Gauss-Kronrod integration

[Niels Elken Sønderby]

Hi QuantLib-users!

Thanks to Marco and Luigi for their encouragements! (Now two weeks ago...)

Now I got so far that I have implemented a more efficient integration
algorithm called Gauss-Kronrod. This gives better accuracy with fewer
function evaluations. If you are interested have a look at my home page:
http://www.nielses.dk/quantlib/nesquant/

My next step is to implement the option pricing formula in a model with
stochastic volatility and jumps as presented in the Bates (1996) article:
http://rfs.oupjournals.org/cgi/content/abstract/9/1/69

Cheers... Niels

[Ferdinando Ametrano-3]

Niels Elken Sønderby wrote:
>I have implemented a more efficient integration
>algorithm called Gauss-Kronrod. This gives better accuracy with fewer
>function evaluations. If you are interested have a look at my home page:
>http://www.nielses.dk/quantlib/nesquant/
the Gauss-Kronrod algorithm has been merged into QuantLib current CVS.
Neils: thank you very much!

>My next step is to implement the option pricing formula in a model with
>stochastic volatility and jumps as presented in the Bates (1996) article:
>http://rfs.oupjournals.org/cgi/content/abstract/9/1/69
We look forward to your contribution

>I got convinced that a great and very flexible user interface for
>QuantLib would be the Mathematica program [...]
>I set up a home page with some ideas for development, that I hope will
>contain a version 0.1 for download sooner or later:
>http://www.nielses.dk/quantlib/mma/
I've added link to your page from the QuantLib Extensions page
(http://quantlib.org/extensions.html)


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ciao -- Nando