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Fusai, G. and Roncoroni, A. (2008) Implementing Models in Quantitative Finance: Methods and Cases. In: Avellaneda, M., Barone-Adesi, G., Broadie, M., Davis, M., Derman, E., Klüppelberg, C. and Schachermayer, W., Eds., Springer Finance, Springer-Verlag, Berlin, Heidelberg.

has been cited by the following article:

• TITLE: The Role of High Precision Arithmetic in Calculating Numerical Laplace and Inverse Laplace Transforms

  AUTHORS: Zinovi Krougly, Matt Davison, Sid Aiyar

  KEYWORDS: Numerical Laplace Transform, Numerical Laplace Transform Inversion, Composite Simpson’s Rule, Gaver-Stehfest Algorithm, High Precision Computation

  JOURNAL NAME: Applied Mathematics, Vol.8 No.4, April 30, 2017

  ABSTRACT: In order to find stable, accurate, and computationally efficient methods for performing the inverse Laplace transform, a new double transformation approach is proposed. To validate and improve the inversion solution obtained using the Gaver-Stehfest algorithm, direct Laplace transforms are taken of the numerically inverted transforms to compare with the original function. The numerical direct Laplace transform is implemented with a composite Simpson’s rule. Challenging numerical examples involving periodic and oscillatory functions, are investigated. The numerical examples illustrate the computational accuracy and efficiency of the direct Laplace transform and its inverse due to increasing the precision level and the number of terms included in the expansion. It is found that the number of expansion terms and the precision level selected must be in a harmonious balance in order for correct and stable results to be obtained.