Related papers: Financial rogue waves
Based on empirical market data, a stochastic volatility model is proposed with volatility driven by fractional noise. The model is used to obtain a risk-neutrality option pricing formula and an option pricing equation.
Numerical simulations of the recently derived fully nonlinear equations of motion for weakly three-dimensional water waves [V.P. Ruban, Phys. Rev. E {\bf 71}, 055303(R) (2005)] with quasi-random initial conditions are reported, which show…
The paper proposes a class of financial market models which are based on inhomogeneous telegraph processes and jump diffusions with alternating volatilities. It is assumed that the jumps occur when the tendencies and volatilities are…
We present a spatio-temporal mechanism for producing 2D optical rogue waves in the presence of a turbulent state with creation, interaction and annihilation of optical vortices. Spatially periodic structures with bound phase lose stability…
The paper develops a new class of financial market models. These models are based on generalized telegraph processes: Markov random flows with alternating velocities and jumps occurring when the velocities are switching. While such markets…
We find that diverse nonlinear waves, such as soliton, Akhmediev breather, and rogue waves (RWs), can emerge and interplay with each other in a two-mode coupled system. It provides a good platform to study interaction between different…
This paper numerically investigates the statistical properties of rogue waves and their generation mechanisms in integrable turbulence, taking the Gerdjikov-Ivanov (GI) equation as the research object. The eigenvalue spectra of the…
This paper examines a semi-analytical approach for pricing American options in time-inhomogeneous models characterized by negative interest rates (for equity/FX) or negative convenience yields (for commodities/cryptocurrencies). Under such…
We consider a non-stochastic online learning approach to price financial options by modeling the market dynamic as a repeated game between the nature (adversary) and the investor. We demonstrate that such framework yields analogous…
In this paper, the generalized Darboux transformation is established to the AB system, which mainly describes marginally unstable baroclinic wave packets in geophysical fluids and ultra-short pulses in nonlinear optics. We find a unified…
We construct rogue waves (RWs) in a coupled two-mode system with the self-focusing nonlinearity of the Manakov type (equal SPM and XPM coefficients), spatially modulated coefficients, and a specially designed external potential. The system…
Breathers and rogue waves of special coupled nonlinear Schr\"odinger systems (the Manakov equations) are studied analytically. These systems model the orthogonal polarization modes in an optical fiber with randomly varying birefringence.…
A novel model of wave turbulence is presented which allows to explain in the same frame various nonlinear wave phenomena: intermittency, form and direction of the energy cascades, formation of a zero-frequency band with non-zero energy,…
A nonlinear Schr\"odinger equation with variable coefficients for surface waves on a large-scale steady nonuniform current has been derived without the assumption of a relative smallness of the velocity of the current. This equation can…
By means of the direct numerical simulation of directional waves on the surface of deep water it is shown that extreme waves can exhibit such asymmetry that the occurrence of deeper troughs is several times more likely on the wave rear…
A statistical theory of rogue waves is proposed and tested against experimental data collected in a long water tank where random waves with different degrees of nonlinearity are mechanically generated and free to propagate along the flume.…
In this letter,the designable integrability(DI) of the variable coefficient derivative nonlinear Schr\"odinger equation (VCDNLSE) is shown by construction of an explicit transformation which maps VCDNLSE to the usual derivative nonlinear…
We show that new types of rogue wave patterns exist in integrable systems, and these rogue patterns are described by root structures of Okamoto polynomial hierarchies. These rogue patterns arise when the $\tau$ functions of rogue wave…
The Ivancevic option pricing model is studied via variational approach. Both the Gaussian anstz and the (sech ansatz are used, and each has a unique results from one another. But in terms of existance of soliton solutions they both agree…
We review recent progress in modeling the probability distribution of wave heights in the deep ocean as a function of a small number of parameters describing the local sea state. Both linear and nonlinear mechanisms of rogue wave formation…