Chebyshev polynomials, a central class of orthogonal polynomials, have long been pivotal in numerical analysis, approximation theory and the solution of differential equations. Their inherent ...

We address a more general version of a classic question in probability theory. Suppose X ∼ ${\bf N}_{{\bf p}}(\mu,\Sigma)$ (μ, Σ). What functions of X also have ...

SIAM Journal on Numerical Analysis, Vol. 52, No. 4 (2014), pp. 1913-1927 (15 pages) Polynomial interpolants defined using Chebyshev extreme points as nodes converge uniformly at a geometric rate when ...

The implied volatility is a crucial element in any financial toolbox, since it is used to both quote and hedge options as well as for model calibration. In contrast to the Black–Scholes formula, its ...