Related papers: Heat kernel methods in finance: the SABR model
The heat kernel method is extended to the case of finite temperature. Special emphasis is given to the study of gauge theories. Due to the compactness of space in the Euclidean time direction (inverse temperature) the field strength cannot…
The main goal of this paper is to generalize the Sobolev-type inequalities given by Guo-Phong-Song-Sturm and Guedj-T\^o from the case of functions to the framework of twisted differential forms. To this end, we establish certain estimates…
Based on the Mehler heat kernel of the Schroedinger operator for a free electron in a constant magnetic field an estimate for the kernel of E_A is derived, where E_A represents the kinetic energy of a Dirac electron within the…
Following an approach originally suggested by Balland in the context of the SABR model, we derive an ODE that is satisfied by normalized volatility smiles for short maturities under a rough volatility extension of the SABR model that…
The aim of this paper is to construct (explicit) heat kernels for some hybrid evolution equations which arise in physics, conformal geometry and subelliptic PDEs. Hybrid means that the relevant partial differential operator appears in the…
For option pricing models and heavy-tailed distributions, this study proposes a continuous-time stochastic volatility model based on an arithmetic Brownian motion: a one-parameter extension of the normal stochastic alpha-beta-rho (SABR)…
We propose a novel derivation of the non-local heat kernel expansion, first studied by Barvinsky, Vilkovisky and Avramidi, based on simple diagrammatic equations satisfied by the heat kernel. For Laplace-type differential operators we…
The purpose of this article is to establish regularity and pointwise upper bounds for the (relative) fundamental solution of the heat equation associated to the weighted dbar-operator in $L^2(C^n)$ for a certain class of weights. The…
In this paper, we show that a time-dependent local stochastic volatility (SLV) model can be reduced to a system of autonomous PDEs that can be solved using the Heat kernel, by means of the Wei-Norman factorization method and Lie algebraic…
We investigate statistical properties for a broad class of modern kernel-based regression (KBR) methods. These kernel methods were developed during the last decade and are inspired by convex risk minimization in infinite-dimensional Hilbert…
Many contemporary statistical learning methods assume a Euclidean feature space. This paper presents a method for defining similarity based on hyperspherical geometry and shows that it often improves the performance of support vector…
We introduce a new method that exploits the combination of the Heat Kernel (HK) and Background Field Method to compute gauge-invariant and gauge parameter-independent quantities such as the effective potential, anomalous dimensions, and…
In this paper, we introduce heat kernel coupling (HKC) as a method of constructing multimodal spectral geometry on weighted graphs of different size without vertex-wise bijective correspondence. We show that Laplacian averaging can be…
We review the status of covariant methods in quantum field theory and quantum gravity, in particular, some recent progress in the calculation of the effective action via the heat kernel method. We study the heat kernel associated with an…
We use a Harnack-type inequality on exit times and spectral bounds to characterize upper bounds of the heat kernel associated with any regular Dirichlet form without killing part, where the scale function may vary with position. We further…
An overview about recent progress in the calculation of the heat kernel and the one-loop effective action in quantum gravity and gauge theories is given. We analyse the general structure of the standard Schwinger-De Witt asymptotic…
Heat kernels arise in a variety of contexts including probability, geometry, and functional analysis; the automorphic heat kernel is particularly important in number theory and string theory. The typical construction of an automorphic heat…
In this paper, we develop a Multilayer (ML) method for solving one-factor parabolic equations. Our approach provides a powerful alternative to the well-known finite difference and Monte Carlo methods. We discuss various advantages of this…
We obtain two-sided estimates for the heat kernel (or the fundamental function) associated with the following fractional Schr\"odinger operator with negative Hardy potential $$\Delta^{\alpha/2} -\lambda |x|^{-\alpha}$$ on $\RR^d$, where…
We obtain new closed-form pricing formulas for contingent claims when the asset follows a Dupire-type local volatility model. To obtain the formulas we use the Dyson-Taylor commutator method that we have recently developed in [5, 6, 8] for…