Simon Fraser University

Example 64.1: Partial Spline Model Fit

The model has a parametric component (associated with the x 1 variable) and a nonparametric component (associated with the x 2 variable). The following statements fit a partial spline model. data ...
Risk

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 (SLV) models and the parameterization ...
Simon Fraser University

Example 64.2: Spline Model With Higher-Order Penalty

The following example continues the analysis of the data set Measure to illustrate how you can use PROC TPSPLINE to fit a spline model with a higher-order penalty term. Spline models with high-order ...
EurekAlert!

Higher-order spline outperforms Wall Street model in forecasting China’s implied volatility

We can see the difference between SVI and spline more clearly here. As expected, SVI curves show nice “smiles.” On the other hand, the spline follows the datapoints more closely but can go only as far ...
Google Earth Blog

Animating a model aircraft along a spline curve

Around a year ago Paul van Dinther shared a cubic spline curve that identified a path through the Grand Canyon. The model moves in turn to each set of coordinates (longitude, latitude, and altitude) ...