Explicit Density Approximations for Local Volatility Models Using Heat Kernel Expansions

Keyphrases

• Density Approximation 100%
• Approximation Formula 100%
• Heat Kernel Expansion 100%
• Local Volatility Model 100%
• Affine 66%
• Heat Kernel 66%
• Transition Density 66%
• Differential Equations 33%
• Perturbation Theory 33%
• Monte Carlo Simulation 33%
• Perturbative 33%
• Explicit Formula 33%
• Process Transition 33%
• Volatility Process 33%
• Linear Parabolic Equations 33%
• Mean-reverting 33%
• Lowest-order Approximation 33%
• Generalized Mean 33%
• CEV Model 33%
• Short Rate Model 33%
• Kernel Coefficient 33%
• Late Cases 33%
• Explicit Approximations 33%
• Kernel Perturbations 33%
• Local Volatility 33%

Mathematics

• Heat Kernel 100%
• Transition Density 66%
• Monte Carlo 33%
• Differential Equation 33%
• Perturbation Theory 33%
• Apply It 33%
• Approximation Order 33%
• Explicit Formula 33%
• Parabolic Equation 33%