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The SABR model is a stochastic volatility model not admitting a closed form solution. Hagan, Kumar, Leniewski and Woodward have obtained an approximate solution by means of perturbative techniques. A ...
In the framework of path integral the evolution operator kernel for the Merton-Garman Hamiltonian is constructed. Based on this kernel option formula is obtained, which generalizes the well-known Bla...
We introduce a new geometric approach that constructs a transition kernel of Markov chain. Our method always minimizes the av- erage rejection rate and even reduce it to zero in many relevant cases,...
We consider a heat kernel approach for the development of stochastic pricing kernels. The kernels are constructed by positive propagators, which are driven by time-inhomogeneous Markov processes. We m...
《Handbook of Game Theory with Economic Applications》Chapter 18 The bargaining set, kernel, and nucleolus。
We construct default-free interest rate models in the spirit of the well-known Markov funcional models: our focus is analytic tractability of the models and generality of the approach. We work in the ...
This paper proposes a test of a restrictedspeci"cation of regression, basedon comparing residual sum of squares from kernel regression. Our main case is where both the restrictedspeci"cation andthe ge...

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