Related papers: Financial rogue waves
We explore the form of rogue wave solutions in a select set of case examples of nonlinear Schr\"odinger equations with variable coefficients. We focus on systems with constant dispersion, and present three different models that describe…
The appearance of rogue waves is well known in oceanographics, optics, and cold matter systems. Here we show a possibility for the existence of atmospheric rogue waves.
Rogue waves in birefringent optical fibers are analyzed within the framework of the coupled nonlinear Schr\"odinger (CNLS) system. The generation of rogue waves is frequently associated with modulation instability (MI). It is commonly…
The numerical simulation of the nonlinear dynamics of the sea surface has shown that the collision of two groups of relatively low waves with close but noncollinear wave vectors (two or three waves in each group with a steepness of about…
In this paper, we numerically show and discuss the existence and characteristics of rogue heat and diffusion waves. More specifically, we use two different nonlinear heat (diffusion) models and show that modulation instability leads to the…
In this paper we analyze a nonlinear Black--Scholes model for option pricing under variable transaction costs. The diffusion coefficient of the nonlinear parabolic equation for the price $V$ is assumed to be a function of the underlying…
Families of explicit solutions are found to a nonlinear Black-Scholes equation which incorporates the feedback-effect of a large trader in case of market illiquidity. The typical solution of these families will have a payoff which…
In this paper, a variable-coefficient symbolic computation approach is proposed to solve the multiple rogue wave solutions of nonlinear equation with variable coefficients. As an application, a (2+1)-dimensional variable-coefficient…
Rogue waves are abnormally large waves which appear unexpectedly and have attracted considerable attention, particularly in recent years. The one space, one time (1+1) nonlinear Schr\"odinger equation is often used to model rogue waves; it…
Non-equilibrium phenomena occur not only in physical world, but also in finance. In this work, stochastic relaxational dynamics (together with path integrals) is applied to option pricing theory. A recently proposed model (by Ilinski et…
Rogue waves named by oceanographers are ubiquitous in nature and appear in a variety of different contexts such as water waves, liquid Helium, nonlinear optics, microwave cavities, etc. In this letter, we propose a novel type of exact…
Random excitation of intense periodic highly-localized single-cycle light pulses in a stochastic background by continuous-wave stimulated Brillouin scattering in long optical fibers with weak feedback is found experimentally. Events with…
A specific, genuinely three-dimensional mechanism of rogue wave formation, in a late stage of the modulational instability of a perturbed Stokes deep-water wave, is recognized through numerical experiments. The simulations are based on…
Based on the analog between the stochastic dynamics and quantum harmonic oscillator, we propose a market force driving model to generalize the Black-Scholes model in finance market. We give new schemes of option pricing, in which we can…
Some years ago, Chen, Pelinovsky, and White claimed existence of certain solutions of the nonlinear Schr\"odinger equation for modelling rogue waves [arXiv: 1909.08165v1 (2019)]. It is the aim of this Comment to outline that this claim is…
There are many examples in physics of systems showing rogue wave behaviour, the generation of high amplitude events at low probability. Although initially studied in oceanography, rogue waves have now been seen in many other domains, with…
Rogue waves (RWs) are unexpectedly strong excitations emerging from an otherwise tranquil background. The nonlinear Schr\"odinger equation (NLSE), a ubiquitous model with wide applications to fluid mechanics, optics and plasmas, exhibits…
The long wave-short wave model describes the interaction between the long wave and the short wave. Exact higher-order rational solution expressed by determinants is calculated via the Hirota's bilinear method and the KP hierarchy reduction.…
In this paper, we propose the existence and discuss the properties of rogue quantum gravitational waves. More specifically, we numerically solve the Schr\"odinger-Newton system of equations using a spectral scheme with a $4^{th}$ order…
Using the inverse spectral theory of the nonlinear Schrodinger (NLS) equation we correlate the development of rogue waves in oceanic sea states characterized by the JONSWAP spectrum with the proximity to homoclinic solutions of the NLS…