Re: Gauss-Kronrod integration
Posted by
Ferdinando Ametrano-3 on
Apr 19, 2003; 3:10pm
URL: http://quantlib.414.s1.nabble.com/Gauss-Kronrod-integration-tp2483p2484.html
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/9/1/69We 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