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Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion.
John Armstrong
Martin Forde
Matthew Lorig
Hongzhong Zhang
Published in:
SIAM J. Financial Math. (2017)
Keyphrases
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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