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Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion.

John ArmstrongMartin FordeMatthew LorigHongzhong Zhang
Published in: SIAM J. Financial Math. (2017)
Keyphrases
  • heat kernel
  • markov chain
  • shape analysis
  • small number
  • graph structure
  • graph laplacian
  • scale space
  • laplace beltrami
  • weight matrix
  • euclidean distance
  • feature space
  • vector space
  • minimum spanning tree