The main focus of this paper is the solution of some partial differential equations of fractional order. Promising methods based on matrix functions are taken in consideration. The features of different approaches are discussed and compared with results provided by classical convolution...

We provide an accurate approximation method for inverting an option price to the implied volatility under arithmetic Brownian motion, which is widely quoted in Fixed Income markets. The maximum error in the volatility is in the order of 10-10 of the given option price and much smaller for the...

This paper initiates a research program to provide computer function routines that can be used to deliver critical values or significance levels for statistical tests. These routines are easily integrated into existing econometric software and can be made available on a user call basis. The...