activity
20102022
most citedA Numerical Study of Radial Basis Function Based Methods for Options Pricing under the One Dimension Jump-diffusion Model

6 citations · 9 across the 6 of their papers we have counts for

collaborators

7 papers

stat.ML2022★ 1 cited

Sobolev Spaces, Kernels and Discrepancies over Hyperspheres

Simon Hubbert, Emilio Porcu, Chris. J. Oates +1

This work provides theoretical foundations for kernel methods in the hyperspherical context. Specifically, we characterise the native spaces (reproducing kernel Hilbert spaces) and…

math.NA2022

Convergence of sparse grid Gaussian convolution approximation for multi-dimensional periodic function

Simon Hubbert, Janin Jäger, Jeremy Levesley

We consider the problem of approximating -periodic functions by convolution with a scaled Gaussian kernel. We start by establishing convergence rates to functions from p…

math.CA2021

Generalised Wendland functions for the sphere

Simon Hubbert, Janin Jäger

In this paper we compute the spherical Fourier expansions coefficients for the restriction of the generalised Wendland functions from dimensional Euclidean space to the (d-1)-d…

math.NA2017

Convergence of Multilevel Stationary Gaussian Convolution

Simon Hubbert, Jeremy Levesley

It is well-known that polynomial reproduction is not possible when approximating with Gaussian kernels. Quasi-interpolation schemes have been developed which use a finite number of…

math.NA2016★ 2 cited

Convergence of Multilevel Stationary Gaussian Quasi-Interpolation

Simon Hubbert, Jeremy Levesley

In this paper we present a new multilevel quasi-interpolation algorithm for smooth periodic functions using scaled Gaussians as basis functions. Recent research in this area has fo…

math.NA2011

A study of the uniform accuracy of univariate thin plate spline interpolation

Aurelian Bejancu, Simon Hubbert

The usual power function error estimates do not capture the true order of uniform accuracy for thin plate spline interpolation to smooth data functions in one variable. In this pap…

q-fin.CP2010★ 6 cited

A Numerical Study of Radial Basis Function Based Methods for Options Pricing under the One Dimension Jump-diffusion Model

Ron T. L. Chan, Simon Hubbert

The aim of this chapter is to show how option prices in jump-diffusion models can be computed using meshless methods based on Radial Basis Function (RBF) interpolation. The RBF tec…