Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Asymptotic Implied Volatility at the Second Order with Application to
  the SABR Model   We provide a general method to compute a Taylor expansion in time of implied
volatility for stochastic volatility models, using a heat kernel expansion.
Beyond the order 0 implied volatility which is already known, we compute the
first order correction exactly at all strikes from the scalar coefficient of
the heat kernel expansion. Furthermore, the first correction in the heat kernel
expansion gives the second order correction for implied volatility, which we
also give exactly at all strikes. As an application, we compute this asymptotic
expansion at order 2 for the SABR model.

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The categories of this paper are: mtrl-th
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The categories of this paper are: acc-phys
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The categories of this paper are: ao-sci
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The categories of this paper are: eess
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The categories of this paper are: comp-gas
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The categories of this paper are: nlin
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The categories of this paper are: hep-ex
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The categories of this paper are: econ
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The categories of this paper are: cmp-lg
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The categories of this paper are: alg-geom
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The categories of this paper are: hep-lat
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The categories of this paper are: solv-int
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The categories of this paper are: stat
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The categories of this paper are: cs
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The categories of this paper are: astro-ph
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The categories of this paper are: math-ph