Kövari and Pommerenke [19], and Elliott [8], have shown that the truncated Faber series gives a polynomial approximation which (for practical values of the degree of the polynomial) is very close to ...

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 ...

Matrix functions, such as the exponential, square root and cosine, play an indispensable role in various fields including quantum mechanics, control theory and numerical solution of differential ...