Nowadays high-precision computations are still more desired. Either for simulation on a level of atoms where every digit is important and inaccurary in computation can cause invalid result or numerical approximations in partial differential equations solving where a small deviation causes a result to be useless. The computations are carried over data types with precision of order hundred to thousand digits, or even more. This creates pressure on time complexity of problem solving and so it is essential to find very efficient methods for computation. Every complex physical problem is usually described by a system of equations frequently containing elementary functions like sinus, cosines or exponentials. The aim of the work is to design and implement methods that for a given precision, arbitrary elementary function and a point compute its value in the most efficent way. The core of the work is an application of methods based on AGM (arithmetic-geometric mean) with a time complexity of order $O(M(n)\log_2{n})$ 9(expresed for multiplication $M(n)$). The complexity can not be improved. There are many libraries supporting multi-precision atithmetic, one of which is GMP and is about to be used for efficent method implementation. In the end all implemented methods are compared with existing ones.

De nombreux problèmes de calcul numérique demandent parfois à effectuer des calculs très précis. L'étude desystèmes dynamiques chaotiques fournit des exemples très connus: la stabilité du système solaire ou l’itération à longterme de l'attracteur de Lorenz qui constitue un des premiers modèles de prédiction de l'évolution météorologique. Ons'intéresse aussi aux problèmes d'optimisation semi-définie positive mal-posés qui apparaissent dans la chimie oul'informatique quantique.Pour tenter de résoudre ces problèmes avec des ordinateurs, chaque opération arithmétique de base (addition,multiplication, division, racine carrée) demande une plus grande précision que celle offerte par les systèmes usuels(binary32 and binary64). Il existe des logiciels «multi-précision» qui permettent de manipuler des nombres avec unetrès grande précision, mais leur généralité (ils sont capables de manipuler des nombres de millions de chiffres) empêched’atteindre de hautes performances. L’objectif majeur de cette thèse a été de développer un nouveau logiciel à la foissuffisamment précis, rapide et sûr : on calcule avec quelques dizaines de chiffres (quelques centaines de bits) deprécision, sur des architectures hautement parallèles comme les processeurs graphiques et on démontre des bornesd'erreur afin d'être capables d’obtenir des résultats certains. / Many numerical problems require some very accurate computations. Examples can be found in the field ofdynamical systems, like the long-term stability of the solar system or the long-term iteration of the Lorenz attractor thatis one of the first models used for meteorological predictions. We are also interested in ill-posed semi-definite positiveoptimization problems that appear in quantum chemistry or quantum information.In order to tackle these problems using computers, every basic arithmetic operation (addition, multiplication,division, square root) requires more precision than the ones offered by common processors (binary32 and binary64).There exist multiple-precision libraries that allow the manipulation of very high precision numbers, but their generality(they are able to handle numbers with millions of digits) is quite a heavy alternative when high performance is needed.The major objective of this thesis was to design and develop a new arithmetic library that offers sufficient precision, isfast and also certified. We offer accuracy up to a few tens of digits (a few hundred bits) on both common CPU processorsand on highly parallel architectures, such as graphical cards (GPUs). We ensure the results obtained by providing thealgorithms with correctness and error bound proofs.

This thesis considers new methods that exploit recent developments in computer technology to address three extant problems in the area of Finance and Econometrics. The problem of Asian option pricing has endured for the last two decades in spite of many attempts to find a robust solution across all parameter values. All recently proposed methods are shown to fail when computations are conducted using standard machine precision because as more and more accuracy is forced upon the problem, round-off error begins to propagate. Using recent methods from numerical analysis based on multi-precision arithmetic, we show using the Mathematica platform that all extant methods have efficacy when computations use sufficient arithmetic precision. This creates the proper framework to compare and contrast the methods based on criteria such as computational speed for a given accuracy. Numerical methods based on a deformation of the Bromwich contour in the Geman-Yor Laplace transform are found to perform best provided the normalized strike price is above a given threshold; otherwise methods based on Euler approximation are preferred. The same methods are applied in two other contexts: the simulation of stable distributions and the computation of unit root densities in Econometrics. The stable densities are all nested in a general function called a Fox H function. The same computational difficulties as above apply when using only double-precision arithmetic but are again solved using higher arithmetic precision. We also consider simulating the densities of infinitely divisible distributions associated with hyperbolic functions. Finally, our methods are applied to unit root densities. Focusing on the two fundamental densities, we show our methods perform favorably against the extant methods of Monte Carlo simulation, the Imhof algorithm and some analytical expressions derived principally by Abadir. Using Mathematica, the main two-dimensional Laplace transform in this context is reduced to a one-dimensional problem.