  We study the problem of computing the matrix exponential of a block
triangular matrix in a peculiar way: Block column by block column, from left to
right. The need for such an evaluation scheme arises naturally in the context
of option pricing in polynomial diffusion models. In this setting a
discretization process produces a sequence of nested block triangular matrices,
and their exponentials are to be computed at each stage, until a dynamically
evaluated criterion allows to stop. Our algorithm is based on scaling and
squaring. By carefully reusing certain intermediate quantities from one step to
the next, we can efficiently compute such a sequence of matrix exponentials.
