Stochastic Collocation - Old And New

Thomas Roos recently put a preprint on SSRN called Simple, Flexible, Analytic, Arbitrage Free Volatility Interpolation . Being interested in the subject, I had a detailed look at it. It turns out that Thomas stumbled upon spline stochastic collocation without realizing it. &#xA; There are a few differences in his approach: &#xA; &#xA; The optimization is on the x&rsquo;s instead of the y&rsquo;s,…