Range Restricted Interpolation Using Cubic Bézier Triangles.

A range restricted C1 interpolation local scheme to scattered data is derived. Each macro triangle of the triangulated domain is split into three mini triangles and the interpolating surface on each mini triangle is a cubic Bézier triangle. Sufficient conditions derived for the non-negativity of these cubic Bézier triangles are expressed as lower bounds to the Bézier ordinates. The non-negativity preserving interpolation scheme extends to the construction of a range restricted interpolating surface with lower or upper constraints which are polynomial surfaces of degree up to three. The scheme is illustrated with graphical examples

An arbitrary mesh network scheme using rational splines

A C1 surface scheme is described which interpolates points defined on an arbitrary mesh network. The scheme involves the blending of strip ‘functions’ developed from a rational spline method. The rational spline provides interval and point tension weights which can be used to control the shape of the surface scheme

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

Filling polygonal holes with bicubic patches

Consider a bicubic rectangular patch complex which surrounds an n-sided hole in R3. Then the problem of filling the hole with n bicubic rectangular patches is studied

Smooth parametric surfaces and n-sided patches

The theory of 'geometric continuity' within the subject of CAGD is reviewed. In particular, we are concerned with how parametric surface patches for CAGD can be pieced together to form a smooth Ck surface. The theory is applied to the problem of filling an n-sided hole occurring within a smooth rectangular patch complex. A number of solutions to this problem are surveyed

Curve network interpolation by C1C^1 quadratic B-spline surfaces

In this paper we investigate the problem of interpolating a B-spline curve network, in order to create a surface satisfying such a constraint and defined by blending functions spanning the space of bivariate $C^1$ quadratic splines on criss-cross triangulations. We prove the existence and uniqueness of the surface, providing a constructive algorithm for its generation. We also present numerical and graphical results and comparisons with other methods.Comment: With respect to the previous version, this version of the paper is improved. The results have been reorganized and it is more general since it deals with non uniform knot partitions. Accepted for publication in Computer Aided Geometric Design, October 201