This file maps the main numerical methods in the codebase to entries in citations.bib. It is intended as a quick guide for review and maintenance, not as a substitute for the source papers.
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SVI parameterization, calibration, and arbitrage constraints:
GatheralJacquier2014SVI,MartiniMingone2020NoArbitrageSVI,Ferhati2020SVI,Lee2004Moment -
Heston pricing and calibration:
Heston1993SV,Albrecher2007LittleHeston,Cui2016FastHeston,AndersenLake2018Fourier -
Local volatility and volatility interpolation:
Dupire1994Smile,AndreasenHuge2010Interpolation
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Black--Scholes implied volatility inversion:
Jaeckel2015LetsBeRational -
Black / Black-76 option pricing:
Black1976Commodity -
Cubic splines and monotone interpolation:
DeBoor2001Splines,FritschCarlson1980Monotone,FritschButland1984Monotone -
Double-exponential / tanh-sinh quadrature:
TakahasiMori1974DoubleExponential -
Numerical linear algebra and floating-point stability:
Higham2002Accuracy