Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion - researchr publication

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John Armstrong, Martin Forde, Matthew Lorig, Hongzhong Zhang. Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion. SIAM J. Financial Math., 8(1):82-113, 2017. [doi]

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