Related papers: Financial rogue waves
We study option pricing and hedging with uncertainty about a Black-Scholes reference model which is dynamically recalibrated to the market price of a liquidly traded vanilla option. For dynamic trading in the underlying asset and this…
Modelling accurately financial price variations is an essential step underlying portfolio allocation optimization, derivative pricing and hedging, fund management and trading. The observed complex price fluctuations guide and constraint our…
The nonlinear dynamics of an obliquely oriented wave packet at sea surface is studied both analytically and numerically for various initial parameters of the packet, in connection with the problem of oceanic rogue waves. In the framework of…
Modulation instability, rogue wave and spectral analysis are investigated for the nonlinear Schrodinger equation with the higher-order terms. The modulation instability distribution characteristics from the sixth-order to the eighth-order…
The studied model was suggested to design a perfect hedging strategy for a large trader. In this case the implementation of a hedging strategy affects the price of the underlying security. The feedback-effect leads to a nonlinear version of…
Extreme events, such as rogue waves, earthquakes and stock market crashes, occur spontaneously in many dynamical systems. Because of their usually adverse consequences, quantification, prediction and mitigation of extreme events are highly…
Paper is based on "The cost of illiquidity and its effects on hedging", L. C. G. Rogers and Surbjeet Singh, 2010. We generalize its thesis to constant elasticity model, which own previously used Black-Schoels model as a special case. The…
A simple banking network model is proposed which features multiple waves of bank defaults and is analytically solvable in the limiting case of an infinitely large homogeneous network. The model is a collection of nodes representing…
In this paper, novel rogue wave patterns in the nolocal nonlinear Schr\"odinger equation (NLS) are investigated by means of asymptotic analysis, including heart-pentagon, oval-trangle, and fan-trangle. It is demonstrated that when multiple…
Rogue waves on the periodic background are considered for the nonlinear Schrodinger (NLS) equation in the focusing case. The two periodic wave solutions are expressed by the Jacobian elliptic functions dn and cn. Both periodic waves are…
This paper develops a European option pricing formula for fractional market models. Although there exist option pricing results for a fractional Black-Scholes model, they are established without accounting for stochastic volatility. In this…
It is known that rogue waves (RWs) are generated by the modulational instability (MI) of the baseband type. Starting with the Bers-Kaup-Reiman system for three-wave resonant interactions, we identify a specific RW-building mechanism based…
Basic peculiarities of market price fluctuations are known to be well described by a recently developed random walk model in a temporally deforming quadric potential force whose center is given by a moving average of past price traces…
This paper is devoted to a comprehensive analysis of a family of solutions of the focusing nonlinear Schr\"odinger equation called general rogue waves of infinite order. These solutions have recently been shown to describe various limit…
Rogue waves are extraordinarily high and steep isolated waves, which appear suddenly in a calm sea and disappear equally fast. However, though the Rogue waves are localized surface waves, their theoretical models and experimental…
In this paper, we study the option pricing problems for rough volatility models. As the framework is non-Markovian, the value function for a European option is not deterministic; rather, it is random and satisfies a backward stochastic…
No--arbitrage property provides a simple method for pricing financial derivatives. However, arbitrage opportunities exist among different markets in various fields, even for a very short time. By knowing that an arbitrage property exists,…
Rogue waves (RWs) can form on the ocean surface due to quasi-four wave resonant interaction or superposition principle. Both mechanisms have been acutely studied. The first of the two is known as the nonlinear focusing mechanism and leads…
We report a theoretical study showing that rogue waves can emerge in whispering gallery mode resonators as the result of the chaotic interplay between Kerr nonlinearity and anomalous group-velocity dispersion. The nonlinear dynamics of the…
We show that rogue waves can be triggered naturally when a stable wave train enters a region of an opposing current flow. We demonstrate that the maximum amplitude of the rogue wave depends on the ratio between the current velocity, $ U_0…