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Heat kernel methods in finance: the SABR model
Heat kernel methods finance the SABR model Pricing of Securities
2012/3/2
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 ...
Kernel methods and minimum contrast estimators for empirical deconvolution
bandwidth inverse problems kernel estimators local linearmethods local polynomial methods minimum contrast methods
2010/3/11
We survey classical kernel methods for providing nonparametric solutions
to problems involving measurement error. In particular we outline
kernel-basedmethodology in this setting, and discuss its ba...
Kernel methods in machine learning
Machine learning reproducing kernels support vector machines graphical models
2010/4/26
We review machine learning methods employing positive definite
kernels. These methods formulate learning and estimation problems
in a reproducing kernel Hilbert space (RKHS) of functions defined
on...