Following earlier work of Jones, Davies & Park (1994) we develop estimators based on convolution and interpolation methods, with the aim of reducing their variance and making them competitive with ...

We consider the following classical problem of interpolation theory: Let Ā = (A0,A1), B̄ = (B0,B1) be a Banach couples, let T : A0 → B0 be compact and T : A1 → B1 be bounded; when is T : Ā[θ] → B̄[θ] ...

Geostatistics originate from the work of French mathematician G. Matheron and South African mining engineer D.G. Krige, who worked on developing an optimal interpolation procedure based on ...

We present efficient partial differential equation (PDE) methods for continuous-time mean-variance portfolio allocation problems when the underlying risky asset follows a stochastic volatility process ...