4,227 research outputs found
B-spline techniques for volatility modeling
This paper is devoted to the application of B-splines to volatility modeling,
specifically the calibration of the leverage function in stochastic local
volatility models and the parameterization of an arbitrage-free implied
volatility surface calibrated to sparse option data. We use an extension of
classical B-splines obtained by including basis functions with infinite
support. We first come back to the application of shape-constrained B-splines
to the estimation of conditional expectations, not merely from a scatter plot
but also from the given marginal distributions. An application is the Monte
Carlo calibration of stochastic local volatility models by Markov projection.
Then we present a new technique for the calibration of an implied volatility
surface to sparse option data. We use a B-spline parameterization of the
Radon-Nikodym derivative of the underlying's risk-neutral probability density
with respect to a roughly calibrated base model. We show that this method
provides smooth arbitrage-free implied volatility surfaces. Finally, we sketch
a Galerkin method with B-spline finite elements to the solution of the partial
differential equation satisfied by the Radon-Nikodym derivative.Comment: 25 page
Constructing IGA-suitable planar parameterization from complex CAD boundary by domain partition and global/local optimization
In this paper, we propose a general framework for constructing IGA-suitable
planar B-spline parameterizations from given complex CAD boundaries consisting
of a set of B-spline curves. Instead of forming the computational domain by a
simple boundary, planar domains with high genus and more complex boundary
curves are considered. Firstly, some pre-processing operations including
B\'ezier extraction and subdivision are performed on each boundary curve in
order to generate a high-quality planar parameterization; then a robust planar
domain partition framework is proposed to construct high-quality patch-meshing
results with few singularities from the discrete boundary formed by connecting
the end points of the resulting boundary segments. After the topology
information generation of quadrilateral decomposition, the optimal placement of
interior B\'ezier curves corresponding to the interior edges of the
quadrangulation is constructed by a global optimization method to achieve a
patch-partition with high quality. Finally, after the imposition of
C1=G1-continuity constraints on the interface of neighboring B\'ezier patches
with respect to each quad in the quadrangulation, the high-quality B\'ezier
patch parameterization is obtained by a C1-constrained local optimization
method to achieve uniform and orthogonal iso-parametric structures while
keeping the continuity conditions between patches. The efficiency and
robustness of the proposed method are demonstrated by several examples which
are compared to results obtained by the skeleton-based parameterization
approach
Grid sensitivity for aerodynamic optimization and flow analysis
After reviewing relevant literature, it is apparent that one aspect of aerodynamic sensitivity analysis, namely grid sensitivity, has not been investigated extensively. The grid sensitivity algorithms in most of these studies are based on structural design models. Such models, although sufficient for preliminary or conceptional design, are not acceptable for detailed design analysis. Careless grid sensitivity evaluations, would introduce gradient errors within the sensitivity module, therefore, infecting the overall optimization process. Development of an efficient and reliable grid sensitivity module with special emphasis on aerodynamic applications appear essential. The organization of this study is as follows. The physical and geometric representations of a typical model are derived in chapter 2. The grid generation algorithm and boundary grid distribution are developed in chapter 3. Chapter 4 discusses the theoretical formulation and aerodynamic sensitivity equation. The method of solution is provided in chapter 5. The results are presented and discussed in chapter 6. Finally, some concluding remarks are provided in chapter 7
High-order adaptive methods for computing invariant manifolds of maps
The author presents efficient and accurate numerical methods for computing invariant manifolds of maps which arise in the study of dynamical systems. In order to decrease the number of points needed to compute a given curve/surface, he proposes using higher-order interpolation/approximation techniques from geometric modeling. He uses B´ezier curves/triangles, fundamental objects in curve/surface design, to create adaptive methods. The methods are based on tolerance conditions derived from properties of B´ezier curves/triangles. The author develops and tests the methods for an ordinary parametric curve; then he adapts these methods to invariant manifolds of planar maps. Next, he develops and tests the method for parametric surfaces and then he adapts this method to invariant manifolds of three-dimensional maps
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