Magic Point Empirical Interpolation: Parametric Integration and Applications

Dr Kathrin Glau, Queen Mary Universtiy of London

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Mar 15, 2018
from 02:00 PM to 03:00 PM


MAB 119

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We derive analyticity criteria for explicit error bounds and an exponential rate of convergence of the magic point empirical interpolation method introduced by Barrault et al. (2004). Furthermore, we investigate its application to parametric integration. We find that the method is well-suited to Fourier transforms and has a wide range of applications in such diverse fields as probability and statistics, signal and image processing, physics, chemistry and mathematical finance. To illustrate the method, we apply it to the evaluation to recurrent option pricing problems in finance. Our numerical experiments display convergence of exponential order, even in cases where the theoretical results do not apply.



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