


Real-time methods for option pricing and the computation of risk quantities in multivariate settings are required in order to pave the way for innovation in financial digitalization. The development of such methods poses a... [ view full abstract ]


  1. Kathrin Glau (Queen Mary University of London)
  2. Mirco Mahlstedt (Technical University of Munich)
  3. Maximilian Gaß (Technical University of Munich)
  4. Maximilian Mair (Technical University of Munich)
  5. Francesco Statti (EPFL)
  6. Daniel Kressner (EPFL)

Topic Areas

Computational Finance , Numerical Methods , Simulation


WED-P-UI » Approximating the Volatility Smile (14:30 - Wednesday, 18th July, Ui Chadhain)

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