Related papers: B-spline techniques for volatility modeling
Many partial differential equations (PDEs) such as Navier--Stokes equations in fluid mechanics, inelastic deformation in solids, and transient parabolic and hyperbolic equations do not have an exact, primal variational structure. Recently,…
Continuous signal representations are naturally suited for inverse problems, such as magnetic resonance imaging (MRI) and computed tomography, because the measurements depend on an underlying physically continuous signal. While classical…
In this paper new analytical and numerical approaches to valuating path-dependent options of European type have been developed. The model of stochastic volatility as a basic model has been chosen. For European options we could improve the…
We explore extended B-splines as a stable basis for isogeometric analysis with trimmed parameter spaces. The stabilization is accomplished by an appropriate substitution of B-splines that may lead to ill-conditioned system matrices. The…
A volatility surface is an important tool for pricing and hedging derivatives. The surface shows the volatility that is implied by the market price of an option on an asset as a function of the option's strike price and maturity. Often,…
We extend our recent curve-evolution framework based on localized B-spline interpolation to present an adaptive Lagrangian framework for the geometric evolution of point-cloud data representing smooth, codimension-one surfaces in…
We collect some new results relative to the study of the spectral analysis of matrices in Galerkin methods based on generalized B-splines with high smoothness.
Recent literature seek to forecast implied volatility derived from equity, index, foreign exchange, and interest rate options using latent factor and parametric frameworks. Motivated by increased public attention borne out of the…
We propose a fully data-driven approach to calibrate local stochastic volatility (LSV) models, circumventing in particular the ad hoc interpolation of the volatility surface. To achieve this, we parametrize the leverage function by a family…
The functional distributions of particle trajectories have wide applications, including the occupation time in half-space, the first passage time, and the maximal displacement, etc. The models discussed in this paper are for characterizing…
In this paper, we will outline a novel data-driven method for estimating functions in a multivariate nonparametric regression model based on an adaptive knot selection for B-splines. The underlying idea of our approach for selecting knots…
In this article, we propose a fully-discrete scheme for the numerical solution of a nonlinear time-fractional biharmonic problem. This problem is first converted into an equivalent system by introducing a new variable. Then spatial and…
The estimation of functions with varying degrees of smoothness is a challenging problem in the nonparametric function estimation. In this paper, we propose the LABS (L\'{e}vy Adaptive B-Spline regression) model, an extension of the LARK…
In this paper, we develop approximation error estimates as well as corresponding inverse inequalities for B-splines of maximum smoothness, where both the function to be approximated and the approximation error are measured in standard…
Multi-degree splines are piecewise polynomial functions having sections of different degrees. They offer significant advantages over the classical uniform-degree framework, as they allow for modeling complex geometries with fewer degrees of…
We study the time-dependent Navier-Stokes equations in the context of stochastic finite element discretizations. Specifically, we assume that the viscosity is a random field given in the form of a generalized polynomial chaos expansion, and…
Although Galerkin discretizations have been intensively employed in the IgA context, an efficient implementation requires special numerical quadrature rules when constructing the system of equations. To avoid this issue, isogeometric…
A mixed basis approach based on density functional theory is employed for low dimensional systems. The basis functions are taken to be plane waves for the periodic direction multiplied by B-spline polynomials in the non-periodic direction.…
We present a method for the arbitrage-free interpolation of plain-vanilla option prices and implied volatilities, which is based on a system of integral equations that relates terminal density and option prices. Using a discretization of…
We propose a novel time discretization for the log-normal SABR model which is a popular stochastic volatility model that is widely used in financial practice. Our time discretization is a variant of the Euler-Maruyama scheme. We study its…