This paper is devoted to the application of B-splines to volatility modeling, specifically the calibration of the leverage function in stochastic local volatility (SLV) models and the parameterization ...

The concept of symmetric recursive algorithm leads to new, s-dimensional spline spaces. We present a general scheme for constructing a collection of multivariate B-splines with k - 1 continuous ...

Using Dirichlet averages we generalize the notion of a classical divided difference of a function by introducing a parameter r in $R_ + ^{k + 1}$. The case r in Nk+1 ...

indicates that the data are beginning-of-period values. OBSERVED=BEGINNING is the default. requests that the output series be the derivatives of the cubic spline curve fit to the input data by the ...