We propose a method for determining an arbitrage-free density implied by the Hagan formula. (We use the wording “Hagan formula” as an abbreviation of the Hagan– Kumar–Leśniewski–Woodward model.) Our method is based on the stochastic collocation method. The principle is to determine a few collocation points on the implied survival distribution function and project them onto the polynomial of an ...

In this paper, a self starting two step continuous block hybrid formulae (CBHF) with four Off-step points is developed using collocation and interpolation procedures. The CBHF is then used to produce multiple numerical integrators which are of uniform order and are assembled into a single block matrix equation. These equations are simultaneously applied to provide the approximate solution for t...

We present a collocatIon method based on piecewise cubic polynomials I In C for solving various Integral and differential equatIons. Two new methods for handling curved boundaries are discussed based on collocation and discrete least-squares. Finally, a summary of the properties of the collocation method Is given which IndIcates the simplicity, flexlbl1fty, efficiency, and generality of the met...

In this paper, we present a numerical scheme based on collocation method to solve stochastic non-linear Poisson–Boltzmann equations (PBE). This equation is generalized version of the arising from form biomolecular modeling case. Applying radial basis functions (RBFs) allows us deal with difficulties complexity domain. To indicate accuracy RBF method, results for two-dimensional models, also stu...

The standard error bounds for interpolation by kernels or radial basis functions are generalized to symmetric PDE collocation problems. This involves generalized Power Functions, and these can be explicitly calculated. Final error bounds then are a product of Power Function values and the norm of the solution in the native space of the kernel. Since the latter can also be estimated well, the wh...

In this paper, we consider the development of an extended block integrator for the solution of stiff and oscillatory first-order Ordinary Differential Equations (ODEs) using interpolation and collocation techniques. The integrator was developed by collocation and interpolation of the combination of power series and exponential function to generate a continuous implicit Linear Multistep Method (...

Stress boundary integral equations (BIEs) are required in elastic or inelastic analyses of plate bending problems to obtain distributed shear, bending and twisting moments. Traction BIE, which is important to perform fracture analyses, is directly related to stress BIE. The collocation point position and the strategy to treat improper integrals are essential features studied in BIE for traction...

Displacement finite element models of various beam theories have been developed traditionally using conventional finite element basis functions (i.e., cubic Hermite, equi-spaced Lagrange interpolation functions, or spectral/hp Legendre functions). Various finite element models of beams differ from each other in the choice of the interpolation functions used for the transverse deflection w, tota...

This paper presents the design and construction of an annotated Chinese collocation bank as the resource to support systematic research on Chinese collocations. With the help of computational tools, the bi-gram and n-gram collocations corresponding to 3,643 headwords are manually identified. Furthermore, annotations for bi-gram collocations include dependency relation, chunking relation and cla...

In this paper we present a new method of automatic collocation identification. Collocation is an important relation between words, which is widely used, among others, in information retrieval tasks. Over the last years, many methods of automatic collocation acquisition from text corpora have been proposed. The approach described in this paper differs from the others by focusing on domain colloc...