iCLAP: Shape Recognition by Combining Proprioception and Touch Sensing

The work presented in this paper was partially supported by the Engineering and Physical Sciences Council (EPSRC) Grant (Ref: EP/N020421/1) and the King’s-China Scholarship Council Ph.D. scholarship

Classification of Rigid and Deformable Objects Using a Novel Tactile Sensor

In this paper, we present a novel tactile-array sensor for use in robotic grippers based on flexible piezoresistive rubber. We start by describing the physical principles of piezoresistive materials, and continue by outlining how to build a flexible tactile-sensor array using conductive thread electrodes. A real-time acquisition system scans the data from the array which is then further processed. We validate the properties of the sensor in an application that classifies a number of household objects while performing a palpation procedure with a robotic gripper. Based on the haptic feedback, we classify various rigid and deformable objects. We represent the array of tactile information as a time series of features and use this as the input for a k-nearest neighbors classifier. Dynamic time warping is used to calculate the distances between different time series. The results from our novel tactile sensor are compared to results obtained from an experimental setup using a Weiss Robotics tactile sensor with similar characteristics. We conclude by exemplifying how the results of the classification can be used in different robotic applications.QC 20140915EU, FP7, project eSMCs, IST-FP7-IP-270212SSF RoS

Local volatility of volatility for the VIX market

Following a trend of sustained and accelerated growth, the VIX futures and options market has become a closely followed, active and liquid market. The standard stochastic volatility models—which focus on the modeling of instantaneous variance—are unable to fit the entire term structure of VIX futures as well as the entire VIX options surface. In contrast, we propose to model directly the VIX index, in a mean-reverting local volatility-of-volatility model, which will provide a global fit to the VIX market. We then show how to construct the local volatility-of-volatility surface by adapting the ideas in Carr (Local variance gamma. Bloomberg Quant Research, New York, 2008) and Andreasen and Huge (Risk Mag 76–79, 2011) to a mean-reverting process

A forward started jump-diffusion model and pricing of cliquet style exotics

Exotic options, Forward volatility smiles, Variance swaps, Cliquets, G12, G13, C63,