Heston model has accurate density approximations for European option prices, which are of interest.

The module implementing this method should live under tf_quant_finance/volatility/heston_approximation.py. It should support both European option puts and calls approximations. Tests should be in heston_approximation_test.py in the same folder.

Almost all of Kokkos should be noexcept, but let's break it up into pieces that can be tackled in reasonable-sized issues. This one is the most urgent.

Just an FYI whilst I was trawling through the ROCm GitHub page:

https://rocmdocs.amd.com/en/latest/Programming_Guides/Programming-Guides.html#

We currently don't test for cases without mesh connectivity. And, we don't test for parallel (distributed) meshes.
Current tests: https://github.com/precice/precice/blob/develop/src/precice/tests/WatchPointTest.cpp

For large parameter sets the optimizers can take a non-trivial amount of time. They lack timers to indicate how long the optimization took vs the configuration generation.