How to integrate math into finance
Gaussian quadrature formulas are simple, efficient and elegant. They are deservedly popular as a computational tool, and as a subject for mathematical investigation. From the point of view of the numerical analyst, the calculation of Gaussian quadrature formulas is a particularly interesting problem. The converse problem, i.e., the stable recovery of the original information from which the Gaussian formula was computed, has recently been recognized as a nontrivial problem in its own right.
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