Related papers: Financial rogue waves
The coupled nonlinear volatility and option pricing model presented recently by Ivancevic is investigated, which generates a leverage effect, i.e., stock volatility is (negatively) correlated to stock returns, and can be regarded as a…
Recently, a novel adaptive wave model for financial option pricing has been proposed in the form of adaptive nonlinear Schr\"{o}dinger (NLS) equation [Ivancevic a], as a high-complexity alternative to the linear Black-Scholes-Merton model…
Using experimental data from three different rogue wave supporting systems, determinism and predictability of the underlying dynamics are evaluated with methods of nonlinear time series analysis. We included original records from the…
Adaptive wave model for financial option pricing is proposed, as a high-complexity alternative to the standard Black--Scholes model. The new option-pricing model, representing a controlled Brownian motion, includes two wave-type approaches:…
In this essay we give an overview on the problem of rogue or freak wave formation in the ocean. The matter of the phenomenon is a sporadic occurrence of unexpectedly high waves on the sea surface. These waves cause serious danger for…
The generation of rogue waves is investigated via a nonlocal nonlinear Schrodinger (NLS) equation. In this system, modulation instability is suppressed and is usually expected that rogue wave formation would also be limited. On the…
A nonlinear wave alternative for the standard Black-Scholes option-pricing model is presented. The adaptive-wave model, representing 'controlled Brownian behavior' of financial markets, is formally defined by adaptive nonlinear…
Rogue waves are rapid and unpredictable events of exceptional amplitude reported in various fields, such as oceanography and optics, with much of the interest being targeted towards their physical origins and likelihood of occurrence. Here,…
Rogue waves are an intriguing nonlinear phenomenon arising across different scales, ranging from ocean waves through optics to Bose-Einstein condensates. We describe the emergence of rogue-like wave dynamics in a reaction-diffusion system…
We predict the existence of linear discrete rogue waves governed by the discrete nonlinear Schrodinger equation. We discuss that Josephson effect is the underlying reason for the formation of such waves.
We investigate the statistics of rogue waves occurring in the inverse cascade of surface gravity wave turbulence. In such statistically homogeneous, stationary and isotropic wave fields, low-frequency waves are generated by nonlinear…
The instability of the Ivancevic option pricing model is studied through the variational method. We have analytically derived the dispersion relation of the IOPM for both constant volatility and Landau coefficient model and time-dependent…
We study the existence and properties of rogue wave solutions in different nonlinear wave evolution models that are commonly used in optics and hydrodynamics. In particular, we consider Fokas-Lenells equation, the defocusing vector nolinear…
In this brief report we study numerically the spontaneous emergence of rogue waves in (i) modulationally unstable plane wave at its long-time statistically stationary state and (ii) bound-state multi-soliton solutions representing the…
We construct and discuss a semi-rational, multi-parametric vector solution of coupled nonlinear Schr\"odinger equations (Manakov system). This family of solutions includes known vector Peregrine solutions, bright-dark-rogue solutions, and…
Ocean rogue waves are large and suddenly appearing surface gravity waves, which may cause severe damage to ships and other maritime structures. Despite years of research, the exact origin of rogue waves is still disputed. Linear…
Rogue wave patterns in the nonlinear Schr\"{o}dinger equation are analytically studied. It is shown that when an internal parameter in the rogue waves (which controls the shape of initial weak perturbations to the uniform background) is…
Rogue waves are known to occur on the ocean surface leading to significant damage to marine installations and compromising ship safety. Understanding the physical mechanisms responsible for extreme wave focusing is crucial in order to…
In the present work, we explore the possibility of developing rogue waves as exact solutions of some nonlinear dispersive equations, such as the nonlinear Schr\"odinger equation, but also, in a similar vein, the Hirota, Davey-Stewartson,…
Optical rogue waves are rare yet extreme fluctuations in the value of an optical field. The terminology was first used in the context of an analogy between pulse propagation in optical fibre and wave group propagation on deep water, but has…