In this paper, we explore a robust method for calibration of the local volatility surface for European options. Assuming the the volatility surface is smooth, we apply a second order Tikhonov regularization to the calibration problem. Additionally we propose a new approach for choosing the Tikhonov regularization parameter. Using the TAPENADE automatic differentiation tool in order to obtain ad...

History matching using Gaussian process emulators is a well-known methodology for the calibration of computer models. It attempts to identify parts input parameter space that are likely result in mismatches between simulator outputs and physical observations by emulators. These then ruled out. The remaining "not out yet" (NROY) searched good matches repeating history process. An easily neglecte...

In this work, we present a low-cost high-resolution structured light range scanner with automatic calibration, based on temporal stripe encoding. We present a novel single-step automatic active stereo calibration method, based on optimal backprojection estimation. We also present a method for estimating local fidelity of the range image and show how this information can be used to obtain sub-st...

OBJECTIVES Using a local percutaneous coronary intervention (PCI) data repository, we sought to compare the performance of a number of local and well-known mortality models with respect to discrimination and calibration. BACKGROUND Accurate risk prediction is important for a number of reasons including physician decision support, quality of care assessment, and patient education. Current evid...

INTRODUCTION Simplified Acute Physiology Score 3 (SAPS 3) was the first critical care prognostic model developed from worldwide data. We aimed to systematically review studies that assessed the prognostic performance of SAPS 3 general and customized models for predicting hospital mortality in adult patients admitted to the ICU. METHODS Medline, Lilacs, Scielo and Google Scholar were searched ...

Calibration is one of the most important technologies for line-structured light vision sensor. The existing calibration methods depend on special calibration equipments, whose accuracy determines the calibration accuracy. It is difficult to meet the requirements of universality and field calibration with those methods. In order to solve these problems, a new calibration method based on the comb...

Intra-class variation is fundamental to the FNMR performance of iris recognition systems. In this paper, we perform a systematic study of modeling intra-class variation for nonideal iris images captured under less-controlled environments. We present global geometric calibration techniques for compensating distortion associated with off-angle acquisition and local geometric calibration technique...