Reduction of Computing Time for Numerical Pricing of European Multi-dimensional Options based on the COS Method

Numerical integration methods such as the Fourier-based COS method can be used for effciently and accurately pricing financial products. The COS method can be applied to options on one underlying stock as well as on multiple underlying stocks. However, this method suffers from an exponential increase in computational complexity as the dimensions...

MATLAB to Fixed-Point C Code Generation and its Application to Real-Time Heartbeat Detection

MATLAB is a popular very-high-level-language used for visualizing, prototyping and perform- ing design-space exploration of algorithms. But, this flexibility comes at the price of high memory consumption and slow execution times, making it unsuitable for use in an embedded system. The possibility of using Embedded MATLAB (EML), a small subset of...