Related papers: Heat kernel methods in finance: the SABR model
Kernel quantile regression (KQR) extends classical quantile regression to nonlinear settings using kernel methods, offering a powerful tool for modeling conditional distributions. However, its application to large-scale datasets remains…
Let $d\geq 1$ and $\alpha \in (0, 2)$. Consider the following non-local and non-symmetric L\'evy-type operator on $\mR^d$: $$ \sL^\kappa_{\alpha}f(x):=\mbox{p.v.}\int_{\mR^d}(f(x+z)-f(x))\frac{\kappa(x,z)}{|z|^{d+\alpha}} \dif z, $$ where…
Heat-kernel expansion and zeta function regularisation are discussed for Laplace type operators with discrete spectrum in non compact domains. Since a general theory is lacking, the heat-kernel expansion is investigated by means of several…
In this paper, we employ probabilistic techniques to derive sharp, explicit two-sided estimates for the heat kernel of the nonlocal kinetic operator $$ \Delta^{\alpha/2}_v + v \cdot \nabla_x, \quad \alpha \in (0, 2),\ (x,v)\in {\mathbb…
We derive analytic formulae which link $\alpha$, $\nu$ and $\rho$ parameters in Andreasen-Huge style SABR model to the ATM price and option prices at four strikes close to ATM. Based on these formulae we give a characterisation for the SABR…
In this paper, we study Ornstein-Uhlenbeck operators with quadratic potentials. We use Hamiltonian formalism to characterise the singularities produced by the potentials by finding explicit geodesics of the operators, and obtain the heat…
We explicitly construct a heat kernel as a Neumann series for certain function spaces, such as $L^{1}$, $L^{2}$, and Hilbert spaces, associated to a locally compact Hausdorff space $\mathfrak{X}$ with Borel $\sigma$-algebra $\mathcal{B}$,…
The search for the optimal shape parameter for Radial Basis Function (RBF) kernel approximation has been an outstanding research problem for decades. In this work, we establish a theoretical framework for this problem by leveraging a…
Heat kernel coefficients encode the short distance behavior of propagators in the presence of background fields, and are thus useful in quantum field theory. We present a Mathematica program for computing these coefficients and their…
Classical solvable stochastic volatility models (SVM) use a CEV process for instantaneous variance where the CEV parameter $\gamma$ takes just few values: 0 - the Ornstein-Uhlenbeck process, 1/2 - the Heston (or square root) process, 1-…
The results on the heat kernel expansion for the electromagnetic field in the background of dielectric media are briefly reviewed. The common approaches to the calculation of the heat kernel coefficients are discussed from the viewpoint of…
This paper is an overview on our recent results in the calculation of the heat kernel in quantum field theory and quantum gravity. We introduce a deformation of the background fields (including the metric of a curved spacetime manifold) and…
The worldline formalism has in recent years emerged as a powerful tool for the computation of effective actions and heat kernels. However, implementing nontrivial boundary conditions in this formalism has turned out to be a difficult…
Working within the framework of the covariant perturbation theory, we obtain the coincidence limit of the heat kernel of an elliptic second order differential operator that is applicable to a large class of quantum field theories. The basis…
We investigate the grand potential of the one-dimensional Hubbard model in the high temperature limit, calculating the coefficients of the high temperature expansion ($\beta$-expansion) of this function up to order $\beta^4$ by an…
We consider an approximate solution to the heat equation which consists of the derivatives of heat kernel. Some conditions in the initial value, under which the approximation converges to the solution of the heat equation or diverges when…
We study heat kernel estimates for symmetric pure jump processes on general metric measure spaces. Building on recent progress in the local setting due to S.~Eriksson-Bique, we develop a non-local version of the Whitney blending technique…
To construct a no-arbitrage defaultable bond market, we work on the state price density framework. Using the heat kernel approach (HKA for short) with the killing of a Markov process, we construct a single defaultable bond market that…
We introduce a class of non-commutative Heisenberg like infinite dimensional Lie groups based on an abstract Wiener space. The Ricci curvature tensor for these groups is computed and shown to be bounded. Brownian motion and the…
We construct the fundamental solution (the heat kernel) $p^{\kappa}$ to the equation $\partial_t=\mathcal{L}^{\kappa}$, where under certain assumptions the operator $\mathcal{L}^{\kappa}$ takes one of the following forms, \begin{align*}…